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Risk management : value at risk and beyond / edited by M.A.H. Dempster.

Contributor(s): Material type: TextTextPublication details: Cambridge ; New York : Cambridge University Press, 2002.Description: 1 online resource (xiv, 274 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 0511066961
  • 9780511066962
  • 9780511615337
  • 0511615337
  • 9780511069093
  • 051106909X
  • 0511060653
  • 9780511060656
  • 1280421355
  • 9781280421358
  • 9786610421350
  • 6610421358
Subject(s): Genre/Form: Additional physical formats: Print version:: Risk management.DDC classification:
  • 658.155 22
LOC classification:
  • HD61 .R573 2002eb
Other classification:
  • 85.30
  • QP 710
  • SK 980
  • WIR 160f
Online resources:
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.
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.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Includes bibliographical references.

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.

Print version record.

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.

Master record variable field(s) change: 050

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