N.-Y.: Risk Books, 2011. - 124p.Senior management are expected to make crucial business decisions using complex risk models that, without specialized quantitative financial knowledge, can lead to ill judged choices. The recent controversial discussions concerning the use of risk models during the financial crisis, and the new regulatory framework, have highlighted the need for a consistent approach to answer the question What are risk models made for? and maybe even more importantly What are risk models NOT made for? . The report aims to explain: What risk model validation is; What risk models exist; How a risk model can fail; Which aspects of reality are included, and which aspects are excluded from a risk model; and How business decisions can be based on a risk models output. In addressing these issues, this report provides practical advice to the management of financial institutions and a toolbox to raise the key questions when it comes to integrating the results of quantitative models into business decisions.
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Prmia Publications – 2005, 1301 pages
ISBN: 0976609703, 9780976609704
As its title implies, this book is the Handbook for the Professional Risk Manager. It is for those professionals who seek to demonstrate their skills in the field of financial risk management and for those looking simply for an excellent reference source. With contributions from nearly 40 leading authors,...
John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
Academic Press, 2008. – 216 p. – ISBN: 9780750681582
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory...
Wiley – 2011, 448 pages
A guide to the validation and risk management of quantitative models used for pricing and hedging
Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature the risks of the models themselves. This book starts...
Palgrave Macmillan, 2016. — 242 p.
The practice of quantitative risk management has reached unprecedented levels of refinement. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on advanced computer systems, developed and operated by...