000			02872nam a22003498i 4500
001			CR9780511615337
003			UkCbUP
005			20200124160320.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			090914s2002||||enk o ||1 0|eng|d
020			_a9780511615337 (ebook)
020			_z9780521781800 (hardback)
020			_z9780521169639 (paperback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHD61 _b.R573 2002
082	0	4	_a658.155 _221
245	0	0	_aRisk management : _bvalue at risk and beyond / _cedited by M.A.H. Dempster.
264		1	_aCambridge : _bCambridge University Press, _c2002.
300			_a1 online resource (xiv, 274 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
500			_aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
505	0		_aIntroduction / M.A.H. Dempster -- Quantifying the risks of trading / Evan Picoult -- Value at risk analysis of a leveraged swap / Sanjay Srivastava -- Stress testing in a value at risk framework / Paul H. Kupiec -- Dynamic portfolio replication using stochastic programming / M.A.H. Dempster and G.W.P. Thompson -- Credit and interest rate risk / R. Kiesel, W. Perraudin and A.P. Taylor -- Coherent measures of risk / Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath -- Correlation and dependence in risk management: properties and pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann -- Measuring risk with extreme value theory / Richard L. Smith -- Extremes in operational risk management / E.A. Medova and M.N. Kyriacou.
520			_aThe use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.
650		0	_aFinancial risk management.
650		0	_aDerivative securities.
700	1		_aDempster, M. A. H. _q(Michael Alan Howarth), _d1938- _eeditor.
776	0	8	_iPrint version: _z9780521781800
856	4	0	_uhttps://doi.org/10.1017/CBO9780511615337
999			_c521842 _d521840