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Ouvrages Année : 2013

VaR Methodology for Non-Gaussian Finance

Résumé

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting "Black-Scholes-Samuelson" assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) - one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models.
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Dates et versions

hal-01196459 , version 1 (09-09-2015)

Identifiants

  • HAL Id : hal-01196459 , version 1

Citer

Marine Corlosquet-Habart, Jacques Janssen, Raimondo Manca. VaR Methodology for Non-Gaussian Finance. Wiley-ISTE, pp.176, 2013, Finance, Business & Management, 978-1-84821-464-4. ⟨hal-01196459⟩
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