Risk Management
Risk Management
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, which was originally published in 2002, 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.
- Documents risk management concepts and techniques
- Covers all aspects: market through credit to operational risk management
- High-profile contributors
Product details
December 2004Adobe eBook Reader
9780511060656
0 pages
0kg
This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of 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.
