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The risk modeling evaluation handbook

The risk modeling evaluation handbook
rethinking financial risk management methodologies in the global capital markets

  • ISBN: 9780071663700
  • Editorial: McGraw-Hill Publishing Co.
  • Lugar de la edición: New York. Estados Unidos de Norteamérica
  • Colección: Finance and Investing
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 528
  • Idiomas: Inglés

Papel: Cartoné
85,54 €
Stock en Almacén


Eds. Greg N. Gregoriou, Christian Hoppe, Carsten S. Wehn. "The Risk Modeling Evaluation Handbook": The first in-depth analysis of inherent deficiencies in present practices! In "The Risk Modeling Evaluation Handbook", an international team of 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. You will learn to identify the shortcomings of the most widely used risk models and gain important strategies for properly implementing these models into their investing portfolios. This comprehensive resource includes examinations of model risk as applied to: equity and fixed income investments; credit and credit derivatives investments and credit processes; carry trades, rating models, and the supervisory formula; valuation models, as well as VaR, Copula, GARCH, and EVT models; and, counterparty, market, and operational risk models. "The Risk Modeling Evaluation Handbook" 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. This book will serve as the go-to guide for financial professionals looking to improve or adjust their approach to modeling financial risk.

Eds. Greg N. Gregoriou, Christian Hoppe, Carsten S. Wehn


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