Risk management: value at risk and beyond
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...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2002
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| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | 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, which was originally published in 2002, 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xiv, 274 pages) |
| ISBN: | 9780511615337 |
| DOI: | 10.1017/CBO9780511615337 |
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Datensatz im Suchindex
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| contents | Introduction / M.A.H. Dempster -- Quantifying the risks of trading / Evan Picoult -- Value at risk analysis of a leveraged swap / Sanjay Srivastava -- Stress testing in a value at risk framework / Paul H. Kupiec -- Dynamic portfolio replication using stochastic programming / M.A.H. Dempster and G.W.P. Thompson -- Credit and interest rate risk / R. Kiesel, W. Perraudin and A.P. Taylor -- Coherent measures of risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath -- Correlation and dependence in risk management: properties and pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann -- Measuring risk with extreme value theory / Richard L. Smith -- Extremes in operational risk management / E.A. Medova and M.N. Kyriacou |
| ctrlnum | (ZDB-20-CBO)CR9780511615337 (OCoLC)849894300 (DE-599)BVBBV043945125 |
| 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 |
| doi_str_mv | 10.1017/CBO9780511615337 |
| format | Electronic eBook |
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| isbn | 9780511615337 |
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| spelling | Risk management value at risk and beyond edited by M.A.H. Dempster Cambridge Cambridge University Press 2002 1 online resource (xiv, 274 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Introduction / M.A.H. Dempster -- Quantifying the risks of trading / Evan Picoult -- Value at risk analysis of a leveraged swap / Sanjay Srivastava -- Stress testing in a value at risk framework / Paul H. Kupiec -- Dynamic portfolio replication using stochastic programming / M.A.H. Dempster and G.W.P. Thompson -- Credit and interest rate risk / R. Kiesel, W. Perraudin and A.P. Taylor -- Coherent measures of risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath -- Correlation and dependence in risk management: properties and pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann -- Measuring risk with extreme value theory / Richard L. Smith -- Extremes in operational risk management / E.A. Medova and M.N. Kyriacou 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, which was originally published in 2002, 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 Financial risk management Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf 1\p (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 2\p DE-604 Anlagepolitik (DE-588)4206018-7 s 3\p DE-604 Dempster, M. A. H. 1938- edt Erscheint auch als Druckausgabe 978-0-521-16963-9 Erscheint auch als Druckausgabe 978-0-521-78180-0 https://doi.org/10.1017/CBO9780511615337 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Risk management value at risk and beyond Introduction / M.A.H. Dempster -- Quantifying the risks of trading / Evan Picoult -- Value at risk analysis of a leveraged swap / Sanjay Srivastava -- Stress testing in a value at risk framework / Paul H. Kupiec -- Dynamic portfolio replication using stochastic programming / M.A.H. Dempster and G.W.P. Thompson -- Credit and interest rate risk / R. Kiesel, W. Perraudin and A.P. Taylor -- Coherent measures of risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath -- Correlation and dependence in risk management: properties and pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann -- Measuring risk with extreme value theory / Richard L. Smith -- Extremes in operational risk management / E.A. Medova and M.N. Kyriacou Financial risk management Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Anlagepolitik (DE-588)4206018-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4519495-6 (DE-588)4206018-7 (DE-588)4121590-4 (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 edited by M.A.H. Dempster |
| title_fullStr | Risk management value at risk and beyond edited by M.A.H. Dempster |
| title_full_unstemmed | Risk management value at risk and beyond edited 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 | Financial risk management Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Value at Risk (DE-588)4519495-6 gnd Anlagepolitik (DE-588)4206018-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Financial risk management Derivative securities Derivat Wertpapier Value at Risk Anlagepolitik Risikomanagement Aufsatzsammlung |
| url | https://doi.org/10.1017/CBO9780511615337 |
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