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For many years he has been working on the applications of extreme value theory to financial markets : the statistical distribution of extreme returns, the setting of margins in derivatives markets, the impact of financial regulation on market volatility, the improvement of portfolio management techniques during highly volatile periods, the computation of value at risk for market positions, the definition of catastrophe scenarios for stress testing His research has been applied by financial institutions in the risk management area market, credit and operational risks.

He received the Chicago Board of Trade award for his research on derivative products. He is currently a financial consultant and his domain of expertise covers risk management for financial institutions, portfolio management for asset management firms, financial management for non-financial firms and wealth management for individuals.

7. Value At Risk (VAR) Models

Bernard Hirsch B. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest:.

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The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to:.

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His research interests include stochastic modeling of financial and commodity markets, applied stochastic optimization to long term financial planning problems, approximation methods for large scale optimization and financial engineering applications. He is a Springer author.

  1. Model Risk Definition.
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  4. Her main research activities are in Discrete Mathematics applied to economics and finance; Stochastic Processes applied to finance and energy series; Energy and environmental markets; and Ranking and journal classification using fuzzy statistical techniques. She has published several books in both English and Italian one with Springer.

    Modeling the Entire Balance Sheet of a Bank

    JavaScript is currently disabled, this site works much better if you enable JavaScript in your browser. Represents the state of the art in commodity and financial market analysis Particular attention to recent research on risk theory and management Editors and contributors are leaders in the field see more benefits.

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