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Risk Management Value at Risk and Beyond

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ISBN-10: 0521169631

ISBN-13: 9780521169639

Edition: 2010

Authors: M. A. H. Dempster

List price: $56.95
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Book details

List price: $56.95
Copyright year: 2010
Publisher: Cambridge University Press
Publication date: 12/9/2010
Binding: Paperback
Pages: 290
Size: 5.75" wide x 8.75" long x 0.75" tall
Weight: 0.990
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