Understanding Risk The Theory and Practice of Financial Risk Management Chapman and Hall/CRC Financial Mathematics Series
Auteur : Murphy David
Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a more informal style, giving readers a blend of analysis and intuition.
Divided into four parts, the book begins by introducing the basics of risk management and the behavior of financial instruments. The next section focuses on regulatory capital standards and models, addressing value-at-risk (VaR) models, portfolio credit risk, tranching, operational risk, and the Basel accords. The author then deals with asset/liability management (ALM) and liquidity management. The last part explores structured finance and a variety of new trading instruments, including inflation-linked products, sophisticated equity basket options, and convertible bonds.
With numerous exercises, figures, and examples throughout, this book offers valuable insight on various aspects of financial risk management.
Date de parution : 08-2017
17.8x25.4 cm
Date de parution : 05-2008
Ouvrage de 460 p.
17.8x25.4 cm
Thèmes d’Understanding Risk :
Mots-clés :
Cash Ows; Credit Spread; credit; Credit Derivatives; financial; Con Dence Interval; management; OTC Derivative; spread; Risk Management; con; Ab Ilit; dence; Credit Event; interval; Collateral Pool; cash; Operational Risk; ows; Swap Spread; total; IRB Approach; Var Model; Credit Risk; Di Cult; Pr Ic; Senior Tranches; Cash Ow; Operational Risk Management; FX Rate; Regulatory Capital Requirements; Basel II; Operational Risk Loss; Black Scholes PDE; Market Risk