Risk Management

Value at Risk and Beyond

M.A.H. Dempster

274 pages

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Indisponible

Résumé

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, 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. It will be essential reading for all involved in financial risk management.

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.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	M.A.H. Dempster
Nb. de pages	274
Format	15 x 23,5
Couverture	Relié
Poids	600g
Intérieur	Noir et Blanc
EAN13	9780521781800
ISBN13	978-0-521-78180-0