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Rethinking Risk Measurement and Reporting Vol II
£70.00
Model uncertainty must be accepted as an intrinsic part of risk measurement. This insight is the starting point for Rethinking Risk Measurement and Reporting, which identifies how uncertainty of risk figures can be better understood and expressed and how expert judgement can be absorbed into the fabric of modern risk management.
Edited by Klaus Böcker and published in two volumes, Rethinking Risk Measurement and Reporting, will raise the reader’s awareness of model and parameter uncertainty when using mathematical models in financial risk management.
This second volume is divided into three sections and discusses a broad spectrum of financial applications, with practical examples, by risk type. Volume II builds on the foundations of the first volume, providing a higher degree and intensity of technical content. Tools and techniques are divided by their application for:
- Market Risk
- Credit Risk
- Operational Risk
Klaus Böcker has assembled leading practitioners and academics within risk management fraternity to provide a comprehensive and integrated approach for improving existing risk measurement, management and reporting.
Availability:
In stock
ISBN
9781906348502
Overview
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting (volumes 1 and 2) speaks to these needs, providing the techniques and tools for a more effective risk management framework.
“...This book brings together the best researchers into how these deep ideas can benefit financial risk management.”
David Spiegelhalter, Winton Professor of the Public Understanding of Risk, University of Cambridge
| ISBN | 9781906348502 |
|---|---|
| Navision code | MRR2 |
| Publication date | 8 Nov 2010 |
| Size | 155mm x 235mm |
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PART I MARKET RISK AND FINANCIAL TIME SERIES
1 Efficient Bayesian Estimation and Combination of Garch-Type Models
David Ardia; Lennart F. Hoogerheide
aeris CAPITALAG Switzerland; Erasmus University Rotterdam
2 Bayesian Inference for Stochastic Volatility Modelling
Hedibert F. Lopes, Nicholas G. Polson
The University of Chicago Booth School of Business
3 Bayesian Prediction of Risk Measurements Using Copulas
Maria Concepcion Ausin; Hedibert Freitas Lopes
Universidad Carlos III de Madrid; University of Chicago Booth School of Business
4 Bayesian Inference for Hedge Funds with Stable Distribution of Returns
Biliana Güner; Svetlozar T. Rachev; Daniel Edelman; Frank J. Fabozzi
Yeditepe University; FinAnalytica; UBS Alternative and Quantitative Investments LLC; Yale School of Management
5 Model Uncertainty and Its Impact on Derivative Pricing
Alok Gupta, Christoph Reisinger, Alan Whitley
University of Oxford
PART II CREDIT RISK
6 Predictions Based on Certain Uncertainties: A Bayesian Credit Portfolio Approach
Christoff Gössl
UniCredit
7 Uncertainty in Credit Risk Parameters and Its Implication on Risk Figures
Christina R. Bender; Ludger Overbeck
d-fine GmbH; University of Giessen
8 Lessons from the Crisis in Mortgage-Backed Structured Securities: Where Did Credit Ratings Go Wrong?
Erik Heitfield
Federal Reserve Board
9 Rethinking Credit Risk Modelling
Christian Bluhm; Christoph Wagner
Technische Universität München; Allianz Risk Transfer
10 The Bayesian Approach to Default Risk: A Guide
Michael Jacobs Jr; Nicholas M. Kiefer
US Department of the Treasury, Office of the Comptroller of the Currency; Cornell University
11 Bayesian Modelling of Small and Medium-Sized Companies’ Defaults
Mathilde Wilhelmsen, Xeni K. Dimakos; Tore Anders Husebø, Marit Fiskaaen
Norwegian Computing Center; Centre of Excellence Credit Risk Modelling, Sparebank 1
PART III OPERATIONAL RISK
12 Measuring Operational Risk in a Bayesian Framework
Luciana Dalla Valle
University of Milan
13 Operational Risk: Combining Internal Data, External Data and Expert Opinions
Pavel V. Shevchenko; Mario V. Wüthrich
CSIRO Mathematics, Informatics and Statistics; RiskLab ETH Zurich
14 Bayesian Estimation of Lévy Copulas for Multivariate Operational Risks
Philipp Gebhard, Gernot Müller; Klaus Böcker
Technische Universität München; UniCredit Group