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Risk modelling and measurement

Tony Van Gestel and Bart Baesens

in Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

Published in print:
2008
Published Online:
January 2009
ISBN:
9780199545117
eISBN:
9780191720147
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199545117.003.0004
Subject:
Mathematics, Applied Mathematics, Mathematical Finance

This chapter highlights the conceptual aspects of a rating system without focusing on mathematical and technical aspects. An overview is provided of the different aspects of risk measurement and ... More


Acts of God and Man: Ruminations on Risk and Insurance

Michael Powers

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231153676
eISBN:
9780231527057
Item type:
book
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231153676.001.0001
Subject:
Economics and Finance, Development, Growth, and Environmental

This book examines traditional insurance risks such as earthquakes, storms, terrorist attacks, and other disasters. It begins with a discussion of how the risk of such “acts of God and men” impact on ... More


Quantifying Systemic Risk

Prasanna Gai

in Systemic Risk: The Dynamics of Modern Financial Systems

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199544493
eISBN:
9780191747175
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199544493.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter describes work at the Bank of England to develop a quantitative framework to guide macroprudential analysis and bank stress-testing work. The Risk Assessment Model for Systemic ... More


The Shapes of Things to Come: Probabilities and Parameters

Michael R. Powers

in Acts of God and Man: Ruminations on Risk and Insurance

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231153676
eISBN:
9780231527057
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231153676.003.0003
Subject:
Economics and Finance, Development, Growth, and Environmental

This chapter examines complex probability distributions whose shapes make them appropriate for characterizing insurance and other financial risks. In particular, it introduces two important families ... More


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