The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. BThe Measurement of Market Risk/B reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.
| Autorius: | Pierre-Yves Moix |
| Serija: | Lecture Notes in Economics and Mathematical Systems |
| Leidėjas: | Springer Berlin Heidelberg |
| Išleidimo metai: | 2001 |
| Knygos puslapių skaičius: | 292 |
| ISBN-10: | 3540421432 |
| ISBN-13: | 9783540421436 |
| Formatas: | Knyga minkštu viršeliu |
| Kalba: | Anglų |
| Žanras: | Management decision making |
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