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

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9780071663700: The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

The first in-depth analysis ofinherent 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 difficultissues involved in model risk—a subject which is only now gaining theprominence 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 intriggering 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 andfinancial 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 beof great value to investment finance and credit risk modelers in a wide range ofdisciplines related to portfolio risk, risk modeling in finance, international moneyand finance, country risk, and macroeconomics.”
Professor Michael McAleer, Erasmus School of Economics, Erasmus University

About the Book:

If we have learned anything from the globalfinancial collapse of 2008, it is this: themathematical risk models currently used byfinancial institutions are no longer adequatequantitative measures of risk exposure.

In The Risk Modeling Evaluation Handbook,an international team of 48 experts evaluatesthe problematic risk-modeling methodsused by large financial institutions and breaksdown how these models contributed to thedecline of the global capital markets. Theirconclusions enable you to identify the shortcomingsof the most widely used risk modelsand create sophisticated strategies for properlyimplementing these models into your investingportfolio.

Chapters include:

  • Model Risk: Lessons from Past Catastrophes(Scott Mixon)
  • Effect of Benchmark Misspecification on RiskadjustedPerformance Measures (Laurent Bodsonand George Hübner)
  • Carry Trade Strategies and the Information Content ofCredit Default Swaps (Raphael W. Lam andMarco Rossi)
  • Concepts to Validate Valuation Models(Peter Whitehead)
  • Beyond VaR: Expected Shortfall and Other CoherentRisk Measures (Andreas Krause)
  • Model Risk in Credit Portfolio Modeling(Matthias Gehrke and Jeffrey Heidemann)
  • Asset Allocation under Model Risk (Pauline M. Barrieuand Sandrine Tobolem)

This dream team of the masters of riskmodeling provides expansive explanations ofthe types of model risk that appear in riskmeasurement, risk management, and pricing,as well as market-tested techniques formitigating risk in loan, equity, and derivativeportfolios.

The Risk Modeling Evaluation Handbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

About the Author:

Greg N. Gregoriou is professor of finance in theSchool of Business and Economics at StateUniversity of New York (Plattsburgh). He isthe author of numerous financial books andcoeditor for the Journal of Derivatives andHedge Funds.
Christian Hoppe is group head of credit solutionsin the corporate banking division of CommerzbankAG Frankfurt. He is cofounder andCEO of the Anleihen Finder GmbH.
Carsten S. Wehn is head of market risk control atDekaBank, Frankfurt, where he is responsiblefor measuring market and liquidity risk,developing risk methods and models, andvalidating the adequacy of the respective riskmodels.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten S.
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Descrizione libro McGraw-Hill, 2010. Hardcover. Condizione libro: New. book. Codice libro della libreria 0071663703

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Descrizione libro McGraw-Hill Professional 2010-03-01, 2010. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-ING-00280433

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Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten S.
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Descrizione libro McGraw-Hill Education - Europe, United States, 2010. Hardback. Condizione libro: New. 232 x 158 mm. Language: English . Brand New Book ***** Print on Demand *****. The first in-depth analysis ofinherent 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 difficultissues involved in model risk-a subject which is only now gaining theprominence 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 intriggering 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 andfinancial 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 beof great value to investment finance and credit risk modelers in a wide range ofdisciplines related to portfolio risk, risk modeling in finance, international moneyand finance, country risk, and macroeconomics. Professor Michael McAleer, Erasmus School of Economics, Erasmus University About the Book: If we have learned anything from the globalfinancial collapse of 2008, it is this: themathematical risk models currently used byfinancial institutions are no longer adequatequantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook,an international team of 48 experts evaluatesthe problematic risk-modeling methodsused by large financial institutions and breaksdown how these models contributed to thedecline of the global capital markets. Theirconclusions enable you to identify the shortcomingsof the most widely used risk modelsand create sophisticated strategies for properlyimplementing these models into your investingportfolio. Chapters include: Model Risk: Lessons from Past Catastrophes(Scott Mixon) Effect of Benchmark Misspecification on RiskadjustedPerformance Measures (Laurent Bodsonand George Hubner) Carry Trade Strategies and the Information Content ofCredit Default Swaps (Raphael W. Lam andMarco Rossi) Concepts to Validate Valuation Models(Peter Whitehead) Beyond VaR: Expected Shortfall and Other CoherentRisk Measures (Andreas Krause) Model Risk in Credit Portfolio Modeling(Matthias Gehrke and Jeffrey Heidemann) Asset Allocation under Model Risk (Pauline M. Barrieuand Sandrine Tobolem) This dream team of the masters of riskmodeling provides expansive explanations ofthe types of model risk that appear in riskmeasurement, risk management, and pricing,as well as market-tested techniques formitigating risk in loan, equity, and derivativeportfolios. The Risk Modeling Evaluation Handbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk. Codice libro della libreria APC9780071663700

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Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten S.
Editore: McGraw-Hill Education - Europe, United States (2010)
ISBN 10: 0071663703 ISBN 13: 9780071663700
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Descrizione libro McGraw-Hill Education - Europe, United States, 2010. Hardback. Condizione libro: New. 232 x 158 mm. Language: English . Brand New Book ***** Print on Demand *****.The first in-depth analysis ofinherent 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 difficultissues involved in model risk-a subject which is only now gaining theprominence 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 intriggering 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 andfinancial 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 beof great value to investment finance and credit risk modelers in a wide range ofdisciplines related to portfolio risk, risk modeling in finance, international moneyand finance, country risk, and macroeconomics. Professor Michael McAleer, Erasmus School of Economics, Erasmus University About the Book: If we have learned anything from the globalfinancial collapse of 2008, it is this: themathematical risk models currently used byfinancial institutions are no longer adequatequantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook,an international team of 48 experts evaluatesthe problematic risk-modeling methodsused by large financial institutions and breaksdown how these models contributed to thedecline of the global capital markets. Theirconclusions enable you to identify the shortcomingsof the most widely used risk modelsand create sophisticated strategies for properlyimplementing these models into your investingportfolio. Chapters include: Model Risk: Lessons from Past Catastrophes(Scott Mixon) Effect of Benchmark Misspecification on RiskadjustedPerformance Measures (Laurent Bodsonand George Hubner) Carry Trade Strategies and the Information Content ofCredit Default Swaps (Raphael W. Lam andMarco Rossi) Concepts to Validate Valuation Models(Peter Whitehead) Beyond VaR: Expected Shortfall and Other CoherentRisk Measures (Andreas Krause) Model Risk in Credit Portfolio Modeling(Matthias Gehrke and Jeffrey Heidemann) Asset Allocation under Model Risk (Pauline M. Barrieuand Sandrine Tobolem) This dream team of the masters of riskmodeling provides expansive explanations ofthe types of model risk that appear in riskmeasurement, risk management, and pricing,as well as market-tested techniques formitigating risk in loan, equity, and derivativeportfolios. The Risk Modeling Evaluation Handbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk. Codice libro della libreria APC9780071663700

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Descrizione libro McGraw-Hill Education - Europe 2010-03-01, 2010. hardback. Condizione libro: New. Codice libro della libreria 9780071663700

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Descrizione libro McGraw-Hill Education. Hardcover. Condizione libro: New. 0071663703 Special order direct from the distributor. Codice libro della libreria ING9780071663700

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Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten S.
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Descrizione libro McGraw-Hill. Hardcover. Condizione libro: New. Hardcover. 528 pages. Dimensions: 9.1in. x 6.2in. x 1.7in.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 riska 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 Hbner) 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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Codice libro della libreria 9780071663700

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