Habart-Corlosquet, Marine
VaR Methodology for Non-Gaussian Finance
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.
- Författare
- Habart-Corlosquet, Marine
- Janssen, Jacques
- Manca, Raimondo
- Utgivare
- John Wiley and Sons, Inc.
- Utgivningsår
- 2013
- Språk
- en
- Utgåva
- 1
- Serie
- FOCUS Series
- Sidantal
- 176 sidor
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (ePUB)
- 9781118733981
- Tryckt ISBN
- 9781848214644