VaR Methodology for Non-Gaussian Finance by Marine Habart-Corlosquet,Jacques Janssen,Raimondo Manca

By Marine Habart-Corlosquet,Jacques Janssen,Raimondo Manca

With the influence of the new monetary crises, extra consciousness has to be given to new types in finance rejecting “Black-Scholes-Samuelson” assumptions resulting in what's referred to as non-Gaussian finance. With the becoming value of Solvency II, Basel II and III regulatory principles for insurance firms and banks, price in danger (VaR) – some of the most well known hazard indicator innovations performs a basic function in defining acceptable degrees of equities. the purpose of this ebook is to teach how new VaR suggestions should be outfitted extra adequately for a main issue situation.
VaR method for non-Gaussian finance seems to be on the significance of VaR in common overseas principles for banks and insurance firms; offers the 1st non-Gaussian extensions of VaR and applies numerous easy statistical theories to increase classical result of VaR ideas equivalent to the NP approximation, the Cornish-Fisher approximation, severe and a Pareto distribution. numerous non-Gaussian types utilizing Copula technique, Lévy methods besides specific cognizance to versions with jumps reminiscent of the Merton version are awarded; as are the dignity of time homogeneous and non-homogeneous Markov and semi-Markov approaches and for every of those models.


1. Use of Value-at-Risk (VaR) concepts for Solvency II, Basel II and III.
2. Classical Value-at-Risk (VaR) Methods.
three. VaR Extensions from Gaussian Finance to Non-Gaussian Finance.
four. New VaR tools of Non-Gaussian Finance.
five. Non-Gaussian Finance: Semi-Markov Models.

About the Authors

Marine Habart-Corlosquet is a professional and licensed Actuary at BNP Paribas Cardif, Paris, France. She is co-director of EURIA (Euro-Institut d’Actuariat, collage of West Brittany, Brest, France), and affiliate researcher at Telecom Bretagne (Brest, France) in addition to a board member of the French Institute of Actuaries. She teaches at EURIA, Telecom Bretagne and Ecole Centrale Paris (France). Her major study pursuits are pandemics, Solvency II inner types and ALM matters for coverage companies.
Jacques Janssen is now Honorary Professor on the Solvay company institution (ULB) in Brussels, Belgium, having formerly taught at EURIA (Euro-Institut d’Actuariat, collage of West Brittany, Brest, France) and Telecom Bretagne (Brest, France) in addition to being a director of Jacan coverage and Finance providers, a consultancy and coaching company.
Raimondo Manca is Professor of mathematical tools utilized to economics, finance and actuarial technological know-how at collage of Roma “La Sapienza” in Italy. he's affiliate editor for the magazine method and Computing in utilized chance. His major study pursuits are multidimensional linear algebra, computational chance, software of stochastic procedures to economics, finance and coverage and simulation models.

Show description

Read or Download VaR Methodology for Non-Gaussian Finance PDF

Best finance books

China's Rise in the World ICT Industry: Industrial Strategies and the Catch-Up Development Model (China Policy Series)

Essentially the most amazing phenomena of China’s amazing monetary development is that its large quantity of exports have gotten high-tech. China is now the world's greatest info and conversation know-how (ICT) exporter, having overtaken Japan and the eu Union in 2003 and the USA in 2004.

The German Financial System

This ebook is either a reference e-book on Germany's economy and a contribution to the commercial debate approximately its prestige at the start of the twenty-first century. In giving a accomplished account of the various points of the process, it covers company governance, dating lending, inventory industry improvement, investor defense, the enterprise capital undefined, and the accounting procedure, and stories on financial transmission and the credits channel, legislation andbanking pageant, the coverage and funding undefined, and mergers and acquisitions.

Exchange Rates and International Finance 6th edn

Acclaimed for its readability, trade premiums and overseas Finance presents an approachable consultant to the factors and effects of trade price fluctuations, allowing you to know the necessities of the idea and its relevance to those significant occasions in foreign money markets. The orientation of the e-book is still in the direction of alternate price decision, with specific emphasis given to the contributions of contemporary finance idea.

Modeling and Forecasting Primary Commodity Prices

Contemporary fiscal progress in China and different Asian international locations has ended in elevated commodity call for which has brought on cost rises and accompanying rate fluctuations not just for crude oil but in addition for the various different uncooked fabrics. Such traits suggest that international commodity markets are once more lower than severe scrutiny.

Extra info for VaR Methodology for Non-Gaussian Finance

Sample text

Download PDF sample

Rated 4.70 of 5 – based on 40 votes