A Probability Metrics Approach to Financial Risk Measures

Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi

Research output: Book/ReportBook

24 Scopus citations

Abstract

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.

Original languageEnglish
PublisherWiley-Blackwell
ISBN (Print)9781405183697
DOIs
StatePublished - Apr 20 2011

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