The first in-depth analysis ofinherent deficiencies in present practices "A book like this helps reduce the chance of a future breakdown in risk management." Professor Campbell R. Harvey, the Fuqua School of Business, Duke University "A very timely and extremely useful guide to the subtle and often difficultissues involved in model risk--a subject which is only now gaining theprominence it should always have had." Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham "This book ...
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The first in-depth analysis ofinherent deficiencies in present practices "A book like this helps reduce the chance of a future breakdown in risk management." Professor Campbell R. Harvey, the Fuqua School of Business, Duke University "A very timely and extremely useful guide to the subtle and often difficultissues involved in model risk--a subject which is only now gaining theprominence it should always have had." Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham "This book collects authoritative papers on a timely and important topic . . .and should lead to many new insights." Professor Philip Hans Franses, Erasmus School of Economics, Erasmus University "Inadequate valuation and risk management models have played their part intriggering the recent economic turmoil felt around the world. This timely book, written by experts in the field of model risk, will surely help risk managers andfinancial engineers measure and manage risk effectively." Dr. Fabrice Douglas Rouah, Vice President, State Street Corporation "This invaluable handbook has been edited by experts . . . and should prove to beof great value to investment finance and credit risk modelers in a wide range ofdisciplines related to portfolio risk, risk modeling in finance, international moneyand finance, country risk, and macroeconomics." Professor Michael McAleer, Erasmus School of Economics, Erasmus University About the Book: If we have learned anything from the globalfinancial collapse of 2008, it is this: themathematical risk models currently used byfinancial institutions are no longer adequatequantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook , an international team of 48 experts evaluatesthe problematic risk-modeling methodsused by large financial institutions and breaksdown how these models contributed to thedecline of the global capital markets. Theirconclusions enable you to identify the shortcomingsof the most widely used risk modelsand create sophisticated strategies for properlyimplementing these models into your investingportfolio. Chapters include: Model Risk: Lessons from Past Catastrophes(Scott Mixon) Effect of Benchmark Misspecification on RiskadjustedPerformance Measures (Laurent Bodsonand George H???bner) Carry Trade Strategies and the Information Content ofCredit Default Swaps (Raphael W. Lam andMarco Rossi) Concepts to Validate Valuation Models(Peter Whitehead) Beyond VaR: Expected Shortfall and Other CoherentRisk Measures (Andreas Krause) Model Risk in Credit Portfolio Modeling(Matthias Gehrke and Jeffrey Heidemann) Asset Allocation under Model Risk (Pauline M. Barrieuand Sandrine Tobolem) This dream team of the masters of riskmodeling provides expansive explanations ofthe types of model risk that appear in riskmeasurement, risk management, and pricing, as well as market-tested techniques formitigating risk in loan, equity, and derivativeportfolios. The Risk Modeling Evaluation Handbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk.
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Add this copy of The Risk Modeling Evaluation Handbook: Rethinking to cart. $13.57, good condition, Sold by ThriftBooks-Reno rated 4.0 out of 5 stars, ships from Reno, NV, UNITED STATES, published 2010 by McGraw-Hill Companies.
Add this copy of The Risk Modeling Evaluation Handbook: Rethinking to cart. $13.58, good condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 2010 by McGraw Hill.
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Add this copy of The Risk Modeling Evaluation Handbook: Rethinking to cart. $175.76, new condition, Sold by Revaluation Books rated 4.0 out of 5 stars, ships from Exeter, DEVON, UNITED KINGDOM, published 2010 by McGraw-Hill.
