Logotipo librería Marcial Pons

The fundamentals of risk measurement

  • ISBN: 9780071386272
  • Editorial: McGraw-Hill Publishing Co.
  • Lugar de la edición: New York. Estados Unidos de Norteamérica
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 413
  • Idiomas: Inglés

Papel: Cartoné
57,37 €
Sin Stock. Disponible en 5/6 semanas.


A famous example of risk management gone wrong - in 1998, Long Term Capital Management (LTCM), a hedge fund, had bet heavily that any Russian default would have a correlated currency devaluation, which LTCM could use as a hedge. The devaluation didn't happen, LTCM lost 3 billion dollars as a consequence and was taken over. Chase Bank, on the other hand, saw that they were over-exposed to Russia at the beginning of 1998, shed their Russian holdings, and were then able to carry on business-as-usual during the ensuring crisis. People want to know about risk measurement not only because of old disasters like LTCM, but also because the hot topic in risk now is the Basel Accords. Over the last 10 years risk measurement has become increasingly sophisticated, reliable and useful. Risk measurement has been used by banks to give them a competitive advantage in taking on and trading risks, and now it has become mature enough that it is being adopted by the regulators to set required minimum capital levels for banks.


Utilizamos cookies propias y de terceros para mejorar nuestros servicios y facilitar la navegación. Si continúa navegando consideramos que acepta su uso.

aceptar más información