Qualifying and Quantifying Risk within a Financial Institution
Edited By Various
A report on the latest developments that aims to aid executive decision-making for both financial institutions and regulators.
SPECIFICATIONS
Book Size: A4
Pages: 140pp
ISBN-10: 1-899332-29-4
ISBN-13: 978-1-899332-29-8
Binding: Softback
Format: Report, softback
SUMMARY
- 15+ expert practitioners and academics assess various aspects of risk management in the context of the Basel 1996 amendment and the European CAD II documentation
- Includes an overview from the BBA, perspectives on VAR and worst case scenario risk, extreme value, internal modelling and gaining model recognition
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TABLE OF CONTENTS
CONTENTS
Preface
Internal Modelling and CAD II: An Overview
Richard Quinn
Value-at-Risk Models for Linear Exposures: An Empirical Comparison
Patricia Jackson, David J. Maude, and William Perraudin
Testing Backtesting
André Lucas
Calculating Value-at-Risk with Monte Carlo Simulation
Evan Picoult
Predictive Ability of Different Volatility Forecasting Techniques
Ashok P. Varikooty, John Liu, and Harry Huang
The Best of Both Worlds
Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw
Expect the Worst
Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw
Extreme Value Theory for Risk Managers
Alexander J. McNeil
Modelling Credit Risk Internally
Michael K. Ong
CAD II Model Recognition
Peter Stockwell
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CONTRIBUTORS
Richard Quinn; Patricia Jackson, David J. Maude, and William Perraudin; André Lucas; Evan Picoult; Ashok P. Varikooty, John Liu, and Harry Huang; Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw; Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw; Alexander J. McNeil; Michael K. Ong; Peter Stockwell
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CUSTOMERS WHO BOUGHT THIS TITLE ALSO BOUGHT:
The Basel Handbook (2nd edition) - Edited By Michael K. Ong
Anti-Money Laundering - Edited By Tim Gough
SEC Regulation Outside the United States (6th ed) - Edited By Mark Berman
MiFID - Jean-René Giraud & Catherine D'Hondt
An Introduction to Operational Risk - Thomas Kaiser and Marc Köhne
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