Risk management : value at risk and beyond
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : M A H Dempster
- ناشر : Cambridge ; New York : Cambridge University Press
- چاپ و سال / کشور: 2002
- شابک / ISBN : 9780521781800
Description
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.
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.
