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 classes of risk
measures
* Describes applications in finance and extends them where
possible
* Presents the theory of probability metrics in a more accessible
form which would be appropriate for non-specialists in the
field
* Applications include optimal portfolio choice, risk theory, and
numerical methods in finance
* Topics requiring more mathematical rigor and detail are
included in technical appendices to chapters
关于作者
Svetlozar (Zari) T. Rachev is Chair-Professor in Statistics,
Econometrics and Mathematical Finance at the University of
Karlsruhe in the School of Economics and Business Engineering. He
is also Professor Emeritus at the University of California, Santa
Barbara in the Department of Statistics and Applied Probability. He
has published seven monographs, eight handbooks and special-edited
volumes, and over 300 research articles. His recently coauthored
books published by Wiley in mathematical finance and financial
econometrics include Fat-Tailed and Skewed Asset Return
Distributions: Implications for Risk Management, Portfolio
selection, and Option Pricing (2005), Operational Risk: A
Guide to Basel II Capital Requirements, Models, and Analysis
(2007), Financial Econometrics: From Basics to Advanced Modeling
Techniques (2007), and Bayesian Methods in Finance
(2008). He is cofounder of Bravo Group, now Fin Analytica,
specializing in financial risk-management software, for which
he serves as Chief Scientist.
Stoyan V. Stoyanov, Ph.D. is the Head of Quantitative
Research at Fin Analytica specializing in financial risk management
software. He is author and co-author of numerous papers some of
which have recently appeared in Economics Letters,
Journal of Banking and Finance, Applied Mathematical
Finance, Applied Financial Economics, and
International Journal of Theoretical and Applied Finance. He
is a coauthor of the mathematical finance book Advanced
Stochastic Models, Risk Assessment and Portfolio Optimization: the
Ideal Risk, Uncertainty and Performance Measures (2008)
published by Wiley. Dr. Stoyanov has years of experience in
applying optimal portfolio theory and market risk estimation
methods when solving practical problems of clients of
Fin Analytica.
Frank J. Fabozzi is Professor in the Practice of Finance
in the School of Management at Yale University. Prior to joining
the Yale faculty, he was a Visiting Professor of Finance in the
Sloan School at MIT. Professor Fabozzi is a Fellow of the
International Center for Finance at Yale University and on the
Advisory Council for the Department of Operations Research and
Financial Engineering at Princeton University. He is the editor of
the Journal of Portfolio Management. His recently coauthored
books published by Wiley in mathematical finance and financial
econometrics include The Mathematics of Financial Modeling and
Investment Management (2004), Financial Modeling of
the Equity Market: From CAPM to Cointegration (2006), Robust
Portfolio Optimization and Management (2007), Financial
Econometrics: From Basics to Advanced Modeling Techniques
(2007), and Bayesian Methods in Finance (2008).
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