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Risk Management : Value at Risk and Beyond - M. A. H. Dempster

Risk Management

Value at Risk and Beyond

By: M. A. H. Dempster (Editor)

Paperback

Published: 17th March 2011
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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.

"...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

Introduction
Quantifying the risks of trading: comparing and contrasting the measurement of market risk (VaR) and counterparty exposure
Value at risk analysis of a leveraged swap
Stress testing in a Value at Risk framework
Dynamic portfolio replication using stochastic programming
Credit and interest rate risk
Coherent measures of risk
Correlation and dependency in risk management: properties and pitfalls
Measuring risk with extreme value theory
Extremes in Operational Risk management
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521169639
ISBN-10: 0521169631
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 290
Published: 17th March 2011
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 22.23 x 14.61  x 1.91
Weight (kg): 0.45