Skip to main content

Managing Extreme Financial Risk

In Order to Read Online or Download Managing Extreme Financial Risk Full eBooks in PDF, EPUB, Tuebl and Mobi you need to create a Free account. Get any books you like and read everywhere you want. Fast Download Speed ~ Commercial & Ad Free. We cannot guarantee that every book is in the library!

Managing Extreme Financial Risk

Managing Extreme Financial Risk Book
Author : Karamjeet Paul
Publisher : Elsevier
Release : 2013-09-16
ISBN : 0124172229
Language : En, Es, Fr & De

GET BOOK

Book Description :

Managing Extreme Financial Risk addresses the need for better management strategies in light of increased market risk and volatility in financial institutions' revenue models. Top officials from the financial and regulatory industries point to real corporate issues, showing how institutions react to financial crises. From first-hand experiences, they explain how effective sustainability management does not just prevent being blindsided; it also leads to proactive solutions that enhance an institution's strength to weather a sudden financial crisis, add significant shareholder value, and reduce systemic risk. Readable, coherent, and logical, Managing Extreme Financial Risk shows how extreme risk needs to be handled when the cost of being wrong means the difference between life and death of the institution. Based on the firsthand experiences and perspectives of senior-level executives Concentrates on extreme risk, when the cost of being wrong is not the loss of profits, but the death of the institution Written to be easily understood without algorithms, models, and quants

Extreme Financial Risks

Extreme Financial Risks Book
Author : Yannick Malevergne,Didier Sornette
Publisher : Springer Science & Business Media
Release : 2006-01-16
ISBN : 3540272666
Language : En, Es, Fr & De

GET BOOK

Book Description :

"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS

Financial Risk Management For Dummies

Financial Risk Management For Dummies Book
Author : Aaron Brown
Publisher : John Wiley & Sons
Release : 2015-11-16
ISBN : 111908220X
Language : En, Es, Fr & De

GET BOOK

Book Description :

TOPICS COVERED: Introduction Part I: Managing Risk Chapter 1: Living with Risk Chapter 2: Understanding Risk Chapter 3: Taking Charge of Risk Chapter 4: Managing Financial Risk Chapter 5: Working as a Financial Risk Manager Part II: Measuring Financial Risk Chapter 6: Valuing Risk Chapter 7: Stressing for Success Chapter 8: Speaking Greek Chapter 9: Pushing the Boundaries Part III: Managing Financial Risk Chapter 10: Setting Limits Chapter 11: Stopping Losses Chapter 12: Controlling Drawdowns Chapter 13: Hedging Bets Part IV: Working in Financial Institutions Chapter 14: Trading Places Chapter 15: Banking on Risk Chapter 16: Managing Asset Risk Chapter 17: Insuring Risk Part V: Communicating Risk Chapter 18: Reporting Risk Chapter 19: Dealing with Regulations Part VI: The Part of Tens Chapter 20: Ten One Minute Risk Management Tips Chapter 20: Ten Dramatic On-Line Illustrations ofRisk Chapter 21: Ten Great Risk Managers in History Chapter 22: Great Risk Management Books

Dealing With Financial Risk

Dealing With Financial Risk Book
Author : David Shirreff
Publisher : UNC Press Books
Release : 2004-07
ISBN : 9781576601624
Language : En, Es, Fr & De

GET BOOK

Book Description :

Dealing With Financial Risk is a clear and colorful guide to the peaks and crevasses of financial risk management, leading readers through the theory and practice of risk-taking. In addition, it looks at some spectacular failures of risk management and the lessons that can be learned from them.

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

GET BOOK

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

Quantitative Financial Risk Management

Quantitative Financial Risk Management Book
Author : Michael B. Miller
Publisher : Wiley
Release : 2018-11-13
ISBN : 111952220X
Language : En, Es, Fr & De

GET BOOK

Book Description :

A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more

Managing Risk in Extreme Environments

Managing Risk in Extreme Environments Book
Author : Duncan Martin
Publisher : Kogan Page Publishers
Release : 2008
ISBN : 0749449454
Language : En, Es, Fr & De

GET BOOK

Book Description :

When it really is a matter of life and death, how do risk management strategies stand up to the pressure? Do such radical situations have a practical relevance to risk management policies in today's business and financial worlds? Managing Risk in Extreme Environments looks at real-life examples - from epidemics to earthquakes - to showcase risk management strategies which have been tested in adverse conditions and shown to succeed. The author then demonstrates how the lessons learnt from each can be effectively applied in business. Including first-hand interviews, and a summary of core risk management concepts, this is essential reading for all risk management professionals and business managers.

New Ways for Managing Global Financial Risks

New Ways for Managing Global Financial Risks Book
Author : Michael H. Hyman
Publisher : John Wiley & Sons
Release : 2006-02-03
ISBN : 0470030488
Language : En, Es, Fr & De

GET BOOK

Book Description :

Looks at the present state-of-the-art in global financial risk management, and then at the innovations and solutions that are being developed to solve the problems with current methodologies. The author presents a closely reasoned explanation of why the traditional quantitative methods are no longer adequate and argues the case for the hybrid instrument that will arise from the merging of the capital and insurance markets. New Ways for Managing Global Financial Risks will allow readers to think differently about how global financial risk is managed, and how to simplify the process.

Managing Extreme Climate Change Risks through Insurance

Managing Extreme Climate Change Risks through Insurance Book
Author : W. J. Wouter Botzen
Publisher : Cambridge University Press
Release : 2013-03-28
ISBN : 1107355494
Language : En, Es, Fr & De

GET BOOK

Book Description :

In recent years, the damage caused by natural disasters has increased worldwide; this trend will only continue with the impact of climate change. Despite this, the role for the most common mechanism for managing risk - insurance - has received little attention. This book considers the contribution that insurance arrangements can make to society's management of the risks of natural hazards in a changing climate. It also looks at the potential impacts of climate change on the insurance sector, and insurers' responses to climate change. The author combines theory with evidence from the rich experiences of the Netherlands together with examples from around the world. He recognises the role of the individual in preparing for disasters, as well as the difficulties individuals have in understanding and dealing with infrequent risks. Written in plain language, this book will appeal to researchers and policy-makers alike.

Financial Risk Manager Handbook

Financial Risk Manager Handbook Book
Author : Philippe Jorion,GARP (Global Association of Risk Professionals)
Publisher : John Wiley & Sons
Release : 2010-12-28
ISBN : 1118017919
Language : En, Es, Fr & De

GET BOOK

Book Description :

The essential reference for financial risk management Filled with in-depth insights and practical advice, the Financial Risk Manager Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Sixth Edition, mirrors recent updates to the new two-level Financial Risk Manager (FRM) exam, and is fully supported by GARP as the trusted way to prepare for the rigorous and renowned FRM certification. This valuable new edition includes an exclusive collection of interactive multiple-choice questions from recent FRM exams. Financial Risk Manager Handbook, Sixth Edition supports candidates studying for the Global Association of Risk Professional's (GARP) annual FRM exam and prepares you to assess and control risk in today's rapidly changing financial world. Authored by renowned risk management expert Philippe Jorion, with the full support of GARP, this definitive guide summarizes the core body of knowledge for financial risk managers. Offers valuable insights on managing market, credit, operational, and liquidity risk Examines the importance of structured products, futures, options, and other derivative instruments Contains new material on extreme value theory, techniques in operational risk management, and corporate risk management Financial Risk Manager Handbook is the most comprehensive guide on this subject, and will help you stay current on best practices in this evolving field. The FRM Handbook is the official reference book for GARP's FRM certification program.

Handbook Of Heavy tailed Distributions In Asset Management And Risk Management

Handbook Of Heavy tailed Distributions In Asset Management And Risk Management Book
Author : Stoyan V Stoyanov,Frank J Fabozzi,Michele Leonardo Bianchi,Gian Luca Tassinari,Sergio Focardi
Publisher : World Scientific
Release : 2019-03-08
ISBN : 9813276215
Language : En, Es, Fr & De

GET BOOK

Book Description :

The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Risk Management of Extreme Events in Banking

Risk Management of Extreme Events in Banking Book
Author : Pascal vander Straeten
Publisher : Unknown
Release : 2021-01-15
ISBN : 9781734184129
Language : En, Es, Fr & De

GET BOOK

Book Description :

The risks posed by epidemics, stock market crashes, and massive avalanches are characterized by losses of huge magnitude but infrequent occurrence. Analyzing and managing such extreme risks are inherently difficult. The limited data we collect on these rare events is unlikely to be representative. This lack of data often results in a tendency for policymakers to under-invest in protecting against these risks. When these disastrous events finally eventuate, people are likely to over-invest in response due to their lack of experience and cognitive errors. Extreme risks pose challenges for conventional models of risk analysis and risk management, and they invite development of new approaches to complement existing methods. Historically, these risks have usually been managed on a piecemeal and ad hoc basis. Although banks have in place sets of risk tools to address extreme risks, it remains unclear whether the existing risk management fit contributes to lasting resilience within the banking industry. To illustrate the validity and dynamics of the fit-resilience association, I perform a retrospective case study of an exemplary relationship between the existing extreme risk management tools and the banks, and see how the latter have become more resilient since the application of these risk measures. Case findings show that the existing risk framework to address extreme events is associated with poor resilience of banks. This misfit is only temporal, however, as banks can borrow from the corporate world a set of qualitative risk concepts to alter the poor relationship in terms of resilience between existing risk tools and banks and regain resilience. Furthermore, the case demonstrates the importance of a set of qualitative extreme risk management tools that should be embedded in the strategic planning and organizational design of the bank, as existing (quantitative) risk controls appeared unable to overcome difficulties in achieving better resilience. In this respect, the case also shows the bank management's active role in establishing an organizational governance and business process that is better tailored to address extreme risk environments by borrowing from the corporate world qualitative risk concepts such as HRO, supply chain risk management, and business model reverse stress testing.

Financial Risk Manager Handbook Test Bank

Financial Risk Manager Handbook    Test Bank Book
Author : Philippe Jorion,GARP (Global Association of Risk Professionals),Global Association of Risk Professionals
Publisher : John Wiley & Sons Incorporated
Release : 2010-12-28
ISBN : 0987650XXX
Language : En, Es, Fr & De

GET BOOK

Book Description :

The Financial Risk Management Exam (FRM Exam) is a test given annually in November to risk professionals who want to earn FRM® certification. The Global Association of Risk Professionals has developed the exam and supports exam instruction by publishing the Financial Risk Manager Handbook, authored by Philippe Jorion. Every year, GARP organizes the exam and the FRM® Certificate Program, whose goal is to establish an industry standard of minimum professional competence in the field. The examination is fast becoming an essential requirement for risk managers all over the world. The goal is to make The FRM Handbook the definitive instructor's guide for the exam and learning guide among in-house training programs and university courses focused on financial risk management.

Value at Risk 3rd Ed

Value at Risk  3rd Ed  Book
Author : Philippe Jorion
Publisher : McGraw Hill Professional
Release : 2006-11-09
ISBN : 0071736921
Language : En, Es, Fr & De

GET BOOK

Book Description :

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Risk Management and Analysis Measuring and Modelling Financial Risk

Risk Management and Analysis  Measuring and Modelling Financial Risk Book
Author : Carol Alexander
Publisher : John Wiley & Sons Incorporated
Release : 1998
ISBN : 0987650XXX
Language : En, Es, Fr & De

GET BOOK

Book Description :

Risk Management and Analysis Volume 1 Measuring and Modelling Financial Risk Edited by Carol Alexander In the two years since the publication of The Handbook of Risk Management and Analysis interest and the practice of management, modelling and control of financial risks has grown enormously. The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains. Measuring and Modelling Financial Risk has been structured in four parts: the first three chapters survey standard approaches to measuring and modelling financial risk from the risk manager perspective, Chapters 4 and 5 are aimed primarily at quantitative risk analysts whose job it is to put the systems in place. Chapters 6 and 7 discuss important issues in IT and systems design, and the last two chapters cover pricing and risk management of credit-risky products. Leading figures in the field contribute: Michel Crouhy, Dan Galai and Robert Mark, Stan Beckers, Thomas Wilson, Mark Broadie and Paul Glasserman, Nigel Webb, Ron Dembo, Robert Jarrow and Stuart Turnbull, and Lee Wakeman. "Risk management is becoming an increasingly important activity for financial institutions, fund managers, and corporate treasurers. It used to be the case that the brightest 'quants' were used to design and value ever-more-exotic derivatives. Now increasingly they are finding that their talents can best be put to work in risk management. In this volume Carol Alexander has gathered together nine articles concerned with different aspects of risk management and analysis. The topics covered include the regulatory framework, volatility and correlation models, value at risk, and credit risk. The book will provide a valuable source of reference material for both market participants and students." John Hull, August 1998

Theory of Financial Risk and Derivative Pricing

Theory of Financial Risk and Derivative Pricing Book
Author : Jean-Philippe Bouchaud,Marc Potters
Publisher : Cambridge University Press
Release : 2003-12-11
ISBN : 9780521819169
Language : En, Es, Fr & De

GET BOOK

Book Description :

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

Extreme Financial Risks and Asset Allocation

Extreme Financial Risks and Asset Allocation Book
Author : Olivier Le Courtois,Christian Walter
Publisher : World Scientific
Release : 2014-01-21
ISBN : 1783263105
Language : En, Es, Fr & De

GET BOOK

Book Description :

Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful. Contents:IntroductionMarket FrameworkStatistical Description of MarketsLévy ProcessesStable Distributions and ProcessesLaplace Distributions and ProcessesThe Time Change FrameworkTail DistributionsRisk BudgetsThe Psychology of RiskMonoperiodic Portfolio ChoiceDynamic Portfolio ChoiceConclusion Readership: Researchers, graduate students and financial engineers in the field of mathematical and quantitative finance. Key Features:This book offers an excellent synthesis of the academic literature in a clear, ordered, and intuitive wayThe continuous-time theory of the choice of portfolio is exposed with particular care when asset dynamics are modeled with processes admitting a jump component. This is a technically difficult topic that is tackled here with a lot of clarityThe collated works in this book facilitates access to the most recent techniques, making it user-friendly for readersKeywords:Lévy Process;Extreme Risks;Risk Management;Portfolio Management;Asset AllocationReviews: “A pedagogical work of updated financial models using Lévy processes. Very well written, very well explained and argued with examples and appropriate simulations. Recommended to academics, researchers and PhD students, slightly less to practitioners.” Zentralblatt MATH

Forecasting Extreme Financial Risk

Forecasting Extreme Financial Risk Book
Author : Jón Daníelsson,Yuji Morimoto
Publisher : Unknown
Release : 2000
ISBN : 0987650XXX
Language : En, Es, Fr & De

GET BOOK

Book Description :

Download Forecasting Extreme Financial Risk book written by Jón Daníelsson,Yuji Morimoto, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Financial Risk Forecasting

Financial Risk Forecasting Book
Author : Jon Danielsson
Publisher : John Wiley & Sons
Release : 2011-04-20
ISBN : 1119977118
Language : En, Es, Fr & De

GET BOOK

Book Description :

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Quantitative Risk Management

Quantitative Risk Management Book
Author : Alexander J. McNeil,Rüdiger Frey,Paul Embrechts
Publisher : Princeton University Press
Release : 2015-05-26
ISBN : 0691166277
Language : En, Es, Fr & De

GET BOOK

Book Description :

This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation