TY - BOOK
T1 - A Probability Metrics Approach to Financial Risk Measures
AU - Rachev, Svetlozar T.
AU - Stoyanov, Stoyan V.
AU - Fabozzi, Frank J.
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2011/4/20
Y1 - 2011/4/20
N2 - A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters.
AB - A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters.
UR - http://www.scopus.com/inward/record.url?scp=81755175839&partnerID=8YFLogxK
U2 - 10.1002/9781444392715
DO - 10.1002/9781444392715
M3 - Book
AN - SCOPUS:81755175839
SN - 9781405183697
BT - A Probability Metrics Approach to Financial Risk Measures
PB - Wiley-Blackwell
ER -