MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS

During the last decade, problems in the world of finance have been the main driving force for developing sophisticated mathematical methods which may be used for identifying and measuring risk. The focus is still on quantifying market and credit risk, but general operational risks will become more important in the future. In this book the reader will find approaches from economic theory, allocation problems, credit scoring, volatility structures, general market risk, country risk and extreme value theory. The contributions of this book reflect the views of leading practitioners and academics in the field of risk management. Most of the models considered for the evolution of asset values are of a complex and stochastic nature, including stochastic volatility models in continuous time as well as their counterparts in discrete time, the family of GARCH-like time series.

251 pàg

Peso: 6 mb

Idioma:

Edición: 1^ra

Autor:

Jurgen Franke

Wolfgang Hardle

Gerhard Stahl

POSTEADO POR ALEIVE