The Measurement of Market Risk: Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

ISBN-13: 9783540421436 / Angielski / Miękka / 2001 / 276 str.

Pierre-Yves Moix

Opis

This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter- est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously.

Spis treści

1. Introduction.- 2. Risk and Risk Measures.- 3. Modelling the Dynamics of the Risk Factors.- 4. Valuation of Financial Instruments.- 5. Approximation of the Portfolio Distribution.- 6. Sample Estimation of Risk Measures.- 7. Conclusion and Outlook.- A. Probability and Statistics.- A.1 Probabilistic Modelling.- A.2 Random Variable.- A.2.1 Distribution Function.- A.2.2 Moments.- A.2.3 Independence and Correlation.- A.2.4 Conditional Probability and Expectation.- A.2.5 Stochastic Processes and Information Structure.- A.2.6 Martingales.- A.3 Selected Distributions.- A.3.1 Basic Distributions.- A.3.2 Elliptically Contoured Distributions.- A.3.3 Stable Distribution.- A.4 Types of Convergence.- A.5 Sampling Theory.- List of Figures.- List of Tables.