The recent financial crisis has heightened the need for appropriate
methodologies for managing and monitoring complex risks in
financial markets. The measurement, management, and regulation of
risks in portfolios composed of credits, credit derivatives, or
life insurance contracts is difficult because of the nonlinearities
of risk models, dependencies between individual risks, and the
several thousands of contracts in large portfolios. The granularity
principle was introduced in the Basel regulations for credit risk
to solve these difficulties in computing capital reserves. In this
book, authors Patrick Gagliardini and Christian Gourieroux provide
the first comprehensive overview of the granularity theory and
illustrate its usefulness for a variety of problems related to risk
analysis, statistical estimation, and derivative pricing in finance
and insurance. They show how the granularity principle leads to
analytical formulas for risk analysis that are simple to implement
and accurate even when the portfolio size is large."
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