{"product_id":"9781848214644-var-methodology-for-non-gaussian-finance","title":"VaR Methodology for Non-Gaussian Finance","description":"\u003cmeta content=\"text\/html; charset=utf-8\" http-equiv=\"Content-Type\"\u003e\u003cp\u003e\u003cspan\u003eWith 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.\u003cbr\u003e\u003cp\u003eWith 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.\u003cbr\u003eVaR 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.\u003c\/p\u003e \u003cp\u003eContents\u003c\/p\u003e \u003cp\u003e1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III.\u003cbr\u003e2. Classical Value-at-Risk (VaR) Methods.\u003cbr\u003e3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance.\u003cbr\u003e4. New VaR Methods of Non-Gaussian Finance.\u003cbr\u003e5. Non-Gaussian Finance: Semi-Markov Models.\u003c\/p\u003e\n\u003cbr\u003e\u003cbr\u003e\u003c\/span\u003e\u003c\/p\u003e","brand":"Rarewaves","offers":[{"title":"Default Title","offer_id":55184043606390,"sku":"9781848214644","price":163.04,"currency_code":"GBP","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0092\/7504\/8033\/files\/orig_32497042.jpg?v=1737651236","url":"https:\/\/www.rarewaves.com\/products\/9781848214644-var-methodology-for-non-gaussian-finance","provider":"Rarewaves.com","version":"1.0","type":"link"}