1188343
9783540421436
The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Riskreviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.Moix, Pierre-Yves is the author of 'Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions' with ISBN 9783540421436 and ISBN 3540421432.
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