VaR Methodology for Non Gaussian Finance is popular PDF and ePub book, written by Marine Habart-Corlosquet in 2013-05-06, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, VaR Methodology for Non Gaussian Finance can be Read Online from any device for your convenience.
VaR Methodology for Non Gaussian Finance Book PDF Summary
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Detail Book of VaR Methodology for Non Gaussian Finance PDF
- Author : Marine Habart-Corlosquet
- Release : 06 May 2013
- Publisher : John Wiley & Sons
- ISBN : 9781118733981
- Genre : Business & Economics
- Total Page : 176 pages
- Language : English
- PDF File Size : 10,7 Mb
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