Risk Measurement

From Quantitative Measures to Management Decisions

Business & Finance, Industries & Professions, Insurance, Finance & Investing, Corporate Finance
Cover of the book Risk Measurement by Dominique Guégan, Bertrand K. Hassani, Springer International Publishing
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Author: Dominique Guégan, Bertrand K. Hassani ISBN: 9783030026806
Publisher: Springer International Publishing Publication: March 22, 2019
Imprint: Springer Language: English
Author: Dominique Guégan, Bertrand K. Hassani
ISBN: 9783030026806
Publisher: Springer International Publishing
Publication: March 22, 2019
Imprint: Springer
Language: English

This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective. 

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This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective. 

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