Book description
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
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 FinAnalytica, 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 FinAnalytica 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 FinAnalytica.
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).
