Risk Quantification and Allocation Methods for Practitioners offers a practical approach to risk management in the financial industry. This in-depth study provides quantitative tools to better describe qualitative issues, as well as clear explanations of how to transform recent theoretical developments into computational practice, and key tools for dealing with the issues of risk measurement and capital allocation.
Contents
Preliminary concepts on quantitative risk measurement -- Data on losses for risk evaluation -- A family of distortion risk measures -- GlueVaR and other new risk measures -- Risk measure choice -- An overview on capital allocation problems -- Capital allocation based on GlueVaR -- Capital allocation principles as compositional data.
