Risk Measures for the 21st Century

Business & Economics / By /
Risk Measures for the 21st Century

Author: Giorgio Szegö

Publisher: Wiley

ISBN: 0470861541

Category: Business & Economics

Page: 512

View: 560

The last five years have witnessed a great momentum in the research into measures of financial risk. After many years of ad-hoc and non-consistent measures, now the problem is finally well formulated and some useful and very user-friendly solutions have been proposed. These new measures of risk should be of great interest for investors, financial institutions as well as for regulators. Under the editorship of Professor Giorgio Szego of the University of Rome "La Sapienza", this book is a collection of the revised and updated papers from prestigious international specialists who are leaders in their field, amongst whom is Robert Engle, a newly-announced Nobel prize-winner in finance. These authors bring a broad perspective across a wide selection of topics, ranging from the critique of some currently used methods, like Value at Risk, to the presentation of some correct risk measures and of some advanced application The book provides a detailed and up-to-date reference for researchers within academia, and risk managers or financial engineers.

Systemic Risk: History, Measurement And Regulation

Business & Economics / By /
Systemic Risk: History, Measurement And Regulation

Author: Kreis Yvonne

Publisher: World Scientific

ISBN: 9789811201073

Category: Business & Economics

Page: 196

View: 123

Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.

RISK21 - Coping with Risks due to Natural Hazards in the 21st Century

Technology & Engineering / By /
RISK21 - Coping with Risks due to Natural Hazards in the 21st Century

Author: Walter J. Ammann

Publisher: CRC Press

ISBN: 9780203963562

Category: Technology & Engineering

Page: 266

View: 869

Over the last two decades, there has been an increase in the number of natural hazards which have culminated in catastrophic consequences, severely impacting on people and livelihoods. In response to this escalation, the Swiss Natural Hazards Competence Centre (CENAT) organized a workshop entitled "RISK21" at the Centro Stefano Franscini, Mon

Using 21st Century Science to Improve Risk-Related Evaluations

Nature / By /
Using 21st Century Science to Improve Risk-Related Evaluations

Author: National Academies of Sciences, Engineering, and Medicine

Publisher: National Academies Press

ISBN: 9780309453516

Category: Nature

Page: 200

View: 222

Over the last decade, several large-scale United States and international programs have been initiated to incorporate advances in molecular and cellular biology, -omics technologies, analytical methods, bioinformatics, and computational tools and methods into the field of toxicology. Similar efforts are being pursued in the field of exposure science with the goals of obtaining more accurate and complete exposure data on individuals and populations for thousands of chemicals over the lifespan; predicting exposures from use data and chemical-property information; and translating exposures between test systems and humans. Using 21st Century Science to Improve Risk-Related Evaluations makes recommendations for integrating new scientific approaches into risk-based evaluations. This study considers the scientific advances that have occurred following the publication of the NRC reports Toxicity Testing in the 21st Century: A Vision and a Strategy and Exposure Science in the 21st Century: A Vision and a Strategy. Given the various ongoing lines of investigation and new data streams that have emerged, this publication proposes how best to integrate and use the emerging results in evaluating chemical risk. Using 21st Century Science to Improve Risk-Related Evaluations considers whether a new paradigm is needed for data validation, how to integrate the divergent data streams, how uncertainty might need to be characterized, and how best to communicate the new approaches so that they are understandable to various stakeholders.

Portfolio Optimization and Performance Analysis

Mathematics / By /
Portfolio Optimization and Performance Analysis

Author: Jean-Luc Prigent

Publisher: CRC Press

ISBN: 142001093X

Category: Mathematics

Page: 456

View: 638

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization. Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds. Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.

Market Risk Analysis, Value at Risk Models

Business & Economics / By /
Market Risk Analysis, Value at Risk Models

Author: Carol Alexander

Publisher: John Wiley & Sons

ISBN: 9780470745076

Category: Business & Economics

Page: 492

View: 278

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Capital Markets, Fifth Edition

Business & Economics / By /
Capital Markets, Fifth Edition

Author: Frank J. Fabozzi

Publisher: MIT Press

ISBN: 9780262331593

Category: Business & Economics

Page: 1088

View: 810

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.

Risk Measurement

Business & Economics / By /
Risk Measurement

Author: Dominique Guégan

Publisher: Springer

ISBN: 9783030026806

Category: Business & Economics

Page: 215

View: 653

This book combines theory and practice to analyze risk measurement from different points of view. The limitations of a model depend on the framework on which it has been built as well as specific assumptions, and risk managers need to be aware of these when assessing risks. The authors investigate the impact of these limitations, propose an alternative way of thinking that challenges traditional assumptions, and also provide novel solutions. Starting with the traditional Value at Risk (VaR) model and its limitations, the book discusses concepts like the expected shortfall, the spectral measure, the use of the spectrum, and the distortion risk measures from both a univariate and a multivariate perspective.

Robust Portfolio Optimization and Management

Business & Economics / By /
Robust Portfolio Optimization and Management

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9780470164891

Category: Business & Economics

Page: 512

View: 140

Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Investment Risk Management

Business & Economics / By /
Investment Risk Management

Author: H. Kent Baker

Publisher: Oxford University Press

ISBN: 9780190214081

Category: Business & Economics

Page: 736

View: 812

All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions, and many others encounter and must deal with risk. Risk management is a process of determining what risks exist in an investment and then handling those risks in the best-suited way. This is important because it can reduce or augment risk depending on the goals of investors and portfolio managers. The main purpose of Investment Risk Management is to provide an overview of developments in risk management and a synthesis of research involving these developments. The book examines ways to alter exposures through measuring and managing those exposures and provides an understanding of the latest strategies and trends within risk management. The scope of the coverage is broad and encompasses the most important aspects of investment risk management. Its 30 chapters are organized into six sections: (1) foundations of risk management, (2) types of risk, (3) quantitative assessment of risk, (4) risk and risk classes, (5) hedging risk and (6) going forward. The book should be of particular interest to sophisticated practitioners, investors, academics, and graduate finance students. Investment Risk Management provides a fresh look at this intriguing but complex subject.

Advanced Mathematical Methods for Finance

Mathematics / By /
Advanced Mathematical Methods for Finance

Author: Julia Di Nunno

Publisher: Springer Science & Business Media

ISBN: 9783642184123

Category: Mathematics

Page: 536

View: 589

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

The Prospect for Reservoirs in the 21st Century

Technology & Engineering / By /
The Prospect for Reservoirs in the 21st Century

Author: British Dam Society. Conference

Publisher: Thomas Telford

ISBN: 0727727044

Category: Technology & Engineering

Page: 424

View: 941

This book contains the proceedings of the tenth biennial conference of the British Dam Society, held at the University of Wales in Bangor in 1998. Included are papers charting key issues on the future of dam engineering into the next century by eminent figures in the field of water engineering. Issues that are tackled include the use of risk analysis in the safety management and maintenance of dams, flood control and the management, performance and rehabilitation of ageing dams.