Risk management : value at risk and beyond / edited by M.A.H. Dempster.
ISBN:
9780511066962
9780511615337
9780511069093
9780511060656
9781280421358
Title:
Risk management : value at risk and beyond / edited by M.A.H. Dempster.
Author:
Dempster, M. A. H. (Michael Alan Howarth), 1938-
Publication Information:
Cambridge ; New York : Cambridge University Press, 2002.
Physical Description:
1 online resource (xiv, 274 pages) : illustrations
Contents:
Introduction / 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.
Local Note:
eBooks on EBSCOhost
Added Author:
Format:
Electronic Resources
Electronic Access:
Click here to view
Publication Date:
2002
Publication Information:
Cambridge ; New York : Cambridge University Press, 2002.