Overview

Full Product Details

9781107662889

Table of Contents

Reviews

'Credible portfolio risk assessment requires financial-econometric methods that respect the limitations of finite samples (finite numbers of assets) in real portfolios. Gagliardini and Gouriéroux propose and explore asymptotic expansions (granularity adjustments) that do just that. As expected, their book displays a wonderful clarity of thought and will be highly valued in academic, policy and practitioner circles.' Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics, University of Pennsylvania 'The global financial crisis provided a stunning revelation of the complex interdependencies of risks in the banking sector and far beyond. This book provides a much-needed comprehensive study of the granularity principle designed to tackle the analysis of highly nonlinear risks imbedded in portfolios of credits or life insurance contracts. It is a timely and extremely important contribution.' Eric Ghysels, Edward Bernstein Professor of Economics and Professor of Finance, University of North Carolina, Chapel Hill 'Gagliardini and Gouriéroux consolidate and advance the past decade's developments in analysis of portfolios of not-quite-asymptotic size. This unique monograph offers a variety of risk management, econometric and derivative pricing applications in a clear and unified framework.' Michael Gordy

Advance praise: 'Credible portfolio risk assessment requires financial-econometric methods that respect the limitations of finite samples (finite numbers of assets) in real portfolios. Gagliardini and Gourieroux propose and explore asymptotic expansions (granularity adjustments) that do just that. As expected, their book displays a wonderful clarity of thought and will be highly valued in academic, policy and practitioner circles.' Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics, University of Pennsylvania Advance praise: 'The global financial crisis provided a stunning revelation of the complex interdependencies of risks in the banking sector and far beyond. This book provides a much-needed comprehensive study of the granularity principle designed to tackle the analysis of highly nonlinear risks imbedded in portfolios of credits or life insurance contracts. It is a timely and extremely important contribution.' Eric Ghysels, Edward Bernstein Professor of Economics and Professor of Finance, University of North Carolina, Chapel Hill Advance praise: 'Gagliardini and Gourieroux consolidate and advance the past decade's developments in analysis of portfolios of not-quite-asymptotic size. This unique monograph offers a variety of risk management, econometric and derivative pricing applications in a clear and unified framework.' Michael Gordy

Author Information

Patrick Gagliardini is full Professor of Econometrics at Università della Svizzera italiana, Lugano, Switzerland. He graduated from the ETH in Zürich with a degree in physics in 1998 and received his PhD in economics from the University of Lugano in 2003. He has also held a position of assistant professor at the University of St Gallen. His research interests lie in econometrics and financial econometrics and focus especially on large-scale factor models, credit risk, asset pricing, and semi- and non-parametric methods. He is coauthor of research articles published in Econometrica, the Review of Financial Studies, the Journal of Econometrics, and Econometric Theory. Christian Gouriéroux is director of the Laboratory of Finance and Insurance at the Center for Research in Economics and Statistics (CREST) in Paris and professor at the University of Toronto. He has published numerous papers on both theoretical and applied econometrics, with a special emphasis on credit, finance, insurance, and systemic risk. He is the coauthor of Statistics and Econometric Models and Time Series and Dynamic Models, both published by Cambridge University Press, and of Financial Econometrics and Econometrics of Individual Risks. He has also received the Tjalling C. Koopmans Econometric Theory Prize. Gouriéroux was scientific adviser for credit scoring and implementation of Basel regulation at BNP Paribas. He is a member of the scientific committees of the French Financial Market Authority and the Prudential Supervision and Resolution Authority.

Tab Content 6

Customer Reviews

Recent Reviews

Countries Available