Rethinking Risk Measurement and Reporting Vol II
Rethinking Risk Measurement and Reporting Vol II
Klaus Böcker
Couldn't load pickup availability
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
Share
More information
About the Author
Table of contents
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