Quantitative Risk Management
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Quantitative Risk Management
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Author : Alexander J. McNeil
language : en
Publisher: Princeton University Press
Release Date : 2015-05-26
Quantitative Risk Management written by Alexander J. McNeil 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 2015-05-26 with Business & Economics categories.
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Quantitative Risk Management
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Author : Rudiger Frey
language : en
Publisher:
Release Date : 2010
Quantitative Risk Management written by Rudiger Frey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Innovations In Quantitative Risk Management
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2015-01-09
Innovations In Quantitative Risk Management written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-09 with Mathematics categories.
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
Quantitative Risk Management Website
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Author : Thomas S. Coleman
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-08
Quantitative Risk Management Website written by Thomas S. Coleman 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 2012-05-08 with Business & Economics categories.
State of the art risk management techniques and practices—supplemented with interactive analytics All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics Explains why tactical and strategic decisions must be made at every level of the firm and portfolio Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.
Encyclopedia Of Quantitative Risk Analysis And Assessment
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Author :
language : en
Publisher: John Wiley & Sons
Release Date : 2008-09-02
Encyclopedia Of Quantitative Risk Analysis And Assessment written by 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 2008-09-02 with Mathematics categories.
Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Readings In Certified Quantitative Risk Management Cqrm
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Author : Johnathan Mun
language : en
Publisher:
Release Date : 2015
Readings In Certified Quantitative Risk Management Cqrm written by Johnathan Mun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Quantitative Risk Assessment
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Author : Terje Aven
language : en
Publisher: Cambridge University Press
Release Date : 2011-03-03
Quantitative Risk Assessment written by Terje Aven and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-03 with Mathematics categories.
Quantitative risk assessments cannot eliminate risk, nor can they resolve trade-offs. They can, however, guide principled risk management and reduction - if the quality of assessment is high and decision makers understand how to use it. This book builds a unifying scientific framework for discussing and evaluating the quality of risk assessments and whether they are fit for purpose. Uncertainty is a central topic. In practice, uncertainties about inputs are rarely reflected in assessments, with the result that many safety measures are considered unjustified. Other topics include the meaning of a probability, the use of probability models, the use of Bayesian ideas and techniques, and the use of risk assessment in a practical decision-making context. Written for professionals, as well as graduate students and researchers, the book assumes basic probability, statistics and risk assessment methods. Examples make concepts concrete, and three extended case studies show the scientific framework in action.
Quantitative Financial Risk Management
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Author : Michael B. Miller
language : en
Publisher: John Wiley & Sons
Release Date : 2018-11-13
Quantitative Financial Risk Management written by Michael B. Miller 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 2018-11-13 with Business & Economics categories.
A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more
Risk Analysis
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Author : David Vose
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-28
Risk Analysis written by David Vose 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 2008-04-28 with Business & Economics categories.
Risk Analysis concerns itself with the quantification of risk, the modeling of identified risks and how to make decisions from those models. Quantitative risk analysis (QRA) using Monte Carlo simulation offers a powerful and precise method for dealing with the uncertainty and variability of a problem. By providing the building blocks the author guides the reader through the necessary steps to produce an accurate risk analysis model and offers general and specific techniques to cope with most modeling problems. A wide range of solved problems is used to illustrate these techniques and how they can be used together to solve otherwise complex problems.
Certified Quantitative Risk Management
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Author : Johnathan Mun
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2015-07-18
Certified Quantitative Risk Management written by Johnathan Mun and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-18 with categories.
Lecture Slides for CQRM 2015