Risk Management : Value at Risk and Beyond

✍ Scribed by M A H Dempster

Publisher: Cambridge University Press
Year: 2002
Tongue: English
Leaves: 290
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Content: Cover; Half-title; Title; Copyright; CONTENTS; Contributors; Introduction; Quantifying the Risks of Trading; Value at Risk Analysis of a Leveraged Swap; Stress Testing in a Value at Risk Framework; Dynamic Portfolio Replication Using Stochastic Programming; Credit and Interest Rate Risk; Coherent Measures of Risk; Correlation and Dependence in Risk Management: Properties and Pitfalls; Measuring Risk with Extreme Value Theory; Extremes in Operational Risk Management.
Abstract:

Collection of papers on financial risk analysis, addressing the weaknesses of Value at Risk theory. Read more...

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