VaR Methodology for Non-Gaussian Finance (FOCUS Series) - Habart-Corlosquet, Marine

VaR Methodology for Non-Gaussian Finance (FOCUS Series)

Marine Habart-Corlosquet

Yayınevi: Wiley-Blackwell

Yayın tarihi: 04/2013

ISBN: 9781848214644

Yazar : Jacques Janssen Raimondo Manca

Ciltli | İngilizce | 176 Sayfa | 16,26x24,1x2,06 cm.

Tür: Finans-Bankacılık

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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.

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