VaR Methodology for Non-Gaussian Finance Contributor(s): Habart-Corlosquet, Marine (Author), Janssen, Jacques (Author), Manca, Raimondo (Author) |
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ISBN: 1848214642 ISBN-13: 9781848214644 Publisher: Wiley-Iste OUR PRICE: $169.05 Product Type: Hardcover - Other Formats Published: April 2013 |
Additional Information |
BISAC Categories: - Business & Economics | Finance - General |
LCCN: 2013931371 |
Series: Focus in Finance, Business and Management |
Physical Information: 0.8" H x 6.1" W x 9.2" (0.97 lbs) 176 pages |
Descriptions, Reviews, Etc. |
Publisher Description: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. |