Mastering Risk Volume II-Application
0273654365

Carol Alexander, University of Reading

Publisher: Financial Times Press
Copyright: 2002
Format: Paper; 272 pp

ISBN-10: 0273654365
ISBN-13:9780273654360

Our Price: £35.00
Status: Not Yet Published
Estimated Availability: 28 Aug 2001

Description

Developing the concepts of risk management discussed in the first volume in this set, Mastering Risk Volume 2: Applications examines the application of some of the most important recent research into financial products to the risk management of financial institutions. Building on the discussion of risk management concepts in the first volume, it provides a comprehensive overview of how to put market, credit and operational risk controls into practice.
Table Of Contents

Introduction
PART I. MARKET RISKS
1. Introduction
2. Efficient Monte Carlo methods for Value-at-Risk
3. Orthogonal GARCH
4. Strike-adjusted spread: a new metric for estimating the value of equity options
5. Recent advances in more realistic market risk management: the hyperbolic model
6. Cointegration: the new risk relationship
7. Managing model risk
PART II. CREDIT RISKS
8. Introduction
9. What wags the tail?  Identifying the key assumptions in models of portfolio credit risk
10. Modeling default correlation in bond portfolios
11. Pricing the risks of default
12. The estimation of default probabilities: a review of alternative methodologies and why they give different results
PART III. OPERATIONAL RISKS
13. Introduction
14. Mathematical techniques for pricing and hedging operational risk
15. Designing an operational risk framework from a bottom-up perspective
16. The Bayesian approach to measuring operational risks
17. Operational risk and regulatory capital
Subject index
Organization index
Name index
Features

  • The contributors are risk experts; leading academic specialists and practitioners in the day-to-day environment of risk management.
  • They provide a balanced analysis of risk management applications including: Monte Carlo methods for Value-at-Risk, The valuation of equity options using strike-adjusted spread and The management of model risk.