VaR Methodology for Non-Gaussian Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook VaR Methodology for Non-Gaussian Finance write by Marine Habart-Corlosquet. This book was released on 2013-05-06. VaR Methodology for Non-Gaussian Finance available in PDF, EPUB and Kindle. 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. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Financial Modeling Under Non-Gaussian Distributions
Financial Modeling Under Non-Gaussian Distributions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Modeling Under Non-Gaussian Distributions write by Eric Jondeau. This book was released on 2007-04-05. Financial Modeling Under Non-Gaussian Distributions available in PDF, EPUB and Kindle. This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Nonlinear Valuation and Non-Gaussian Risks in Finance
Nonlinear Valuation and Non-Gaussian Risks in Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Nonlinear Valuation and Non-Gaussian Risks in Finance write by Dilip B. Madan. This book was released on 2022-02-03. Nonlinear Valuation and Non-Gaussian Risks in Finance available in PDF, EPUB and Kindle. What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.
Creative Rationality and Innovation
Creative Rationality and Innovation - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Creative Rationality and Innovation write by Joelle Forest. This book was released on 2017-11-30. Creative Rationality and Innovation available in PDF, EPUB and Kindle. This book urges us to be creative in our way of thinking about innovation. Adopting an artificial perspective, the author emphasizes creative rationality: a form of thought that encourages knowledge crossing and invites an adventurous transgression. The question of how such a form of thought might be developed is addressed through a detailed examination of the educational system. The book frees itself from many of the myths that surround innovation, including the predominance of what the author calls the linear and hierarchical model.
Risk Management
Risk Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Risk Management write by Céline Bérard. This book was released on 2018-01-04. Risk Management available in PDF, EPUB and Kindle. Risk management practices are growing both in number and complexity in businesses, notably driven by new regulatory standards that feature risk management at their core. Although large businesses are more likely to adopt a formal, holistic approach to risk management, the stakes are just as high for SMEs. Risk management in SMEs can contribute to a certain organizational, entrepreneurial and partnership dynamic which constitutes a real opportunity to evolve practices and improve performance. This book offers varied responses to this question by combining conceptual approaches, empirical illustrations and the associated managerial implications.
