著者紹介

内容

目次

Introduction; 1. Quantifying the risks of trading: comparing andcontrasting the measurement of market risk (VaR) and counterparty exposureEvan Picoult; 2. Value at risk analysis of a leveraged swap SanjaySrivastava; 3. Stress testing in a Value at Risk framework Paul H. Kupiec; 4.Dynamic portfolio replication using stochastic programming M. A. H. Dempsterand G. W. P. Thompson; 5. Credit and interest rate risk William Perraudin,Rudiger Kiesel and Alex Taylor; 6. Coherent measures of risk PhilippeArtzner, Freddy Delbaen, Jean-Marc Eber and David Heath; 7. Correlation anddependency in risk management: properties and pitfalls Paul Embrechts,Alexander J. McNeil and Daniel Straumann; 8. Measuring risk with extremevalue theory Richard L. Smith; 9. Extremes in Operational Risk management M.N. Kyriacou and E. A. Medova.