Innovations in risk management : seminal papers from the Journal of risk
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Bibliographic Information
Innovations in risk management : seminal papers from the Journal of risk
Risk Books, c2004
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
A collection of some of the most influential papers published in 'The Journal of Risk', selected and introduced by editor-in-chief Philippe Jorion. Presents a leading body of knowledge in quantitative methods to measure the financial risks of complex portfolios.
Table of Contents
CONTENTS Introduction Philippe Jorion Section 1: Market Risk: VAR for Individual Assets 1 VAR Risk Measures vs Traditional Risk Measures: An Analysis and Survey Guy Kaplanski and Yoram Kroll 2 Incorporating Volatility Updating into the Historical Simulation Method for Value-at Risk John Hull and Alan White 3 Risk Estimation Using the Normal Inverse Gaussian Distribution Johannes H Venter and Pieter L. de Jongh 4 Regulatory Evaluation of Value-at-Risk Models Jose A. Lopez 5 Fallacies about the Effects of Market Risk Management Systems Philippe Jorion Section 2: Market Risk: VAR for Portfolios 6 Improving Grid-Based Methods for Estimating Value-at-Risk of Fixed-Income Portfolios Michael S. Gibson and Matthew Pritsker 7 Optimization of Conditional Value-at-Risk R. Tyrrell Rockafeller and Stanislav Uryasev 8 Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be? Xiongwei Ju and Neil D. Pearson 9 Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework Jose A. Lopez and Christian A. Walter 10 Decomposing Portfolio Value-at-Risk: A General Analysis Winfried J. Hallerbach Section 3: Market Risk: Stress Tests 11 A Coherent Framework for Stress Testing Jeremy Berkowitz 12 A stress Test to Incorporate Correlation Breakdown Jongwoo Kim and Christopher C. Finger 13 A Methodology for Creating a Valid Correlation Matrix for Risk Management and Option Pricing Purposes Riccardo Rebonato and Peter Jackel 14 Forecasting Portfolio Risk in Normal and Stressed Markets Vineer Bhansali and Mark B. Wise Section 4: Liquidity Risk 15 Optimal Execution of Portfolio Transactions Robert Almgren and Neil Chriss Section 5: Credit Risk 16 Evaluation of Credit Risk of a Portfolio with Stochastic Interest Rate and Default Processes Masaaki Kijima and Yukio Muromachi 17 Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices Tibor Janosi, Robert Jarrow, and Yildiray Yildirim 18 Pricing Corporate Bonds with Dynamic Default Barriers Cho-Hoi Hui, Chi-Fai Lo, and Shun-Wai Tsang 19 Incorporating Severity Variations into Credit Risk Peter Buergisser, Alexandre Kurth and Armin Wagner 20 Evaluating Credit Risk Models Using Loss Density Forecasts Hergen Frerichs and Gunter Loffler Section 6: Risk Capital 21 Measuring Risk-Adjusted Performance Michel Crouhy, Stuart Turnbull, and Lee Wakeman
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