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Elements Of Financial Risk Management

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Elements of Financial Risk Management

Elements of Financial Risk Management Book
Author : Peter F. Christoffersen
Publisher : Academic Press
Release : 2012
ISBN : 0123744482
Language : En, Es, Fr & De

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Book Description :

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises

Elements of Financial Risk Management

Elements of Financial Risk Management Book
Author : Peter Christoffersen
Publisher : Academic Press
Release : 2011-11-10
ISBN : 0080922430
Language : En, Es, Fr & De

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Book Description :

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises

Elements of Financial Risk Management

Elements of Financial Risk Management Book
Author : Peter Christoffersen
Publisher : Academic Press
Release : 2003-08-05
ISBN : 9780121742324
Language : En, Es, Fr & De

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Book Description :

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk measures. While basic VAR textbooks describe average VAR situations, the vast majority of these situations are abnormal. Elements of Financial Risk Management focuses on implementation, especially recent techniques which facilitate "bridging the gap" between standard textbooks on risk and real-life risk management systems. This book will appeal to practitioners in the financial services and investment industries, as well as graduate students and advanced undergraduates who want exposure to these techniques. *Pinpoints key features of risk asset returns and captures them in tractable statistical models in the accompanying CD-ROM *Presents step-by-step approaches as a means to solve problems *Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool

Credit Risk Management

Credit Risk Management Book
Author : Tony Van Gestel,Bart Baesens
Publisher : Oxford University Press
Release : 2009
ISBN : 0199545111
Language : En, Es, Fr & De

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Book Description :

This first of three volumes on credit risk management, providing a thorough introduction to financial risk management and modelling.

Elements of Financial Risk Management

Elements of Financial Risk Management Book
Author : Peter F. Christoffersen
Publisher : Unknown
Release : 2003
ISBN : 9780121742331
Language : En, Es, Fr & De

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Book Description :

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. More than 80 commercial vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk measures.

Handbook of Financial Risk Management

Handbook of Financial Risk Management Book
Author : Thierry Roncalli
Publisher : CRC Press
Release : 2020-04-23
ISBN : 1351385224
Language : En, Es, Fr & De

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Book Description :

Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Elements of Financial Risk Management

Elements of Financial Risk Management Book
Author : Peter Christoffersen
Publisher : Academic Press
Release : 2019-04-15
ISBN : 9780128150061
Language : En, Es, Fr & De

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Book Description :

Elements of Financial Risk Management: A Buyside Perspective Using Excel and MATLAB, Third Edition focuses on the implementation of techniques that help students and practitioners bridge the gap between standard textbooks on risk and real-life risk management systems. Without a highly sophisticated quant background, readers can understand its detailed and comprehensive coverage of most market-risk related topics. More a financial econometrics book than a financial risk management book, it shows how to apply tools developed in financial econometrics to risk management. It differs from typical risk management books by digging more deeply in the assumptions and models behind risk calculations. Covers both new research streams (e.g., asymmetrical t distributions) and new areas of interest for practitioners, such as external stress testing Includes 4 new chapters, updates every existing chapter, and expands its pedagogical elements to include MATLAB exercises Enables students and practitioners to grasp most concepts and techniques with limited knowledge of basic statistics and financial mathematics

Essentials of Financial Risk Management

Essentials of Financial Risk Management Book
Author : Karen A. Horcher
Publisher : John Wiley & Sons
Release : 2011-08-02
ISBN : 1118160975
Language : En, Es, Fr & De

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Book Description :

A concise introduction to financial risk management strategies, policies, and techniques This ideal guide for business professionals focuses on strategic and management issues associated with financial risk. Essentials of Financial Risk Management identifies risk-mitigation policies and strategies; suggestions for determining an organization's risk tolerance; and sources of risk associated with currency exchange rates, interest rates, credit exposure, commodity prices, and other related events. Examples illustrate risk scenarios and offer tips on an array of management alternatives, including changes in the way business is conducted and hedging strategies involving derivatives.

Financial Risk Management

Financial Risk Management Book
Author : Jimmy Skoglund,Wei Chen
Publisher : John Wiley & Sons
Release : 2015-09-08
ISBN : 1119157242
Language : En, Es, Fr & De

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Book Description :

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Financial Risk Management

Financial Risk Management Book
Author : Frank J. Fabozzi
Publisher : John Wiley and Sons
Release : 2010-12-16
ISBN : 0470944803
Language : En, Es, Fr & De

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Book Description :

Created by the experienced author team of Frank Fabozzi and Pamela Peterson Drake, Financial Risk Management examines the essential elements of this discipline and makes them accessible to a wide array of readers-from seasoned veterans looking for a review to newcomers needing to get their footing in finance. Financial risk is the exposure of a corporation to an event that can cause a shortfall in a targeted financial measure or value and includes market risk, credit risk, market liquidity risk, operational risk, and legal risk. This material discusses the four key processes in financial risk management: risk identification, risk assessment, risk mitigation, and risk transferring. The process of risk management involves determining which risks to accept, which to neutralize, and which to transfer.

Risk Analysis in Finance and Insurance

Risk Analysis in Finance and Insurance Book
Author : Alexander Melnikov
Publisher : CRC Press
Release : 2004-06-02
ISBN : 0203498577
Language : En, Es, Fr & De

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Book Description :

Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance and Insurance offers the first comprehensive and accessible introduction to the ideas, methods, and probabilistic models that have transformed risk management into a quantitative science and led to unified methods for analyzing insurance and finance risks. The author's approach is based on a methodology for estimating the present value of future payments given current financial, insurance, and other information, which leads to proper, practical definitions of the price of a financial contract, the premium for an insurance policy, and the reserve of an insurance company. Self-contained and full of exercises and worked examples, Risk Analysis in Finance and Insurance serves equally well as a text for courses in financial and actuarial mathematics and as a valuable reference for financial analysts and actuaries. Ancillary electronic materials will be available for download from the publisher's Web site.

Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management Book
Author : Michael B. Miller
Publisher : John Wiley & Sons
Release : 2013-12-31
ISBN : 1118750292
Language : En, Es, Fr & De

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Book Description :

Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.

Key Elements of Financial Risk Management and Derivatives

Key Elements of Financial Risk Management and Derivatives Book
Author : Jeo Lee
Publisher : Unknown
Release : 2011
ISBN : 9780956899606
Language : En, Es, Fr & De

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Book Description :

Download Key Elements of Financial Risk Management and Derivatives book written by Jeo Lee, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Elements of Financial Risk Management 2nd Edition

Elements of Financial Risk Management  2nd Edition Book
Author : Peter Christoffersen
Publisher : Unknown
Release : 2011
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises.

Quantitative Financial Risk Management

Quantitative Financial Risk Management Book
Author : Desheng Dash Wu
Publisher : Springer Science & Business Media
Release : 2011-06-25
ISBN : 3642193390
Language : En, Es, Fr & De

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Book Description :

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.

Managing Risk and Opportunity

Managing Risk and Opportunity Book
Author : Torben Juul Andersen,Maxine Garvey,Oliviero Roggi
Publisher : OUP Oxford
Release : 2014-04-24
ISBN : 0191511676
Language : En, Es, Fr & De

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Book Description :

This book promotes good risk governance and risk management practices to corporate managers, executives, and directors wherever they operate around the world. The major corporate scandals have their roots in governance failure pointing to the link between risk governance and good performance outcomes. This topic is timely and of interest both to the academic community as well as to practicing managers, executives, and directors. The volume focuses on contemporary risk leadership issues based on recent research insights but avoids excessive technical language and mathematical formulas. The book is framed around the challenges imposed on executives and directors in dealing with an increasingly complex and unpredictable world. This requires a new risk leadership focus that not only avoids the downside risks but also considers ways to exploit the upside potential offered by a dynamic environment. The underlying logic is built on the principles of financial economics where benefits derive from reducing bankruptcy costs and increasing future cash inflows. This provides a stringent framework for analyzing the effect of different risk management actions and behaviors in effective risk-taking organizations. Hence, the book addresses the potential for upside gains as much as the threats of downside losses that represent the conventional risk perspectives. It states the simple fact that you must be willing to take risk to increase strategic responsiveness and corporate manoeuverability. The text builds the arguments in logical steps explicating relevant techniques and practices along the way that invite to immediate applications and practical thinking

International Convergence of Capital Measurement and Capital Standards

International Convergence of Capital Measurement and Capital Standards Book
Author : Anonim
Publisher : Lulu.com
Release : 2004
ISBN : 9291316695
Language : En, Es, Fr & De

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Book Description :

Download International Convergence of Capital Measurement and Capital Standards book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Quantitative Risk Management

Quantitative Risk Management Book
Author : Thomas S. Coleman
Publisher : John Wiley & Sons
Release : 2012-03-20
ISBN : 1118235932
Language : En, Es, Fr & De

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Book Description :

State of the art risk management techniques andpractices—supplemented with interactive analytics All too often risk management books focus on risk measurementdetails without taking a broader view. Quantitative RiskManagement delivers a synthesis of common sense managementtogether with the cutting-edge tools of modern theory. This bookpresents a road map for tactical and strategic decision makingdesigned to control risk and capitalize on opportunities. Mostprovocatively it challenges the conventional wisdom that "riskmanagement" is or ever should be delegated to a separatedepartment. Good managers have always known that managing risk iscentral to a financial firm and must be the responsibility ofanyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers inthe post-crisis world, Quantitative Risk Management updatesthe techniques and tools used to measure and monitor risk. Theseare often mathematical and specialized, but the ideas are simple.The book starts with how we think about risk and uncertainty, thenturns to a practical explanation of how risk is measured in today'scomplex financial markets. Covers everything from risk measures, probability, andregulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfoliorisk and analytics Explains why tactical and strategic decisions must be made atevery level of the firm and portfolio Providing the models, tools, and techniques firms need to buildthe best risk management practices, Quantitative RiskManagement is an essential volume from an experienced managerand quantitative analyst.

Quantitative Risk Management Concepts Techniques and Tools

Quantitative Risk Management  Concepts  Techniques  and Tools Book
Author : Alexander J. McNeil,Rüdiger Frey,Paul Embrechts
Publisher : Princeton University Press
Release : 2005-10-16
ISBN : 9780691122557
Language : En, Es, Fr & De

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Book Description :

The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.

Advanced Financial Risk Management

Advanced Financial Risk Management Book
Author : Donald R. Van Deventer,Kenji Imai,Mark Mesler
Publisher : John Wiley & Sons
Release : 2013-02-06
ISBN : 1118278550
Language : En, Es, Fr & De

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Book Description :

Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.