Mastering Risk

Vol 2: Applications - Your Single-Source Guide to Becoming a Master of Risk

Carol Alexander

256 pages, parution le 01/01/2001

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Résumé

Effective risk management is now crucial to the success of virtually every large enterprise. In Mastering Risk, Volume 2, one of the world's leading risk management experts reviews today's best techniques for evaluating and managing all four key risks facing the enterprise: market risk, credit risk, operational risk, and financial risk.

KEY TOPICS:In Part I, Alexander introduces today's most powerful techniques for modeling market risk, presenting efficient Monte Carlo methods for value at risk; new Orthogonal GARCH forecasting techniques; and Strike Adjusted Spreads for calculating the value of equity options. Next, she reviews approaches to modeling credit risk, showing how to identifying key assumptions in models of portfolio credit risk, model default correlations in bond portfolios, estimate default probabilities, and price the risks of default. In Part III, she demonstrates how to measure and manage operational risk, showing how to design an end-to-end operational risk framework from the bottom up. Finally, she presents new advances in the measurement and management of financial risk, including co-integration, managing model risks, and more.

MARKET:For all financial professionals concerned with risk, including investment bankers, portfolio managers, quantitative analysts, and risk managers.

Introduction.
Market Risks.
- Introduction
- Efficient Monte Carlo methods for Value-at-Risk
- Orthogonal GARCH
- Strike-adjusted spread: a new metric for estimating the value of equity options
- Recent advances in more realistic market risk management: the hyperbolic model
- Cointegration: the new risk relationship
- Managing model risk
Credit Risks
- Introduction
- What wags the tail?
- Identifying the key assumptions in models of portfolio credit risk
- Modeling default correlation in bond portfolios
- Pricing the risks of default
- The estimation of default probabilities: a review of alternative methodologies and why they give different results
Operational Risks
- Introduction
- Mathematical techniques for pricing and hedging operational risk
- Designing an operational risk framework from a bottom-up perspective
- The Bayesian approach to measuring operational risks
- Operational risk and regulatory capital

Subject index
Organization index
Name index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Prentice Hall
Auteur(s)	Carol Alexander
Parution	01/01/2001
Nb. de pages	256
Format	19 x 25
Couverture	Broché
Poids	645g
Intérieur	Noir et Blanc
EAN13	9780273654360