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Risk management : = value at risk and beyond /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Risk management :/ edited by M.A.H. Dempster.
Reminder of title:	value at risk and beyond /
other author:	Dempster, M. A. H.
Description:	1 online resource (xiv, 274 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Financial risk management. -
Online resource:	https://doi.org/10.1017/CBO9780511615337
ISBN:	9780511615337 (ebook)

Risk management : = value at risk and beyond /
Risk management :value at risk and beyond /edited by M.A.H. Dempster. - 1 online resource (xiv, 274 pages) :digital, PDF file(s).

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.

ISBN: 9780511615337 (ebook)Subjects--Topical Terms:

564847
Financial risk management.

LC Class. No.: HD61 / .R573 2002

Dewey Class. No.: 658.155

Risk management : = value at risk and beyond /
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020 $a 9780511615337 (ebook)
020 $z 9780521781800 (hardback)
020 $z 9780521169639 (paperback)
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040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a HD61 $b .R573 2002
082 0 4 $a 658.155 $2 21
245 0 0 $a Risk management : $b value at risk and beyond / $c edited by M.A.H. Dempster.
264 1 $a Cambridge : $b Cambridge University Press, $c 2002.
300 $a 1 online resource (xiv, 274 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
505 0 $a 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.
520 $a 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.
650 0 $a Financial risk management. $3 564847
650 0 $a Derivative securities. $3 557717
700 1 $a Dempster, M. A. H. $q (Michael Alan Howarth), $d 1938- $e editor. $3 1439700
776 0 8 $i Print version: $z 9780521781800
856 4 0 $u https://doi.org/10.1017/CBO9780511615337