Link to the ebook : http://ezproxy.univ-catholille.fr/login?url=https://www.vleb...

eISBN : 0071736921

Contents : Contents

Preface
Acknowledgments

Part I. Motivation

1 The Need for Risk Management
2 Lessons from Financial Disasters
3 VAR-Based Regulatory Capital

Part II. Building blocks

4 Tools for Measuring Risk
5 Computing VAR
6 Backtesting VAR
7 Portfolio Risk: Analytical Methods
8 Multivariate Models
9 Forecasting Risk and Correlations

Part III. Value-at-risk systems

10 VAR Methods
11 VAR Mapping
12 Monte Carlo Methods
13 Liquidity Risk
14 Stress Testing
Part IV. Applications of risk management systems
15 Using VAR to Measure and Control Risk
16 Using VAR for Active Risk Management
17 VAR and Risk Budgeting in Investment Management

Part V. Extensions of risk management systems

18 Credit Risk Management
19 Operational Risk Management
20 Integrated Risk Management

Part VI. The risk management profession

21 Risk Management Guidelines and Pitfalls
22 Conclusions
References
Index

Language : English

Print : 3ème

Figure(s) : Graphique(s) ; Tableau(x)

Location : Nice Library

Material : Electronic

Statement : Présent

Owner : Bibliothèque