Granularity Theory with Applications to Finance and Insurance

Business & Finance, Economics, Econometrics, Nonfiction, Science & Nature, Mathematics
Cover of the book Granularity Theory with Applications to Finance and Insurance by Patrick Gagliardini, Christian Gouriéroux, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Patrick Gagliardini, Christian Gouriéroux ISBN: 9781316054765
Publisher: Cambridge University Press Publication: October 6, 2014
Imprint: Cambridge University Press Language: English
Author: Patrick Gagliardini, Christian Gouriéroux
ISBN: 9781316054765
Publisher: Cambridge University Press
Publication: October 6, 2014
Imprint: Cambridge University Press
Language: English

The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

More books from Cambridge University Press

Cover of the book Where the Party Rules by Patrick Gagliardini, Christian Gouriéroux
Cover of the book The Ancient Greek Economy by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Crustal Evolution and Metallogeny in India by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Theory of Unipolar Politics by Patrick Gagliardini, Christian Gouriéroux
Cover of the book The Politics of Crisis Management by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Politics without Stories by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Gynaecological Oncology for the MRCOG by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Language Death by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Stochastic Stability of Differential Equations in Abstract Spaces by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Cultural Backlash by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Numerical Reasoning in Judgments and Decision Making about Health by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Heidegger and Politics by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Management of Infertility for the MRCOG and Beyond by Patrick Gagliardini, Christian Gouriéroux
Cover of the book Combinatorics of Minuscule Representations by Patrick Gagliardini, Christian Gouriéroux
Cover of the book The Language of Stories by Patrick Gagliardini, Christian Gouriéroux
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy