On The Validity Of Value At Risk
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On The Validity Of Value At Risk
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2001
On The Validity Of Value At Risk written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.
Exotic Derivatives And Risk
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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2009
Exotic Derivatives And Risk written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.
Financial Engineering E Commerce And Supply Chain
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Author : Panos M. Pardalos
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Financial Engineering E Commerce And Supply Chain written by Panos M. Pardalos and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Computers categories.
One of the fast growing elements of the Internet is electronic commerce, which refers to the use of electronic means to conduct business transactions within or across business entities. Nearly 80 percent of all Fortune 500 companies have been doing their core business through the Internet. Many issues, and societal implications of electronic commerce, are the subjects of recent research. A supply chain consists of all the entities and activities that enable the production, distribution, and delivery of products and services to consumers. Research in designing and managing supply chains has rapidly expanded during the last decade. In addition, increased and accessible computing power and modeling capabilities have spurred this growth, enabling researchers to simultaneously consider the many interrelated variables and decisions of a supply chain in a single tractable model.
Fooled By Randomness
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Author : Nassim Nicholas Taleb
language : en
Publisher: Penguin UK
Release Date : 2007-05-03
Fooled By Randomness written by Nassim Nicholas Taleb and has been published by Penguin UK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-03 with Business & Economics categories.
'One of the smartest books of all time' Fortune Everyone wants to succeed in life. But what causes some of us to be more successful than others? Is it really down to skill and strategy - or something altogether more unpredictable? This book is the word-of-mouth sensation that will change the way you think about business and the world. It is all about luck- more precisely, how we perceive luck in our personal and professional experiences. Nowhere is this more obvious than in the markets - we hear an entrepreneur has 'vision' or a trader is 'talented', but all too often their performance is down to chance rather than skill. It is only because we fail to understand probability that we continue to believe events are non-random, finding reasons where none exist. This irreverent bestseller has shattered the illusions of people around the world by teaching them how to recognize randomness. Now it can do the same for you. Nassim Nicholas Taleb is a radical and paradoxical philosopher for our times. He has spent his life immersing himself in problems of luck, uncertainty, probability, and knowledge, and he has led three high-profile careers around his ideas, as a man of letters, as a businessman-trader, and as a university professor and researcher. He is currently Distinguished Professor of Risk Engineering at New York University's Polytechnic Institute. His books Fooled by Randomness and The Black Swan have been published in thirty-three languages. Taleb refuses all awards and honours as they debase knowledge by turning it into competitive sports.
Risk A Multidisciplinary Introduction
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Author : Claudia Klüppelberg
language : en
Publisher: Springer
Release Date : 2014-06-10
Risk A Multidisciplinary Introduction written by Claudia Klüppelberg and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-10 with Mathematics categories.
This is a unique book addressing the integration of risk methodology from various fields. It will stimulate intellectual debate and communication across disciplines, promote better risk management practices and contribute to the development of risk management methodologies. Individual chapters explain fundamental risk models and measurement, and address risk and security issues from diverse areas such as finance and insurance, the health sciences, life sciences, engineering and information science. Integrated Risk Sciences is an emerging discipline that considers risks in different fields, aiming at a common language, and at sharing and improving methods developed in different fields. Readers should have a Bachelor degree and have taken at least one basic university course in statistics and probability. The main goal of the book is to provide basic knowledge on risk and security in a common language; the authors have taken particular care to ensure that all content can readily be understood by doctoral students and researchers across disciplines. Each chapter provides simple case studies and examples, open research questions and discussion points, and a selected bibliography inviting readers to further study.
Plight Of The Fortune Tellers
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Author : Riccardo Rebonato
language : en
Publisher: Princeton University Press
Release Date : 2007-09-17
Plight Of The Fortune Tellers written by Riccardo Rebonato and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-17 with Business & Economics categories.
Today's top financial-risk professionals have come to rely on ever-more sophisticated mathematics in their attempts to come to grips with financial risk. But this excessive reliance on quantitative precision is misleading--and it puts us all at risk. This is the case that Riccardo Rebonato makes in Plight of the Fortune Tellers--and coming from someone who is both an experienced market professional and an academic, this heresy is worth listening to. Rebonato forcefully argues that we must restore genuine decision making to our financial planning, and he shows us how to do it using probability, experimental psychology, and decision theory. This is the only way to effectively manage financial risk in a manner congruent with how human beings actually react to chance. Rebonato challenges us to rethink the standard wisdom about probability in financial-risk management. Risk managers have become obsessed with measuring risk and believe that these quantitative results by themselves can guide sound financial choices--but they can't. In this book, Rebonato offers a radical yet surprisingly commonsense solution, one that seeks to remind us that managing risk comes down to real people making decisions under uncertainty. Plight of the Fortune Tellers is not only a book for the decision makers of Wall Street, it's a must-read for anyone concerned about how today's financial markets are run. The stakes have never been higher--can you risk it?
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Risk Management
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Author : Satyajit Das
language : en
Publisher: John Wiley & Sons
Release Date : 2005-10-14
Risk Management written by Satyajit Das and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-14 with Business & Economics categories.
Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
Value At Risk 3rd Ed
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Author : Philippe Jorion
language : en
Publisher: McGraw Hill Professional
Release Date : 2006-11-09
Value At Risk 3rd Ed written by Philippe Jorion and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-09 with Business & Economics categories.
Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Kendall S Advanced Theory Of Statistics Distribution Theory
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Author : Maurice George Kendall
language : en
Publisher: Wiley-Interscience
Release Date : 1994-06-30
Kendall S Advanced Theory Of Statistics Distribution Theory written by Maurice George Kendall and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-06-30 with Business & Economics categories.
This major revision contains a largely new chapter 7 providing an extensive discussion of the bivariate and multivariate versions of the standard distributions and families. Chapter 16 has been enlarged to cover multivariate sampling theory, an updated version of material previously found inthe old Volume III. The previous chapters 7 and 8 have been condensed into a single chapter providing an introduction to statistical inference. Elsewhere, major updates include new material on skewness and kurtosis, hazard rate distributions, the bootstrap, the evaluation of the multivariate normalintegral and ratios of quadratic forms. The new edition includes over 200 new references, 40 new exercises and 20 further examples in the main text. In addition, all the text examples have been given titles, and these are listed at the front of the book for easier reference.