Lorenz-based quantitative risk management

In this thesis, we address problems of quantitative risk management using a specific set of tools that go under the name of Lorenz curve and inequality indices, developed to describe the socio-economic variability of a random variable. Quantitative risk management deals with the estimation of the uncertainty that is embedded in the activities of banks and other financial players due, for example, to market fluctuations. Since the well-being of such financial players is fundamental for the correct functioning of the economic system, an accurate description and estimation of such uncertainty is crucial.

• View at Publisher
• View at Worldcat

Full Text ( Final Version , 11mb )