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Risk Management

Risk Management
Value at Risk and Beyond

$170.00

Evan Picoult, Sanjay Srivastava, Paul H. Kupiec, M. A. H. Dempster, G. W. P. Thompson, William Perraudin, Rudiger Kiesel, Alex Taylor, Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Paul Embrechts, Alexander J. McNeil, Daniel Straumann, Richard L. Smith, M. N. Kyriacou, E. A. Medova
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  • Date Published: February 2002
  • availability: Available
  • format: Hardback
  • isbn: 9780521781800

$170.00
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About the Authors
  • The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk, and the further developments of VaR are considered in this light.

    • Documents risk management concepts and techniques
    • Covers all aspects: market through credit to operational risk management
    • High-profile contributors
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    Reviews & endorsements

    "...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

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    Product details

    • Date Published: February 2002
    • format: Hardback
    • isbn: 9780521781800
    • length: 290 pages
    • dimensions: 229 x 152 x 21 mm
    • weight: 0.6kg
    • availability: Available
  • 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.

  • Editor

    M. A. H. Dempster, University of Cambridge

    Contributors

    Evan Picoult, Sanjay Srivastava, Paul H. Kupiec, M. A. H. Dempster, G. W. P. Thompson, William Perraudin, Rudiger Kiesel, Alex Taylor, Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Paul Embrechts, Alexander J. McNeil, Daniel Straumann, Richard L. Smith, M. N. Kyriacou, E. A. Medova

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