Beyond value at risk : the new science of risk management
Titre:
Beyond value at risk : the new science of risk management
ISBN (Numéro international normalisé des livres):
9780471976219
9780471976226
Auteur personnel:
PRODUCTION_INFO:
Chichester ; New York : Wiley, c1998.
Description physique:
xi, 274 p. : ill. ; 25 cm.
Collections:
Wiley froniters in finance
Titre de la série:
Wiley froniters in finance
Table des matières:
Introduction to VaR: The risk management revolution -- VaR basics -- Different approaches to measuring VaR: The variance-covariance approach -- The historical simulation approach -- Monte Carlo simulation and related approaches -- Stress testing -- Risk management: Risk-adjusting returns and evaluating performance -- Decision making -- Credit risk -- Liquidity, operational and legal risks -- Allocating capital -- Firm-wide risk management -- Glossary of main terms -- Bibliography -- Indexes.
Langue:
Anglais