Risk management: value at risk and beyond
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.
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Cambridge
Cambridge Univ. Press
2010
|
| Edition: | 1. paperback ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| 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. |
| Physical Description: | XIV, 274 S. graph. Darst. |
| ISBN: | 9780521781800 9780521169639 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Risk management
Autor: Dempster, Michael A. H
Jahr: 2010
CONTENTS
Contributors vii
Introduction
M.A.H. Dempster ix
1. Quantifying the Risks of Trading
Evan Picoult 1
2. Value at Risk Analysis of a Leveraged Swap
Sanjay Srivastava 60
t 3. Stress Testing in a Value at Risk Framework
Paul H. Kupiec 76
4. Dynamic Portfolio Replication Using Stochastic Programming
M.A.H. Dempster and G. W.P. Thompson 100
5. Credit and Interest Rate Risk
R. Kiesel, W. Perraudin and A.P. Taylor 129
f 6. Coherent Measures of Risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath .. 145
7. Correlation and Dependence in Risk Management: Properties and Pitfalls
Paul Emkre.chts, Alexander ./. McNeil and Daniel Straumann 176
8. Measuring Risk with Extreme Value Theory
Richard L. Smith 224
!f 9. Extremes in Operational Risk Management s
E.A. Medova and M.N. Kyriacou 217
|
| any_adam_object | 1 |
| author_GND | (DE-588)124050328 |
| building | Verbundindex |
| bvnumber | BV037386791 |
| callnumber-first | H - Social Science |
| callnumber-label | HD61 |
| callnumber-raw | HD61.R573 2002 |
| callnumber-search | HD61.R573 2002 |
| callnumber-sort | HD 261 R573 42002 |
| callnumber-subject | HD - Industries, Land Use, Labor |
| classification_rvk | QP 710 SK 980 |
| ctrlnum | (OCoLC)730017843 (DE-599)BVBBV037386791 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. paperback ed. |
| format | Book |
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| id | DE-604.BV037386791 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T23:23:12Z |
| institution | BVB |
| isbn | 9780521781800 9780521169639 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-022539776 |
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| physical | XIV, 274 S. graph. Darst. |
| publishDate | 2010 |
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| publisher | Cambridge Univ. Press |
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| spelling | Risk management value at risk and beyond ed. by M. A. H. Dempster 1. paperback ed. Cambridge Cambridge Univ. Press 2010 XIV, 274 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier 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. Administração de portfólio larpcal Administração de risco larpcal Derivativos larpcal Portfolio-analyse gtt Risk management gtt Risk management Derivative securities Value at Risk (DE-588)4519495-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Risikomanagement (DE-588)4121590-4 s Derivat Wertpapier (DE-588)4381572-8 s Value at Risk (DE-588)4519495-6 s DE-604 Anlagepolitik (DE-588)4206018-7 s DE-188 Dempster, Michael A. H. 1938- Sonstige (DE-588)124050328 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022539776&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management value at risk and beyond Administração de portfólio larpcal Administração de risco larpcal Derivativos larpcal Portfolio-analyse gtt Risk management gtt Risk management Derivative securities Value at Risk (DE-588)4519495-6 gnd Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4519495-6 (DE-588)4121590-4 (DE-588)4206018-7 (DE-588)4381572-8 (DE-588)4143413-4 |
| title | Risk management value at risk and beyond |
| title_auth | Risk management value at risk and beyond |
| title_exact_search | Risk management value at risk and beyond |
| title_full | Risk management value at risk and beyond ed. by M. A. H. Dempster |
| title_fullStr | Risk management value at risk and beyond ed. by M. A. H. Dempster |
| title_full_unstemmed | Risk management value at risk and beyond ed. by M. A. H. Dempster |
| title_short | Risk management |
| title_sort | risk management value at risk and beyond |
| title_sub | value at risk and beyond |
| topic | Administração de portfólio larpcal Administração de risco larpcal Derivativos larpcal Portfolio-analyse gtt Risk management gtt Risk management Derivative securities Value at Risk (DE-588)4519495-6 gnd Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Administração de portfólio Administração de risco Derivativos Portfolio-analyse Risk management Derivative securities Value at Risk Risikomanagement Anlagepolitik Derivat Wertpapier Aufsatzsammlung |
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