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Mastering Risk: Volume 2 - Applications:…
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Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to…

by Carol Alexander

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Amazon.com Product Description (ISBN 0273654365, Paperback)

Developing the concepts of risk management discussed in the first volume in this set, Mastering Risk Volume 2: Applications examines the application of some of the most important recent research into financial products to the risk management of financial institutions. Building on the discussion of risk management concepts in the first volume, it provides a comprehensive overview of how to put market, credit and operational risk controls into practice. As with the first volume, the contributors are risk experts; leading academic specialists and practitioners in the day-to-day environment of risk management. They provide a balanced analysis of risk management applications including: - Monte Carlo methods for Value-at-Risk - The orthogonal GARCH model for generating large covariance matrices - The valuation of equity options using strike-adjusted spread - Models of portfolio credit risk, and of default correlation in bond portfolios - Techniques for measuring and managing operational risk - The management of model risk. Mastering Risk Volume 2: Applications gathers an impressive cast of 17 contributors, including Mark Davis (Imperial College), Emanuel Derman (Goldman Sachs), Paul Glasserman (University of Columbia Graduate School), Michael Gordy (Federal Reserve Board of Governors), John Hull and Alan White (University of Toronto), Dilip Madan (University of Maryland) and Riccardo Rebonato (Group Head of Market Risk, Royal Bank of Scotland Group). Mastering Risk Volume 2: Applications takes a detailed look at the theory of risk management and illustrates how to apply the concepts to your business, supported by recent examples and short case studies. It is an invaluable follow-on from the first volume and an equally comprehensive source in its own right. Mastering Risk Volume 2: Applications has been produced in association with the ISMA Centre, The Business School for Financial Markets at the University of Reading, UK (www.ismacentre.rdg.ac.uk).

(retrieved from Amazon Thu, 12 Mar 2015 18:06:08 -0400)

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