Modeling, Measuring and Managing Risk Review

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(More customer reviews)This book is about advanced issues in modelling and risk management. Chapter 1 gives a brief account of basic probability notions. Chapters 3 and 4 are the heavy mathematical ones. Authors use extensively results from functional analysis in order to link different measures under a unified approach. Namely it is shown that many risk measures descend from the AVaR by proper optimization of specific objective functions. The last two chapters briefly expose the reader to multistage and single stage stochastic programming, not by having a concise theory about stochastic programming but rather presenting models and how they are formulated. In short this is a non practitioners book, it is a mathematician's book, practitioners can only consult the results directly. I give four stars for the practitioner and five for the mathematician, however you must know enough functional analysis.
By accident i pressed three stars. I GIVE 4 STARS

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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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