The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk , and the further developments of VaR are considered in this light.

Innehållsförteckning

1. Quantifying the Risks of Trading / Evan Picoult -- 2. Value at Risk Analysis of a Leveraged Swap / Sanjay Srivastava -- 3. Stress Testing in a Value at Risk Framework / Paul H. Kupiec -- 4. Dynamic Portfolio Replication Using Stochastic Programming / M. A. H. Dempster and G. W. P. Thompson -- 5. Credit and Interest Rate Risk / R. Kiesel, W. Perraudin and A. P. Taylor -- 6. Coherent Measures of Risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath -- 7. Correlation and Dependence in Risk Management: Properties and Pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann -- 8. Measuring Risk with Extreme Value Theory / Richard L. Smith -- 9. Extremes in Operational Risk Management / E. A. Medova and M. N. Kyriacou

Detaljer

Medverkan och funktion

Michael Alan Howarth Dempster, 1938-

har del

Mjukvara, u

klassifikation

62P20 (msc), 658.155 (DDK-klassifikation), 91-06 (msc), 91B30 (msc), Qaeb (kssb), Qaeca (kssb)

Identifikator

NBN GBA1-V4611, ISBN 9780511615337

Indirekt identifierad av

ISBN 9780521781800 · print, ISBN 9780521169639 · print, ISBN 0521781809 · print

har titel

Risk management : value at risk and beyond

upphovsuppgift

edited by M.A.H. Dempster

utgivning

Cambridge; New York : Cambridge University Press, 2002

produktion

Electronic reproduction. · Palo Alto, Calif. : ebrary, 2005.

omfång

online resource (xiv, 274 s.)

Relaterad beskrivning eller innehåll

Table of Contents / Abstracts

anmärkning

Includes bibliographical references.

Mått

Övriga fysiska detaljer

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Illustrationer finns men typen specificeras ej

klassifikation

HD61 (LC-klassifikation)

färginnehåll

Flera färger

kontrollnummer

10424398

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