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Corlosquet-Habart, Marine; Janssen, Jacques; Manca, Raimondo - VaR Methodology for Non-Gaussian Finance - 9781848214644 - V9781848214644
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VaR Methodology for Non-Gaussian Finance

€ 179.91
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Description for VaR Methodology for Non-Gaussian Finance 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. Num Pages: 176 pages, black & white illustrations, black & white tables, figures. BIC Classification: KFF. Category: (P) Professional & Vocational. Dimension: 239 x 161 x 21. Weight in Grams: 442.

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 ... Read more

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.

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Product Details

Publication date
2013
Publisher
ISTE Ltd and John Wiley & Sons Inc United Kingdom
Number of pages
176
Condition
New
Number of Pages
176
Format
Hardback
Place of Publication
London, United Kingdom
ISBN
9781848214644
SKU
V9781848214644
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

About Corlosquet-Habart, Marine; Janssen, Jacques; Manca, Raimondo
Marine Habart-Corlosquet is a Qualified and Certified Actuary at BNP Paribas Cardif, Paris, France. She is co-director of EURIA (Euro-Institut d'Actuariat, University of West Brittany, Brest, France), and associate researcher at Telecom Bretagne (Brest, France) as well as a board member of the French Institute of Actuaries. She teaches at EURIA, Telecom Bretagne and Ecole Centrale Paris (France). Her main ... Read more

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