Risk quantification and allocation methods for practitioners (eBook, 2017) [WorldCat.org]
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Risk quantification and allocation methods for practitioners

Author: Jaume Belles-Sampera; Montserrat Guillen; Miguel Santolino
Publisher: Amsterdam : Atlantis Press : Amsterdam University Press, [2017] ©2017
Series: Atlantis studies in computational finance and financial engineering.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Risk Quantification and Allocation Methods for Practitioners offers a practical approach to risk management in the financial industry. This in-depth study provides quantitative tools to better describe qualitative issues, as well as clear explanations of how to transform recent theoretical developments into computational practice, and key tools for dealing with the issues of risk measurement and capital allocation.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Belles-Sampera, Jaume.
Risk quantification and allocation methods for practitioners.
Amsterdam : Atlantis Press : Amsterdam University Press, [2017]
(OCoLC)962231920
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jaume Belles-Sampera; Montserrat Guillen; Miguel Santolino
ISBN: 9789048534586 9048534585
OCLC Number: 1256821465
Description: 1 online resource (xiii, 154 pages)
Contents: Preliminary concepts on quantitative risk measurement --
Data on losses for risk evaluation --
A family of distortion risk measures --
GlueVaR and other new risk measures --
Risk measure choice --
An overview on capital allocation problems --
Capital allocation based on GlueVaR --
Capital allocation principles as compositional data.
Series Title: Atlantis studies in computational finance and financial engineering.
Responsibility: Jaume Belles-Sampera, Montserrat Guillen, and Miguel Santolino.

Abstract:

Risk Quantification and Allocation Methods for Practitioners offers a practical approach to risk management in the financial industry. This in-depth study provides quantitative tools to better describe qualitative issues, as well as clear explanations of how to transform recent theoretical developments into computational practice, and key tools for dealing with the issues of risk measurement and capital allocation.

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