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VaR Methodology for Non-Gaussian Finance
von Marine Habart-Corlosquet, Jacques Janssen und Raimondo MancaWith the impact of the recent financial crises, more attentionmust be given to new models in finance rejecting„Black-Scholes-Samuelson“ assumptions leading to whatis called non-Gaussian finance. With the growing importance ofSolvency II, Basel II and III regulatory rules for insurancecompanies and banks, value at risk (VaR) - one of the mostpopular risk indicator techniques plays a fundamental role indefining appropriate levels of equities. The aim of this book is toshow how new VaR techniques can be built more appropriately for acrisis situation.
VaR methodology for non-Gaussian finance looks at the importance ofVaR in standard international rules for banks and insurancecompanies; gives the first non-Gaussian extensions of VaR andapplies several basic statistical theories to extend classicalresults of VaR techniques such as the NP approximation, theCornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévyprocesses along with particular attention to models with jumps suchas the Merton model are presented; as are the consideration of timehomogeneous and non-homogeneous Markov and semi-Markov processesand for each of these models.
Contents
1. Use of Value-at-Risk (VaR) Techniques for Solvency II, BaselII and III.
2. Classical Value-at-Risk (VaR) Methods.
3. VaR Extensions from Gaussian Finance to Non-GaussianFinance.
4. New VaR Methods of Non-Gaussian Finance.
5. Non-Gaussian Finance: Semi-Markov Models.
About the Authors
Marine Habart-Corlosquet is a Qualified and Certified Actuary atBNP Paribas Cardif, Paris, France. She is co-director of EURIA(Euro-Institut d'Actuariat, University of West Brittany, Brest, France), and associate researcher at Telecom Bretagne(Brest, France) as well as a board member of the French Instituteof Actuaries. She teaches at EURIA, Telecom Bretagne and EcoleCentrale Paris (France). Her main research interests are pandemics, Solvency II internal models and ALM issues for insurancecompanies.
Jacques Janssen is now Honorary Professor at the Solvay BusinessSchool (ULB) in Brussels, Belgium, having previously taught atEURIA (Euro-Institut d'Actuariat, University of WestBrittany, Brest, France) and Telecom Bretagne (Brest, France) aswell as being a director of Jacan Insurance and Finance Services, aconsultancy and training company.
Raimondo Manca is Professor of mathematical methods applied toeconomics, finance and actuarial science at University of Roma„La Sapienza“ in Italy. He is associate editor for thejournal Methodology and Computing in Applied Probability. His mainresearch interests are multidimensional linear algebra, computational probability, application of stochastic processes toeconomics, finance and insurance and simulation models.
VaR methodology for non-Gaussian finance looks at the importance ofVaR in standard international rules for banks and insurancecompanies; gives the first non-Gaussian extensions of VaR andapplies several basic statistical theories to extend classicalresults of VaR techniques such as the NP approximation, theCornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévyprocesses along with particular attention to models with jumps suchas the Merton model are presented; as are the consideration of timehomogeneous and non-homogeneous Markov and semi-Markov processesand for each of these models.
Contents
1. Use of Value-at-Risk (VaR) Techniques for Solvency II, BaselII and III.
2. Classical Value-at-Risk (VaR) Methods.
3. VaR Extensions from Gaussian Finance to Non-GaussianFinance.
4. New VaR Methods of Non-Gaussian Finance.
5. Non-Gaussian Finance: Semi-Markov Models.
About the Authors
Marine Habart-Corlosquet is a Qualified and Certified Actuary atBNP Paribas Cardif, Paris, France. She is co-director of EURIA(Euro-Institut d'Actuariat, University of West Brittany, Brest, France), and associate researcher at Telecom Bretagne(Brest, France) as well as a board member of the French Instituteof Actuaries. She teaches at EURIA, Telecom Bretagne and EcoleCentrale Paris (France). Her main research interests are pandemics, Solvency II internal models and ALM issues for insurancecompanies.
Jacques Janssen is now Honorary Professor at the Solvay BusinessSchool (ULB) in Brussels, Belgium, having previously taught atEURIA (Euro-Institut d'Actuariat, University of WestBrittany, Brest, France) and Telecom Bretagne (Brest, France) aswell as being a director of Jacan Insurance and Finance Services, aconsultancy and training company.
Raimondo Manca is Professor of mathematical methods applied toeconomics, finance and actuarial science at University of Roma„La Sapienza“ in Italy. He is associate editor for thejournal Methodology and Computing in Applied Probability. His mainresearch interests are multidimensional linear algebra, computational probability, application of stochastic processes toeconomics, finance and insurance and simulation models.
