Granularity Theory with Applications to Finance and Insurance... - 9781107070837

Granularity Theory with Applications to Finance and InsuranceAuthor(s): Patrick Gagliardini, Christian Gouriroux\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9781107070837, 978-1107070837\nSynopsis\nThe 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 Gouriroux provide the first comprehensive overview of the granularity theory and illust.