Risk Management: Value at Risk and Beyond
Editat de M. A. H. Dempsteren Limba Engleză Paperback – 8 dec 2010
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Specificații
ISBN-13: 9780521169639
ISBN-10: 0521169631
Pagini: 290
Dimensiuni: 152 x 229 x 17 mm
Greutate: 0.43 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
ISBN-10: 0521169631
Pagini: 290
Dimensiuni: 152 x 229 x 17 mm
Greutate: 0.43 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
Cuprins
Introduction; 1. Quantifying the risks of trading: comparing and contrasting the measurement of market risk (VaR) and counterparty exposure Evan Picoult; 2. Value at risk analysis of a leveraged swap Sanjay Srivastava; 3. Stress testing in a Value at Risk framework Paul H. Kupiec; 4. Dynamic portfolio replication using stochastic programming M. A. H. Dempster and G. W. P. Thompson; 5. Credit and interest rate risk William Perraudin, Rudiger Kiesel and Alex Taylor; 6. Coherent measures of risk Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath; 7. Correlation and dependency in risk management: properties and pitfalls Paul Embrechts, Alexander J. McNeil and Daniel Straumann; 8. Measuring risk with extreme value theory Richard L. Smith; 9. Extremes in Operational Risk management M. N. Kyriacou and E. A. Medova.
Recenzii
"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association
Descriere
2002 Collection of papers on financial risk analysis, addressing the weaknesses of Value at Risk theory.