Risk measures in quantitative finance

A pr 2 00 9 Risk Measures in Quantitative Finance

This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current ongoing global credit crunch 1 has highlighted the importance of risk measurement in Finance to companies and regulators alike. Despite risk measurement’s cen...

On Risk Measures and Decisions in Insurance and Finance∗

In this paper, we argue that there exists a distinction between risk measures and decision principles. Though both can be regarded as functionals assigning a real number to a random variable, we think that there is a hierarchy between the two concepts. Risk measures operate on the first “level”, quantifying the risk in the situation under consideration, while decision principles operate on the ...

Quantitative Methods in Finance

Quantitative Data Analysis in Finance

Quantitative tools have been widely adopted in order to extract the massive information from a variety of financial data. Mathematics, statistics and computers algorithms have never been so important to financial practitioners in history. Investment banks develop equilibrium models to evaluate financial instruments; mutual funds applied time series to identify the risks in their portfolio; and ...

Quantitative Finance Research Centre

This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is its growth optimal portfolio (GOP), which maximizes the growth rate of strictly positive portfolios. Primary security account prices, when exp...