Risk Management

Value at Risk and Beyond
Herausgeber: M. a. H., Dempster; Dempster, M. A. H.

• Broschiertes Buch

Produktbeschreibung

2002 Collection of papers on financial risk analysis, addressing the weaknesses of Value at Risk theory.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 290
• Erscheinungstermin: 1. November 2010
• Englisch
• Abmessung: 229mm x 152mm x 17mm
• Gewicht: 474g
• ISBN-13: 9780521169639
• ISBN-10: 0521169631
• Artikelnr.: 31386880

Inhaltsangabe

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.