Book description
- 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
Book details
- ISBN
- 9781899332298
- Publish date
- 3 May 1999
- Format
- Executive report
- Size
- A4
Editor biography
Various
Author biography unavailable.
Table of 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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