{"product_id":"var-methodology-for-non-gaussian-finance","title":"VaR Methodology for Non-Gaussian Finance","description":"\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.\u003c\/p\u003e \u003cp\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","brand":"ISTE Ltd and John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":54231827251544,"sku":"9781848214644","price":172.3,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9781848214644.jpg?v=1780111841","url":"https:\/\/agendabookshop.com\/products\/var-methodology-for-non-gaussian-finance","provider":"Agenda Bookshop","version":"1.0","type":"link"}