A Probability Metrics Approach to Financial Risk Measures

A Probability Metrics Approach to Financial Risk Measures

Author(s): Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi

Published Online: 20 APR 2011 09:54AM EST

Print ISBN: 9781405183697

Online ISBN: 9781444392715

DOI: 10.1002/9781444392715

About this Book

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.

  • Helps to answer the question: which risk measure is best for a given problem?
  • Finds new relations between existing classes of risk measures
  • Describes applications in finance and extends them where possible
  • Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field
  • Applications include optimal portfolio choice, risk theory, and numerical methods in finance
  • Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

Table of contents

SEARCH