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Granularity theory with applications to finance and insurance

By: Gagliardini, Patrick Gourieroux, Christian

Part of the Themes in Modern Econometrics series
1107662885 / 9781107662889
Paperback
330.015195
06/10/2014
Usually dispatched within 4 weeks
England
200 pages : illustrations (black and white).
Professional & Vocational  Learn More

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.

BIC:

KCH Econometrics

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RRP £23.99
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