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Mastering Risk Application (volume2) cover
  • ISBN: 9780273654360
  • ISBN10: 0273654365

Mastering Risk Application (volume2)

by Carol Alexander

  • List Price: $34.00
  • Binding: Paperback
  • Edition: 1
  • Publisher: Pearson P T R
  • Publish date: 10/01/2001
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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
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