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  3. Risk Management
  • Cited by 48
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    • Publisher:
      Cambridge University Press
      Publication date:
      25 January 2010
      10 January 2002
      ISBN:
      9780511615337
      9780521781800
      9780521169639
      DOI:
      https://doi.org/10.1017/CBO9780511615337
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.615kg, 290 Pages
      Dimensions:
      (229 x 152 mm)
      Weight & Pages:
      0.43kg, 290 Pages
      • Subjects:
      Mathematics, Mathematical Finance
    You may already have access via personal or institutional login
    • Selected: Digital
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    Subjects:
    Mathematics, Mathematical Finance
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    Book description

    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.

    Reviews

    "...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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