The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets / Edition 1

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Overview

The first in-depth analysis of

inherent deficiencies in present practices

“A book like this helps reduce the chance of a future breakdown in risk management.”

Professor Campbell R. Harvey, the Fuqua School of Business, Duke University

“A very timely and extremely useful guide to the subtle and often difficult

issues involved in model risk—a subject which is only now gaining the

prominence it should always have had.”

Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham

“This book collects authoritative papers on a timely and important topic . . .

and should lead to many new insights.”

Professor Philip Hans Franses, Erasmus School of Economics, Erasmus University

“Inadequate valuation and risk management models have played their part in

triggering the recent economic turmoil felt around the world. This timely book,

written by experts in the field of model risk, will surely help risk managers and

financial engineers measure and manage risk effectively.”

Dr. Fabrice Douglas Rouah, Vice President, State Street Corporation

“This invaluable handbook has been edited by experts . . . and should prove to be

of great value to investment finance and credit risk modelers in a wide range of

disciplines related to portfolio risk, risk modeling in finance, international money

and finance, country risk, and macroeconomics.”

Professor Michael McAleer, Erasmus School of Economics, Erasmus University

About the Book:

If we have learned anything from the global

financial collapse of 2008, it is this: the

mathematical risk models currently used by

financial institutions are no longer adequate

quantitative measures of risk exposure.

In The Risk Modeling Evaluation Handbook,

an international team of 48 experts evaluates

the problematic risk-modeling methods

used by large financial institutions and breaks

down how these models contributed to the

decline of the global capital markets. Their

conclusions enable you to identify the shortcomings

of the most widely used risk models

and create sophisticated strategies for properly

implementing these models into your investing

portfolio.

Chapters include:

  • Model Risk: Lessons from Past Catastrophes

    (Scott Mixon)

  • Effect of Benchmark Misspecification on Riskadjusted

    Performance Measures (Laurent Bodson

    and George Hübner)

  • Carry Trade Strategies and the Information Content of

    Credit Default Swaps (Raphael W. Lam and

    Marco Rossi)

  • Concepts to Validate Valuation Models

    (Peter Whitehead)

  • Beyond VaR: Expected Shortfall and Other Coherent

    Risk Measures (Andreas Krause)

  • Model Risk in Credit Portfolio Modeling

    (Matthias Gehrke and Jeffrey Heidemann)

  • Asset Allocation under Model Risk (Pauline M. Barrieu

    and Sandrine Tobolem)

This dream team of the masters of risk

modeling provides expansive explanations of

the types of model risk that appear in risk

measurement, risk management, and pricing,

as well as market-tested techniques for

mitigating risk in loan, equity, and derivative

portfolios.

The Risk Modeling Evaluation Handbook is the

go-to guide for improving or adjusting your

approach to modeling financial risk.

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Product Details

  • ISBN-13: 9780071663700
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 1/22/2010
  • Edition number: 1
  • Pages: 528
  • Product dimensions: 6.20 (w) x 9.10 (h) x 1.70 (d)

Meet the Author

Greg N. Gregoriou is professor of finance in the

School of Business and Economics at State

University of New York (Plattsburgh). He is

the author of numerous financial books and

coeditor for the Journal of Derivatives and

Hedge Funds.

Christian Hoppe is group head of credit solutions

in the corporate banking division of Commerzbank

AG Frankfurt. He is cofounder and

CEO of the Anleihen Finder GmbH.

Carsten S. Wehn is head of market risk control at

DekaBank, Frankfurt, where he is responsible

for measuring market and liquidity risk,

developing risk methods and models, and

validating the adequacy of the respective risk

models.

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