Risk Management: Value at Risk and Beyond

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Juli 2010



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


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.


"...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
EAN: 9780521781800
ISBN: 0521781809
Untertitel: New. Sprache: Englisch.
Erscheinungsdatum: Juli 2010
Seitenanzahl: 290 Seiten
Format: gebunden
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