Risk Management - Value at Risk and Beyond

List of contents

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.

Summary

In this 2002 book some of the leading figures in risk management examine the complex issues governing the stability of the global financial system. Chapters present a mix of theory and practice, from axiomatics, measurement and extreme value theory to operational, credit and market risk. Essential reading for all involved in financial risk management.

Product details

• Assisted by: M. A. H. Dempster (Editor), H. K. Moffatt (Editor)
• Publisher: Cambridge University Press
• Languages: English
• Product format: Hardback
• Released: 02.07.2010
• EAN: 9780521781800
• ISBN: 978-0-521-78180-0
• No. of pages: 290
• Dimensions: 157 mm x 235 mm x 22 mm
• Weight: 625 g
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics