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Inhaltsangabe
1. Introduction.- 2. Risk and Risk Measures.- 3. Modelling the Dynamics of the Risk Factors.- 4. Valuation of Financial Instruments.- 5. Approximation of the Portfolio Distribution.- 6. Sample Estimation of Risk Measures.- 7. Conclusion and Outlook.- A. Probability and Statistics.- A.1 Probabilistic Modelling.- A.2 Random Variable.- A.2.1 Distribution Function.- A.2.2 Moments.- A.2.3 Independence and Correlation.- A.2.4 Conditional Probability and Expectation.- A.2.5 Stochastic Processes and Information Structure.- A.2.6 Martingales.- A.3 Selected Distributions.- A.3.1 Basic Distributions.- A.3.2 Elliptically Contoured Distributions.- A.3.3 Stable Distribution.- A.4 Types of Convergence.- A.5 Sampling Theory.- List of Figures.- List of Tables.
1. Introduction.- 2. Risk and Risk Measures.- 3. Modelling the Dynamics of the Risk Factors.- 4. Valuation of Financial Instruments.- 5. Approximation of the Portfolio Distribution.- 6. Sample Estimation of Risk Measures.- 7. Conclusion and Outlook.- A. Probability and Statistics.- A.1 Probabilistic Modelling.- A.2 Random Variable.- A.2.1 Distribution Function.- A.2.2 Moments.- A.2.3 Independence and Correlation.- A.2.4 Conditional Probability and Expectation.- A.2.5 Stochastic Processes and Information Structure.- A.2.6 Martingales.- A.3 Selected Distributions.- A.3.1 Basic Distributions.- A.3.2 Elliptically Contoured Distributions.- A.3.3 Stable Distribution.- A.4 Types of Convergence.- A.5 Sampling Theory.- List of Figures.- List of Tables.
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