Risk Management: Value at Risk and Beyond

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Risk Management: Value at Risk and Beyond
By M. A. H. Dempster


Publisher:   Cambridge University Press
Number Of Pages:   450
Publication Date:   2001-12-15
ISBN-10 / ASIN:   0521781809

CONTENTS
Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .vii
Introduction
M.A.H. Dempster . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
1. Quantifying the Risks of Trading
Evan Picoult . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2. Value at Risk Analysis of a Leveraged Swap
Sanjay Srivastava . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3. Stress Testing in a Value at Risk Framework
Paul H. Kupiec . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .76
4. Dynamic Portfolio Replication Using Stochastic Programming
M.A.H. Dempster and G.W.P. Thompson . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
5. Credit and Interest Rate Risk
R. Kiesel, W. Perraudin and A.P. Taylor . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
6. Coherent Measures of Risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath . . 145
7. Correlation and Dependence in Risk Management: Properties and Pitfalls
Paul Embrechts, Alexander J. McNeil and Daniel Straumann . . . . . . . . . 176
8. Measuring Risk with Extreme Value Theory
Richard L. Smith . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .224
9. Extremes in Operational Risk Management
E.A. Medova and M.N. Kyriacou . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247

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