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Coherent risk measures

Freddy Delbean
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      The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to translate problems from Risk Management into mathematics and back. Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. We concentrate on the mathematics behind the concept of coherent risk measures.
      Format: Paperback / softback CONTRIBUTORS: Freddy Delbean EAN: 9788876423055 COUNTRY: Italy PAGES: WEIGHT: 0 g HEIGHT: 240 cm
      PUBLISHED BY: Birkhauser Verlag AG DATE PUBLISHED: 2002-10-01 CITY: GENRE: MATHEMATICS / Game Theory WIDTH: 170 cm SPINE:

      Book Themes:

      Game theory

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      The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to translate problems from Risk Management into mathematics and back. Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. We concentrate on the mathematics behind the concept of coherent risk measures.
      Format: Paperback / softback CONTRIBUTORS: Freddy Delbean EAN: 9788876423055 COUNTRY: Italy PAGES: WEIGHT: 0 g HEIGHT: 240 cm
      PUBLISHED BY: Birkhauser Verlag AG DATE PUBLISHED: 2002-10-01 CITY: GENRE: MATHEMATICS / Game Theory WIDTH: 170 cm SPINE:

      Book Themes:

      Game theory

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      Be the first to write a review
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