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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 a...
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| Group Author: | ; ; |
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| Published: |
Springer International Publishing,
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| Publisher Address: | Cham, Switzerland : |
| Publication Dates: | [2015] |
| Literature type: | Book |
| Language: | English |
| Series: |
International Series in Operations Research & Management Science,
volume 211 |
| Subjects: | |
| Summary: |
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 bookℓ́ℓs 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. |
| Carrier Form: | xiv, 315 pages : illustrations (some color) ; 24 cm. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
3319075233 9783319075235 |
| Index Number: | HG106 |
| CLC: | F830.9-32 |
| Call Number: | F830.9-32/F996 |
| Contents: | Estimation theory for generalized linear models -- Distortion risk measure or the transformation of unimodal distributions into multimodal functions -- Stress testing engineering: the real risk measurement? -- The Skin in the Game as a risk filter -- Capital adequacy, pro-cyclicality and systemic risk -- Financial modelling and memory: mathematical system -- Asset price modeling: from fractional to multifractional processes -- Financial analytics and a binomial pricing model. |