Modeling, Measuring and Managing Risk
- ISBN-10
- 9812708723
- ISBN-13
- 9789812708724
- Category
- Business & Economics
- Pages
- 286
- Language
- English
- Published
- 2007
- Publisher
- World Scientific
- Authors
- Werner Römisch, Georg Ch Pflug
Description
This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.
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