ISBN-10:
1848214642
ISBN-13:
9781848214644
Pub. Date:
05/13/2013
Publisher:
Wiley
VaR Methodology for Non-Gaussian Finance / Edition 1

VaR Methodology for Non-Gaussian Finance / Edition 1

Hardcover

Current price is , Original price is $86.0. You

Temporarily Out of Stock Online

Please check back later for updated availability.

Product Details

ISBN-13: 9781848214644
Publisher: Wiley
Publication date: 05/13/2013
Series: FOCUS Series
Pages: 176
Product dimensions: 6.20(w) x 9.30(h) x 0.80(d)

About the Author

Marine Habart-Corlosquet is a Qualified and Certified Actuary at BNP Paribas Cardif, Paris, France. She is co-director of EURIA (Euro-Institut d'Actuariat, University of West Brittany, Brest, France), and associate researcher at Telecom Bretagne (Brest, France) as well as a board member of the French Institute of Actuaries. She teaches at EURIA, Telecom Bretagne and Ecole Centrale Paris (France). Her main research interests are pandemics, Solvency II internal models and ALM issues for insurance companies.

Jacques Janssen is now Honorary Professor at the Solvay Business School (ULB) in Brussels, Belgium, having previously taught at EURIA (Euro-Institut d'Actuariat, University of West Brittany, Brest, France) and Telecom Bretagne (Brest, France) as well as being a director of Jacan Insurance and Finance Services, a consultancy and training company.

Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science at University of Roma "La Sapienza" in Italy. He is associate editor for the journal Methodology and Computing in Applied Probability. His main research interests are multidimensional linear algebra, computational probability, application of stochastic processes to economics, finance and insurance and simulation models.

Read an Excerpt

Click to read or download

Table of Contents

INTRODUCTION ix

CHAPTER 1. USE OF VALUE-AT-RISK (VAR) TECHNIQUES FOR SOLVENCYII, BASEL II AND III 1

1.1. Basic notions of VaR 1

1.2. The use of VaR for insurance companies 6

1.3. The use of VaR for banks 13

1.4. Conclusion 16

CHAPTER 2. CLASSICAL VALUE-AT-RISK (VAR) METHODS 17

2.1. Introduction 17

2.2. Risk measures 18

2.3. General form of the VaR 19

2.4. VaR extensions: tail VaR and conditional VaR 25

2.5. VaR of an asset portfolio 28

2.6. A simulation example: the rates of investment of assets32

CHAPTER 3. VAR EXTENSIONS FROM GAUSSIAN FINANCE TONON-GAUSSIAN FINANCE 35

3.1. Motivation 35

3.2. The normal power approximation 37

3.3. VaR computation with extreme values 40

3.4. VaR value for a risk with Pareto distribution 56

3.5. Conclusion 62

CHAPTER 4. NEW VAR METHODS OF NON-GAUSSIAN FINANCE 63

4.1. Lévy processes 63 model with jumps 76

4.2. Copula models and VaR techniques 90

4.3. VaR for insurance 109

CHAPTER 5. NON-GAUSSIAN FINANCE: SEMI-MARKOV MODELS115

5.1. Introduction 115

5.2. Homogeneous semi-Markov process 116

5.3. Semi-Markov option model 139

5.4. Semi-Markov VaR models 143

5.5. The Semi-Markov Monte Carlo Model in a homogeneousenvironment 147

CONCLUSION 159

BIBLIOGRAPHY 161

INDEX 165

Customer Reviews

Most Helpful Customer Reviews

See All Customer Reviews