Книги
Risk Management
Книги
Risk Management
Risk Management : Value at Risk and Beyond / Ed. M.A.H. Dempster. — Cambridge : Cambridge University Press, 2002. — 274 p.. — . Управление рисками: определение стоимости под риском и другие методы.. Содержание : Introduction ; Quantifying the risks of trading: comparing and contrasting the measurement of market risk (VaR) and counterparty exposure/ E. Picoult; Value at risk analysis of a leveraged swap/ S. Srivastava; Stress testing in a Value at Risk framework/ P.H. Kupiec; Dynamic portfolio replication using stochastic programming/ M.A.H. Dempster, G.W.P. Thompson; Credit and interest rate risk/ W. Perraudin, R. Kiesel, A. Taylor; Coherent measures of risk/ P. Artzner, F. Delbaen, J.-M. Eber; Correlation and dependency in risk management: properties and pitfalls/ P. Embrechts, A.J. McNeil, D. Straumann; Measuring risk with extreme value theory/ R.L. Smith; Extremes in Operational Risk management/ M.N. Kyriacou, E.A. Medova. — 2967.00 р.
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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, 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. It will be essential reading for all involved in financial risk management.
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УДК:339.7
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