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Rethinking Risk Measurement and ... and II

Edited By Klaus Böcker

Rethinking Risk Measurement and Reporting aims to increase the readers’ awareness of model and parameter uncertainty when using mathematical models in financial risk management. This book, which is being published in two volumes, helps the reader to discern that model uncertainty must be accepted as an intrinsic part of risk measurement.

Buy both volumes here for the reduced price of £195 (£290 if bought seperately)

Click here to view Volume I
(ISBN 978-1-906348-40-3)

Click here to view Volume II
(ISBN 978-1-906348-50-2)

“...Risk managers from academia to practice will highly welcome this volume.”

Paul Embrechts, Director of RiskLab, ETH Zurich.
From: £195.00
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Counterparty Credit Risk

Edited By Eduardo Canabarro

This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks.
From: £125.00
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Model Risk: Identification, Measurement and Management

Edited By Daniel Rösch and Harald Scheule

Over the past decade the financial service industry has spent tremendous resources on building models to measure financial risks. Generally, these models’ predictions were used without acknowledging that reality may or may not reflect the assumptions made and thus the predictions. The book aims to provide solutions on how to include model risk into existing risk measurement frameworks. It also aims to provide solutions on how to build models of higher accuracy and thus lower model risk.
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Stress Testing for Financial Institutions

Edited By Daniel Rösch and Harald Scheule

Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.
This is the only book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.
This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.
From: £99.00
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Pillar II in the New Basel Accord

Edited By Andrea Resti with a Preface By Michael Gordy

For a long while, the new Basel Accord has been identified mostly with Pillar I. As Pillar II models have started to be established and validated, banks have become increasingly conscious of the strategic relevance of Pillar II.
Pillar II in the New Basel Accord: The Challenge of Economic Capital takes you through every main strand of Pillar II. It tackles the regulatory framework and shows how to reconcile the various regulatory sources.
1 Review(s)

£70.00
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The Definitive Guide to CDOs

Edited By Gunter Meissner

Collateralised debt obligations (CDOs) are at the heart of the continuing credit crisis. This guide is recommended to anyone trying to understand the mechanics of this challenging market.
"An excellent book on CDOs, covering all relevant aspects such as market, application, CDO valuation approaches and hedging. A must read!" Peter Carr, PhD, Head of Quantitative Financial Research, Bloomberg LP, Director of the Math Finance Program, NYU-Courant
£70.00
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Theory and Practice of ... Risk Modelling

Introduced By Alexander Lipton

’The rise of credit markets over the past decade has been nothing short of spectacular. Their current state of turmoil is nothing short of mind-boggling. It seems to be a perfect moment for putting together an authoritative collection of papers devoted to various intertwining aspects of credit modelling’ – from the Introduction, by Alexander Lipton
£70.00
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Counterparty Credit Risk Modelling

Edited By Michael Pykhtin & Leif B. G. Andersen

To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry’s most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
1 Review(s)

£99.00
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Recovery Risk

Edited By Edward Altman and Andrea Resti and Andrea Sironi

In this ground-breaking title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
1 Review(s)

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Structured Credit Products

Edited By William Perraudin

Written by leading industry participants, regulators and academics active within the market, this new title will help you understand the very latest developments in the pricing, rating and risk management of structured products as well as the related regulatory issues. And to bring you fully up-to-date, Structured Credit Products concludes with a highly topical analysis of the very latest Basel proposals related to structured exposures.
£99.00
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Credit Risk Models & ... 2nd Edition

Edited By David Shimko

Building upon the seminal work established in the first best selling edition, this fully revised multi-author reference collection brings you up-to date with a complete and cohesive examination on the latest techniques for credit risk assessment and management
1 Review(s)

£99.00
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Liquidity Black Holes

Edited By Avinash Persaud

This cutting-edge volume brings together a range of leading academics and market practitioners to help you define, understand and measure liquidity risk and ’liquidity black holes’.
£99.00
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