Granularity theory with applications to finance and insurance /

Granularity theory with applications to finance and insurance /

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Bibliographic Details
Author / Creator:	Gagliardini, Patrick, 1974-
Imprint:	New York, NY : Cambridge University Press, 2014.
Description:	xvi, 186 pages : illustrations ; 24 cm.
Language:	English
Series:	Themes in modern econometrics Themes in modern econometrics.
Subject:	Finance -- Mathematical models. Insurance -- Mathematical models. Finance -- Mathematical models. Insurance -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/10118136

Hidden Bibliographic Details
Other authors / contributors:	Gourieroux, Christian, 1949-
ISBN:	9781107070837 (hardback) 110707083X (hardback) 9781107662889 (paperback) 1107662885 (paperback)
Notes:	Includes bibliographical references and index.
Summary:	"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"--
Standard no.:	40024203178

Regenstein, Bookstacks

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Call Number:	HG106.G34 2014
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