Applications
著者
書誌事項
Applications
（Financial Times mastering series, . Financial Times mastering risk ; v. 2）
Financial Times Prentice Hall, 2001
- タイトル別名
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Applications : your single-source guide to becoming a master of risk
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注記
Includes bibliographical references and indexes
内容説明・目次
内容説明
Every company is exposed to financial risk, but some are more exposed than others. This book will help you understand and control the financial risk for your institution.
目次
Introduction PART I. MARKET RISKS 1. Introduction 2. Efficient Monte Carlo methods for Value-at-Risk 3. Orthogonal GARCH 4. Strike-adjusted spread: a new metric for estimating the value of equity options 5. Recent advances in more realistic market risk management: the hyperbolic model 6. Cointegration: the new risk relationship 7. Managing model risk PART II. CREDIT RISKS 8. Introduction 9. What wags the tail? Identifying the key assumptions in models of portfolio credit risk 10. Modeling default correlation in bond portfolios 11. Pricing the risks of default 12. The estimation of default probabilities: a review of alternative methodologies and why they give different results PART III. OPERATIONAL RISKS 13. Introduction 14. Mathematical techniques for pricing and hedging operational risk 15. Designing an operational risk framework from a bottom-up perspective 16. The Bayesian approach to measuring operational risks 17. Operational risk and regulatory capital Subject index Organization index Name index
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