| Description |
xiv, 274 pages : illustrations ; 24 cm |
| Contents |
Introduction / M. A. H. Dempster -- 1. Quantifying the Risks of Trading / 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 / R. Kiesel, W. Perraudin and A. P. Taylor -- 6. Coherent Measures of Risk / Philippe Artzner, Freddy Delbaen and Jean-Marc Eber / [et al.] -- 7. Correlation and Dependence 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 / E. A. Medova and M. N. Kyriacou |
| Summary |
This text examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice. It should be essential reading for all involved in financial risk management |
| Notes |
Title from e-book title screen (viewed October 5, 2007) |
| Bibliography |
Includes bibliographical references |
| Notes |
Also available online via the World Wide Web, by subscription to ECHO (Ebrary) |
|
Print version record |
| Subject |
Financial risk management.
|
|
Risk management.
|
|
Derivative securities.
|
| Author |
Dempster, M. A. H. (Michael Alan Howarth), 1938-
|
|
MyiLibrary.
|
| LC no. |
2002277556 |
| ISBN |
0521781809 |
|
