Future perspectives in risk models and finance [electronic resource]

• 其他作者：
  • Bensoussan, Alain.
  • Guegan, Dominique.
  • Tapiero, Charles S.
  • SpringerLink (Online service)
• 其他題名：
  • International series in operations research & management science
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 叢書名： International series in operations research & management sciencev.211
• 主題： Financial risk management. , Finance , Economics/Management Science. , Operation Research/Decision Theory. , Quantitative Finance. , Financial Economics.
• ISBN： 9783319075242 (electronic bk.) 、 9783319075235 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model.
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• 摘要註: This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial uncertainty, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book's chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on skin in the game. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fu
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