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Risk Management: Value at Risk and Beyond

AuthorM. A. H. Dempster
Rating
Price596

The use of derivative products in risk management has spread from real commodities, stocks and fixed income items, to such virtual commodities as energy, weather and telecommunications bandwidth, all this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, value at risk, was developed specifically t help manage market risk over short periods, and its success led to it being taken up and extended to credit risk over longer time- scales. This extension, some what controversial, was ultimately not successful, and led to the collapse of a number of institutions. The present book, derived from a meeting at the newton Institute in Cambridge, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial systems by presenting oa mix of theory and practice. Chapters range from an examination of the axiomatics of risk, through risk measurement and extreme value theory, to operational, market and credit risk. It will be essential reading for all involved in financial risk management.

Publisher Cambridge University Press
Publication Date 02/01/2011
Number of Pages 266
Binding Paper Back
ISBN 9780521263740
Category Non Fiction , Business and Management

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