A Probability Metrics Approach to Financial Risk Measures

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

Svetlozar T. Rachev is Chair-Professor in Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe in the School of Economics and Business Engineering. Stoyan V. Stoyanov is a Professor of Finance at EDHEC Business School and Scientific Director for EDHEC-Risk Institute in Asia. Frank J. Fabozzi is Professor in the Practice of Finance in the School of Management at Yale University.