The Measurement of Market Risk Modelling of Risk Factors, Asset Pric
This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfi
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Founding Editors: M. Beckmann H. P. Kiinzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II,58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Co-Editors: C. D. Aliprantis, Dan Kovenock
Editorial Board: P. Bardsley, A. Basile, M.R. Baye, T. Cason, R. Deneckere, A. Drexl, G. Feichtinger, M. Florenzano, W. Giith, K. Inderfurth, M. Kaneko, P. Korhonen, W. Kiirsten, M. Li Calzi, P. K. Monteiro, Ch. Noussair, G. Philips, U. Schittko, P. Schönfeld, R. Selten, G. Sorger, R. Steuer, F. Vega-Redondo, A. P. Villamil, M. Wooders
Springer-V erlag Berlin Heidelberg GmbH
Pierre-Yves Moix
The Measurement of Market Risk Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions
Springer
Author Dr. Pierre-Yves Moix, CFA Untere Torfeldstrasse 52 5033 Buchs/AG Switzerland
Cataloging-in-Publication data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Moix, Pierre-Yves: The measurement of market risk : modelling of risk factors, asset pricing, and approximation of portfolio distributions / Pierre-Yves Moix. - Berlin; Heidelberg ; New York; Barcelona; Hong Kong ; London ; Milan ; Paris; Singapore; Tokyo: Springer, 2001 (Lecture notes in economics and mathematical systems ; 504) ISBN 978-3-540-42143-6 ISBN 978-3-642-56481-9 (eBook) DOI 10.1007/978-3-642-56481-9
ISSN 0075-8450
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© Springer-Verlag Berlin Heidelberg 2001 Originally published by Springer-Verlag Berlin Heidelberg New York in 2001 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author/editors Cover design: design & production, Heidelberg Printed on acid-free paper
SPIN: 10840038
55/3142/du
543210
To
Sophie Rose, Susanne, Marie-Rose and Gerard To the memory of my onele
Ernest Moix (1927-1999)
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((L )absence est l)amour ce qu)est au feu le vent; il eteint le petit et allume le grand)) Roger de Bussy-Rabuttin "Histoire amoureuse de GauZes"
Preface
This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to than
