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    Hedge funds: a copula approach for risk management

    Geman, Helyette (2004) Hedge funds: a copula approach for risk management. In: Szegö, G. and Kharoubi, C. (eds.) Risk Measures for the 21st Century. Wiley. ISBN 9780470861547.

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    Abstract

    Book synopsis: 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.

    Metadata

    Item Type: Book Section
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 09 Jun 2020 07:10
    Last Modified: 28 Jul 2020 09:45
    URI: https://eprints.bbk.ac.uk/id/eprint/32191

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