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Item Details
| Title:
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GRANULARITY THEORY WITH APPLICATIONS TO FINANCE AND INSURANCE
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| By: |
Patrick Gagliardini, Christian Gourieroux |
| Format: |
Paperback |
| List price:
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£28.00 |
| Our price: |
£25.20 |
| Discount: |
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| You save:
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£2.80 |
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| ISBN 10: |
1107662885 |
| ISBN 13: |
9781107662889 |
| Availability: |
Usually dispatched within 1-3 weeks.
 Delivery
rates
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| Stock: |
Currently 0 available |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
30 September, 2014 |
| Series: |
Themes in Modern Econometrics |
| Pages: |
202 |
| Description: |
This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing. |
| Synopsis: |
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. |
| Illustrations: |
36 b/w illus. 12 tables |
| Publication: |
UK |
| Imprint: |
Cambridge University Press |
| Returns: |
Returnable |
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