Gregoriou G.N., Hoppe C., When C.S. (Eds.) The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

Gregoriou G.N., Hoppe C., When C.S. (Eds.) The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets
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  • 3.33 МБ
  • добавлен 02.02.2012
The McGraw-Hill Companies – 2010, 528 pages
ISBN: 0071663703

If we have learned anything from the global financial collapse of 2008, it is this: the mathematical risk models currently used by financial institutions are no longer adequate quantitative measures of risk exposure.
In The Risk Modeling Evaluation Handbook, an international team of 48 experts evaluates the problematic risk-modeling methods used by large financial institutions and breaks down how these models contributed to the decline of the global capital markets. Their conclusions enable you to identify the shortcomings of the most widely used risk models and create sophisticated strategies for properly implementing these models into your investing portfolio.
Chapters include:
Model Risk: Lessons from Past Catastrophes (Scott Mixon)
Effect of Benchmark Misspecification on Riskadjusted Performance Measures (Laurent Bodson and George H?bner)
Carry Trade Strategies and the Information Content of Credit Default Swaps (Raphael W. Lam and Marco Rossi)
Concepts to Validate Valuation Models (Peter Whitehead)
Beyond VaR: Expected Shortfall and Other Coherent Risk Measures (Andreas Krause)
Model Risk in Credit Portfolio Modeling (Matthias Gehrke and Jeffrey Heidemann)
Asset Allocation under Model Risk (Pauline M. Barrieu and Sandrine Tobolem)
This dream team of the masters of risk modeling provides expansive explanations of the types of model risk that appear in risk measurement, risk management, and pricing, as well as market-tested techniques for mitigating risk in loan, equity, and derivative portfolios.
The Risk Modeling Evaluation Handbook is the go-to guide for improving or adjusting your approach to modeling financial risk.

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©2003 Kluwer Academic Publishers.
Preface.
Acknowledgments.
Part I Fundamentals.

Money, Capital, and Securities.
Money and Capital.
nvestment.
nterest.
Cash Flows.
Financial and Real Investment.
Securities.
Financial Market.
Financial Institutions.
Financial System.
nt...