| Document Type
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BL
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| Record Number
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705817
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| Doc. No
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b528006
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| Title & Author
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Risk management : : value at risk and beyond /\ edited by M.A.H. Dempster.
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| Publication Statement
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Cambridge ;New York :: Cambridge University Press,, 2002.
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| Page. NO
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xiv, 274 p. :: ill. ;; 24 cm.
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| ISBN
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0521781809
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: 9780521781800
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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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.
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| Abstract
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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.
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| Subject
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Derivative securities.
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| Subject
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Financial risk management.
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| LC Classification
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HD61.R573 2002
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| Added Entry
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Dempster, M. A. H., (Michael Alan Howarth),1938-
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