Mastering Risk Volume II-Application: 2 (Financial Times Series) - Softcover

Alexander, Prof Carol

Softcover

ISBN 10: 0273654365 ISBN 13: 9780273654360

Publisher: Financial Times/ Prentice Hall, 2001

Synopsis

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).

About this title

About the Author

 Carol Alexander is Professor of Finance and Chair of Risk Management at the ISMA Centre, University of Reading and formerly a Director and Head of Market Risk Modelling for Nikko Global Holdings and Academic Director of Algorithmics Inc. She has published over 30 papers in international journals and was the founding Editor-in-Chief of NetExposure, the electronic journal of financial risk, sponsored by Algorithmics. Her editorial experience includes 12 books on mathematics and finance, most recently two volumes on Measuring and Modelling Financial Risk and New Markets and Products (Wiley, 1998) and Visions of Risk (Financial Times Prentice Hall, 2000).  Carol has developed many models of risk management and investment analysis through consulting, training and research. She has given numerous training courses, seminars and conference presentations on measurement of market, credit and operational risk and on quantitative investment techniques. Carol Alexander also designs commercial software for risk management, portfolio management and trading. Her price prediction model won the first international non-linear financial forecasting competition in 1996.

Edition details

• Publisher: Financial Times/ Prentice Hall
• Publication date: 2001
• Language: English
• ISBN 10: 0273654365
• ISBN 13: 9780273654360
• Binding: Paperback
• Edition number: 1
• Number of pages: 272