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Granularity Theory with Applications to Finance and Insurance

Granularity Theory with Applications to Finance and Insurance

by Patrick Gagliardini and Christian Gourieroux
Paperback
Publication Date: 06/10/2014
  $49.95
      Please Note: We will source your item through a special order. Generally sent within 120 days.
The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gourieroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.
ISBN:
9781107662889
9781107662889
Category:
Econometrics
Format:
Paperback
Publication Date:
06-10-2014
Language:
English
Publisher:
Cambridge University Press
Country of origin:
United Kingdom
Pages:
202
Dimensions (mm):
228x153x11mm
Weight:
0.29kg

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