A probability metrics approach to financial risk measures [electronic resources]
"A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing...
| Main Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
Chichester, West Sussex, UK :
Wiley-Blackwell ,
c2011
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| Subjects: | |
| Online Access: | Wiley Online Library |
Table of Contents:
- 1. Introduction
- 2. Probability distances and metrics
- 3. Choice under uncertainty
- 4. A classification of probability distances
- 5. Risk and uncertainty
- 6. Average value-at-risk
- 7. Computing AVaR through Monte Carlo
- 8. Stochastic dominance revisited