Risk management: Value at risk and beyond (Q2771732)

This book is based on a workshop held in 1998 at the University of Cambridge. It is a mix of theory and practice mostly at a graduate level. The first, lengthy chapter from Evan Picoult (Citicorp) discusses techniques for valuation risk, market risk and counterparty risk within a practical context. Chapters 2--5 deal with several features of the VAR measure: empirical analysis (e.g. swap between Bankers Trust and P\&G in 1993 (S. Srivastava)), stress test scenarios in addition to VAR (P. Kupiec), dynamic replication (M. Dempster, G. Thompson), integrated consideration of market and credit risks (R. Kiesel et al.). Chapters 6--9 go beyond the VAR analysis: axiomitization of risk measures (P. Artzner et al.)(145--175), an introduction to statistical dependencies when correlation analysis fails (P. Embrechts et al.)(176--223), extreme value theory (R. Smith), Bayesian hierarchical model, Bayesian techniques for operational risks (E. Medova, M. Kyriacou).