The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.
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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.
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"...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
2002 Collection of papers on financial risk analysis, addressing the weaknesses of Value at Risk theory.

Produktdetaljer

ISBN
9780521169639
Publisert
2010-12-09
Utgiver
Vendor
Cambridge University Press
Vekt
430 gr
Høyde
229 mm
Bredde
152 mm
Dybde
17 mm
Aldersnivå
P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
290

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