内容

目次

Motivation. The Need for Risk Management. Lessons from FinancialDisasters. Regulatory Capital Tandards with VAR. Lessons from FinancialDisasters. Regulatory Capital Standards with VAR. Building Blocks.Measuring Financial Risk. Computing Value at Risk. Backtesting VAR Models.Porfolio Risk: Analytical Methods. Forecasting Risks and Correlations.Value-At-Risk Systems. VAR Methods. Sress Testing. ImplemenetingDelta-Normal VAR. Simulation Methods. Credit Risk. Liquidity Risk.Applications of Risk-Management Systems. Using VAR to Measure and ControlRisk. Using VAR for Active Risk Management. VAR in Investment Management.The Technology of Risk. Operational Risk Management. Integrated RiskManagement. The Risk-Management Profession. Risk Management: Guidelines andPitfalls. Conclusions.