The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions / by Pierre-Yves Moix.

This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yv...

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Bibliographic Details
Main Author: Moix, Pierre-Yves (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2001.
Edition:1st ed. 2001.
Series:Lecture Notes in Economics and Mathematical Systems, 504
Springer eBook Collection.
Subjects:
Operations research.
Decision making.
Finance.
Economics, Mathematical .
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 1. Introduction
  • 2. Risk and Risk Measures
  • 3. Modelling the Dynamics of the Risk Factors
  • 4. Valuation of Financial Instruments
  • 5. Approximation of the Portfolio Distribution
  • 6. Sample Estimation of Risk Measures
  • 7. Conclusion and Outlook
  • A. Probability and Statistics
  • A.1 Probabilistic Modelling
  • A.2 Random Variable
  • A.2.1 Distribution Function
  • A.2.2 Moments
  • A.2.3 Independence and Correlation
  • A.2.4 Conditional Probability and Expectation
  • A.2.5 Stochastic Processes and Information Structure
  • A.2.6 Martingales
  • A.3 Selected Distributions
  • A.3.1 Basic Distributions
  • A.3.2 Elliptically Contoured Distributions
  • A.3.3 Stable Distribution
  • A.4 Types of Convergence
  • A.5 Sampling Theory
  • List of Figures
  • List of Tables.

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