Libro the measurement of market risk De moix

Formato

Libro Físico

Editorial

springer publishing map

Autor

moix

Idioma

Inglés

N° páginas

272

ISBN

3540421432

ISBN13

9783540421436

Categorías

Contabilidad

the measurement of market risk

Moix (Autor) · springer publishing map · Libro Físico

Sin Stock

Reseña del libro "the measurement of market risk"

the objective of this book is to set up an economic quantitative model for the assessment of financial market risk. the measurement of market risk 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.