VaR Methodology for Non-Gaussian Finance

di Marine Habart-Corlosquet (Autore)

Jacques Janssen (Autore)

Raimondo Manca (Autore)

Wiley-ISTE, 2013

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. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models.

• Autore: Marine Habart-Corlosquet, Jacques Janssen, Raimondo Manca
• Anno edizione: 2013
• Editore: Wiley-ISTE
• Formato: EPUB2 con Adobe DRM
• Lingua: Inglese
• Compatibilità: Tutti i dispositivi (eccetto Kindle)
• Layout: Reflowable
• EAN: 9781118733981