Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that...

Key Features:This book offers an excellent synthesis of the academic literature in a clear, ordered, and intuitive wayThe continuous-time theory of the choice of portfolio is exposed with particular care when asset dynamics are modeled with processes admitting a jump component. This is a...

Market risk regulations adopted in response to recent crises aim to reduce financial risks. Nevertheless, a large number of practitioners feel that, if these rules seem to succeed in lowering volatility, they appear to rigidify the financial structure of the economic system and tend to increase...

Heterodox economics has, since its inception, stressed the extreme importance of financial crises to understand the nature of finance. Heterodox modelling and heterodox economics were in line with their objective: a critical posture of the neoclassical finance arising from orthodox financial...

The Basle 2 Capital Accord issued by the Basle Committee on banking supervision has proposed a multiplier superior to 3 on banks' internal 99% 10-day Value-at-Risk calculated for market risk exposure. This ad hoc factor has not been fully explained and is poorly justified by arguing that the...

The backbone of financial risk modeling in finance over a long time period of more than a century, the random walk hypothesis has shown substantial variations in its structure throughout its history. In this article, I revisit the history of the random walk model in finance by introducing a new...