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008 170212s2015 gw | s |||| 0|eng d
020 _a9783319075242
_9978-3-319-07524-2
024 7 _a10.1007/978-3-319-07524-2
_2doi
035 _ato000557384
040 _aSpringer
_cSpringer
_dRU-ToGU
050 4 _aHD30.23
072 7 _aKJT
_2bicssc
072 7 _aKJMD
_2bicssc
072 7 _aBUS049000
_2bisacsh
082 0 4 _a658.40301
_223
245 1 0 _aFuture Perspectives in Risk Models and Finance
_helectronic resource
_cedited by Alain Bensoussan, Dominique Guegan, Charles S. Tapiero.
260 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2015.
300 _aXIV, 315 p. 45 illus., 31 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aInternational Series in Operations Research & Management Science,
_x0884-8289 ;
_v211
505 0 _aEstimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model.
520 _aThis book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice.   Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models.  A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks.  A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”.  Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.
650 0 _abusiness.
_9366240
650 0 _aOperations research.
_9303058
650 0 _aDecision making.
_9294514
650 0 _aEconomics, Mathematical.
_9304111
650 0 _aMacroeconomics.
_9134212
650 1 4 _aBusiness and Management.
_9459956
650 2 4 _aOperation Research/Decision Theory.
_9411428
650 2 4 _aQuantitative Finance.
_9304891
650 2 4 _aMacroeconomics/Monetary Economics//Financial Economics.
_9461499
700 1 _aBensoussan, Alain.
_eeditor.
_9311036
700 1 _aGuegan, Dominique.
_eeditor.
_9462564
700 1 _aTapiero, Charles S.
_eeditor.
_9309153
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
830 0 _aInternational Series in Operations Research & Management Science,
_9303329
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-07524-2
912 _aZDB-2-SBE
999 _c412203