The last five years have witnessed a great momentum in the research
into measures of financial risk. After many years of ad-hoc and
non-consistent measures, now the problem is finally well formulated
and some useful and very user-friendly solutions have been
proposed. These new measures of risk should be of great interest
for investors, financial institutions as well as for regulators.
Under the editorship of Professor Giorgio Szego of the
University of Rome "La Sapienza," this book is a collection of the
revised and updated papers from prestigious international
specialists who are leaders in their field, amongst whom is Robert
Engle, a newly-announced Nobel prize-winner in finance. These
authors bring a broad perspective across a wide selection of
topics, ranging from the critique of some currently used methods,
like Value at Risk, to the presentation of some correct risk
measures and of some advanced application
The book provides a detailed and up-to-date reference for
researchers within academia, and risk managers or financial
engineers.
General
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