{"product_id":"var-methodology-for-non-gaussian-finance-1848214642-used","title":"VaR Methodology for Non-Gaussian Finance","description":"\u003cp\u003e\u003cstrong\u003eISBN:\u003c\/strong\u003e 1848214642\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eAuthor:\u003c\/strong\u003e Habart-Corlosquet, Marine\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eCondition:\u003c\/strong\u003e Used\u003c\/p\u003e\u003cp\u003eWith 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.Contents1. 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.\u003c\/p\u003e","brand":"Mia Karts","offers":[{"title":"Default Title","offer_id":68212071465248,"sku":"USED1848214642","price":267.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0980\/7426\/3840\/files\/517Qp7PbqUL.jpg?v=1794272552","url":"https:\/\/miakarts.com\/products\/var-methodology-for-non-gaussian-finance-1848214642-used","provider":"Miakarts Books","version":"1.0","type":"link"}