Risk management : value at risk and beyond /

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This text examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice. It should be essential reading for all involved in financial risk management.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Dempster, M. A. H. (Michael Alan Howarth), 1938-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge ; New York : Cambridge University Press, 2002.
Temas:
Risk management.
Derivative securities.
Gestion du risque.
Instruments dérivés (Finances)
risk management.
BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.
Derivative securities
Risk management
Wirtschaftsmathematik
Risikotheorie
Portfolio-analyse.
Administração de risco.
Administração de portfólio.
Derivativos.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Introduction / M.A.H. Dempster
  • Quantifying the risks of trading / Evan Picoult
  • Value at risk analysis of a leveraged swap / Sanjay Srivastava
  • Stress testing in a value at risk framework / Paul H. Kupiec
  • Dynamic portfolio replication using stochastic programming / M.A.H. Dempster and G.W.P. Thompson
  • Credit and interest rate risk / R. Kiesel, W. Perraudin and A.P. Taylor
  • Coherent measures of risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath
  • Correlation and dependence in risk management: properties and pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann
  • Measuring risk with extreme value theory / Richard L. Smith
  • Extremes in operational risk management / E.A. Medova and M.N. Kyriacou.

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