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Risk Management Value at Risk and Beyond 1st Edition by Dempster ISBN 978-0521781800 0521781800

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Risk Management Value at Risk and Beyond 1st Edition M. A. H. Dempster Digital Instant Download

Author(s): M. A. H. Dempster
ISBN(s): 9780521781800, 0521781809
Edition: 1st
File Details: PDF, 2.51 MB
Year: 2002
Language: english
SKU: EB-1746176 Category: Tag:

Risk Management Value at Risk and Beyond 1st Edition by M. A. H. Dempster – Ebook PDF Instant Download/Delivery:  978-0521781800, 0521781800
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Product details: 

ISBN 10:  0521781800

ISBN 13: 978-0521781800

Author: M. A. H. Dempster

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.

Table of contents: 

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. Merchant

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 Pit

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

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Tags: Dempster, Risk Management Value, Risk and Beyond