Beyond Value at Risk: The New Science of Risk Management / Edition 1

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Risk measurement and management is the most important issue in finance today. This book examines the concepts underlying the main tools and techniques used by financial institutions to quantify their risk exposure. Quantifying risk exposure is not only a management tool, but a regulatory requirement for banks and investment houses.
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Product Details

  • ISBN-13: 9780471976226
  • Publisher: Wiley
  • Publication date: 9/2/1999
  • Series: Frontiers in Finance Series , #95
  • Edition number: 1
  • Pages: 288
  • Product dimensions: 6.85 (w) x 9.67 (h) x 0.62 (d)

Meet the Author

Kevin Dowd is Professor and Head of Economics at the University of Sheffield, England, and is an Adjunct Scholar at the Cato Institute, Washington DC. Prior to this he was Professor of Financial Economics at Sheffield Hallam University and Reader in Monetary Economics at the University of Nottingham. His previous works include Competition and Finance: A Reinterpretation of Financial and Monetary Economics (1996), and Laissez-Faire Banking (1993). He also edited The Experience of Free Banking (1992).
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Table of Contents

Pt. 1 Introduction to VaR 1
Ch. 1 The Risk Management Revolution 3
Ch. 2 VaR Basics 38
Pt. 2 Different Approaches to Measuring VaR 61
Ch. 3 The Variance-Covariance Approach 63
Ch. 4 The Historical Simulation Approach 99
Ch. 5 Monte Carlo Simulation and Related Approaches 108
Ch. 6 Stress Testing 121
Pt. 3 Risk Management 139
Ch. 7 Risk-Adjusting Returns and Evaluating Performance 141
Ch. 8 Decision Making 157
Ch. 9 Credit Risk 166
Ch. 10 Liquidity, Operational and Legal Risks 187
Ch. 11 Allocating Capital 203
Ch. 12 Firm-Wide Risk Management 228
Glossary of Main Terms 250
Bibliography 256
Author Index 267
Subject Index 270
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