Risk Management Value at Risk and Beyond

Name: Risk Management Value at Risk and Beyond
Price: 53.23 USD
Availability: InStock
ISBN: 9780521169639

ISBN-10: 0521169631

ISBN-13: 9780521169639

Edition: 2010

Authors: M. A. H. Dempster

List price: $61.95

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Book details

List price: $61.95
Copyright year: 2010
Publisher: Cambridge University Press
Publication date: 12/9/2010
Binding: Paperback
Pages: 290
Size: 5.98" wide x 9.02" long x 0.67" tall
Weight: 0.946
Language: English



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