Mastering Risk: Volume 2: Applications
 |
| Автор | | Editor Carol Alexander |
| Издатель | | Financial Times Prentice Hall |
|
Содержание:
Сказка о братьях, Фонтан феи Фортуны, Колдун и прыгучий горшок, Зайчиха Шутиха и ее пень-зубоскал, Волосатое сердце колдуна
Описание:
Developing the concepts of risk management discussed in the first volume in this set, "Mastering Risk Volume 2: Applications" examines the application of some of the most important recent research into financial products to the risk management of financial institutions. Building on the discussion of risk management concepts in the first volume, it provides a comprehensive overview of how to put market, credit and operational risk controls into practice. As with the first volume, the contributors are risk experts; leading academic specialists and practitioners in the day-to-day environment of risk management. They provide a balanced analysis of risk management applications including: - Monte Carlo methods for Value-at-Risk - The orthogonal GARCH model for generating large covariance matrices - The valuation of equity options using strike-adjusted spread - Models of portfolio credit risk, and of default correlation in bond portfolios - Techniques for measuring and managing operational...Похожие книги
