The Measurement of Market Risk : Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions
Series
Lecture Notes in Economics and Mathematical Systems
ISBN
3-540-42143-2
Type
book
Date Issued
2001
Author(s)
Moix, Pierre-Yves
Abstract (De)
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.
Language
German
Keywords
Bewertung von Finanzderivaten
Quantile Schätzung
Risiko Management
Value at Risk
HSG Classification
not classified
Refereed
No
Publisher
Springer
Publisher place
Berlin
Number
504
Start page
272
Subject(s)
Eprints ID
7053