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MASTERING RISK VOLUME 2:APPLICATIONS
ALEXANDER C. wydawnictwo: FT/PH , rok wydania 2001, wydanie I cena netto: 220.00 Twoja cena 209,00 zł + 5% vat - dodaj do koszyka Mastering Risk Volume II:Application
Carol Alexander
- 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. As with the first volume, 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
orthogonal GARCH model for generating large covariance matrices
- The
valuation of equity options using strike-adjusted spread
- Models
of portfolio credit risk, and of default correlation in bond portfolios
- Techniques
for measuring and managing operational risk
- The
management of model risk.
- Mastering
Risk Volume 2: Applications gathers an impressive cast of 17 contributors, including Mark
Davis (Imperial College), Emanuel Derman (Goldman Sachs), Paul Glasserman (University of
Columbia Graduate School), Michael Gordy (Federal Reserve Board of Governors), John Hull
and Alan White (University of Toronto), Dilip Madan (University of Maryland) and Riccardo
Rebonato (Group Head of Market Risk, Royal Bank of Scotland Group).
- Mastering
Risk Volume 2: Applications takes a detailed look at the theory of risk management and
illustrates how to apply the concepts to your business, supported by recent examples and
short case studies. It is an invaluable follow-on from the first volume and an equally
comprehensive source in its own right.
Mastering Risk Volume 2:
Applications has been produced in association with the ISMA Centre, The Business School
for Financial Markets at the University of Reading, UK (www.ismacentre.rdg.ac.uk).
256 pages
Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub
anglojęzyczny jest aktualnie na półce księgarni.
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