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Risk Measures for the 21st Century (The Wiley Finance Series)

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ISBN: 0470861541, 9780470861547
Издательство: John Wiley & Sons
Год издания: 2004
Страниц: 512
Book DescriptionThe last five years have witnessed a great momentum in the research into measures of financial risk. After many years of ad-hoc and non-consistent measures, now the problem is finally well formulated and some useful and very user-friendlysolutions have been proposed. These new measures of risk should be of great interest for investors, financial institutions as well as for regulators. Under the editorship of Professor Giorgio Szego of the University of Rome "La Sapienza", this book is a collection of the revised and updated papers from prestigious international specialists who are leaders in their field, amongst whom is Robert Engle, a newly-announced Nobel prize-winner in finance. These authors bring a broad perspective across a wide selection of topics, ranging from the critique of some currently used methods, like Value at Risk, to the presentation of some correct risk measures and of some advanced application The book provides a...