| Coherent Risk Measures Contributor(s): Delbean, Freddy (Author) |
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ISBN: 8876423052 ISBN-13: 9788876423055 Publisher: Edizioni Della Normale OUR PRICE: $23.70 Product Type: Paperback Published: October 2002 |
| Additional Information |
| BISAC Categories: - Mathematics | Game Theory - Mathematics | Probability & Statistics - General |
| Dewey: 519 |
| Series: Publications of the Scuola Normale Superiore |
| Physical Information: 0.25" H x 6.44" W x 9.49" (0.44 lbs) 63 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to translate problems from Risk Management into mathematics and back. Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. We concentrate on the mathematics behind the concept of coherent risk measures. |