Internal Modelling and CAD II

Financial Risk Management

Internal Modelling and CAD II

Risk Books May 1999

Specifications

ISBN-13
9781899332298
Publisher
Risk Books
Publication
May 1999
Format
Paperback
Jurisdiction
International ? Countri(es) for reference only

Details

A report on the latest developments that aims to aid executive decision-making for both financial institutions and regulators.

  • 15+ expert practitioners and academics assess various aspects of risk management in the context of the Basel 1996 amendment and the European CAD II documentation
  • Includes an overview from the BBA, perspectives on VAR and worst case scenario risk, extreme value, internal modelling and gaining model recognition


Table of Contents

Preface

Internal Modelling and CAD II: An Overview

Richard Quinn

Value-at-Risk Models for Linear Exposures: An Empirical Comparison

Patricia Jackson, David J. Maude, and William Perraudin

Testing Backtesting

André Lucas

Calculating Value-at-Risk with Monte Carlo Simulation

Evan Picoult

Predictive Ability of Different Volatility Forecasting Techniques

Ashok P. Varikooty, John Liu, and Harry Huang

The Best of Both Worlds

Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw

Expect the Worst

Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw

Extreme Value Theory for Risk Managers

Alexander J. McNeil

Modelling Credit Risk Internally

Michael K. Ong

CAD II Model Recognition

Peter Stockwell

Out of stock
This title is currently unavailable for purchase.
  • Free HK shipping over HK$1,000
  • International shipping to 35+ countries
Save

Recommended

You may also be interested in these books:

More titles from Financial Risk Management

View all
Longevity Risk
Risk Books

Longevity Risk

Emma McWilliam
HKD 2,247.50
Risk Management and Financial Institutions, 6th Edition
John Wiley & Sons

Risk Management and Financial Institutions, 6th Edition

John C. Hull
HKD 1,350.00
Measuring Corporate Default Risk
Oxford University Press

Measuring Corporate Default Risk

Darrell Duffie
HKD 706.16
Operational Risk Modelling and Analysis
Risk Books

Operational Risk Modelling and Analysis

Marcelo Cruz
HKD 1,534.50
Volatility as an Asset Class
Risk Books

Volatility as an Asset Class

Israel Nelken
HKD 1,534.50
The CME Group Risk Management Handbook
John Wiley & Sons

The CME Group Risk Management Handbook

CME Group; John W. Labuszewski; John E. Nyhoff; Richard Co; Paul E. Peterson; Leo Melamed
HKD 950.00