Lorenz-based quantitative risk management

Andrea Fontanari

Research output: ThesisDissertation (TU Delft)

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Abstract

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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Delft University of Technology
Supervisors/Advisors
  • Oosterlee, C.W., Supervisor
  • Cirillo, Pasquale, Advisor
Award date10 Dec 2019
Print ISBNs978-94-6380-657-2
DOIs
Publication statusPublished - 2019

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