The Risk Modeling Evaluation Handbook
(Sprache: Englisch)
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...
"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...
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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
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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 EvaluationHandbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk.
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 EvaluationHandbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk.
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Autoren-Porträt von Greg N. Gregoriou, Christian Hoppe, Carsten S. Wehn
GREG N. GREGORIOU is Assistant Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York (Plattsburgh). He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec at Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs for peer-reviewed publications such as the Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, European Journal of Finance, and Journal of Asset Management. He is coauthor or coeditor of three books on hedge funds and CTAs: Performance Evaluation of Hedge Funds; Hedge Funds: Strategies, Risk Assessment, and Returns; and Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley).
Bibliographische Angaben
- Autoren: Greg N. Gregoriou , Christian Hoppe , Carsten S. Wehn
- 2010, 491 Seiten, mit Abbildungen, Maße: 17,6 x 23,9 cm, Gebunden, Englisch
- Herausgegeben: Greg N. , Professor Gregoriou, Christian Hoppe, Carsten S. Wehn
- Verlag: McGraw-Hill Professional
- ISBN-10: 0071663703
- ISBN-13: 9780071663700
Sprache:
Englisch
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