The Handbook of Risk Management and Analysis - Couverture rigide

Alexander, Carol

Couverture rigide

ISBN 10 : 0471953091 ISBN 13 : 9780471953098

Editeur : John Wiley & Sons Ltd, 1996

Synopsis

This handbook explores the application of mathematics to financial analysis and financial forecasting. It offers an introduction to the latest research on risk analysis and risk management strategies. Each chapter contains an introduction to the topic, followed by a technical exposition of the main ideas which are at the forefront of current research. The book is clearly illustrated with references and practical examples using data on financial markets.

A propos du livre

Quatrième de couverture

Risk Management and Analysis Volume 2 New Markets and Products Edited by Carol Alexander In the two years since the publication of The Handbook of Risk Management and Analysis interest and the practice of management, modelling and control of financial risks has grown enormously. The author/editor has produced two stand–alone or companion volumes. Only one third of the original material remains. New Markets and Products begins with two chapters on emerging markets. The book then goes on to cover markets and products of increasing complexity: standard equity and interest rate derivatives, exotic options, swaps (and swaptions), volatility trading and finally credit derivatives. The contributors are all acknowledged experts in their field: Michael Howell, Mark Fox, Ian King, Chris Rogers, Andrew Street, Riccardo Rebonato, Edmond Levy, Bryan Thomas, Vincent Lacoste, Desmond Fitzgerald and Blythe Masters. New Markets and Products will be an essential reference tool for risk managers, institutional investors, fund managers, bankers, corporate treasurers and financial consultants. "In this volume Carol Alexander has gathered together ten articles that are concerned with important recent developments in financial markets. Two of the articles are concerned with emerging markets. They explore the reasons for their growth and the nature of the investment opportunities available. The remaining eight articles are concerned with derivatives. There are chapters on equity derivatives, interest rate derivatives, exotic options, volatility trading, and credit derivatives. The final chapter on credit derivatives is particularly timely. This market is in the process of transforming the way banks manage credit risk. I have seen no other discussion of the market as comprehensive and useful as that provided by Blythe Masters. Market participants and students alike will find much useful and thought–provoking information in this volume." John Hull, August 1998

Biographie de l'auteur

Carol Alexander obtained her PhD in Algebraic Number Theory, then worked at the Gemente Universiteit in Amsterdam and at UBS Phillips and Drew in London before joining the Mathematics Faculty of the University of Sussex in 1985. She holds a BSc in Mathematics with Experimental Psychology and an MSc in Econometrics and Mathematical Economics from the London School of Economics. Since 1990 Dr Alexander has been consulting, training, speaking at conferences, writing books and articles, and developing software in the areas of risk management and investment analysis. In 1996 she became the academic director of Algorithmics Inc (part–time) and in 1998 she eventually left the academic world to join Nikko Global Holdings as Director and Head of Market Risk Modelling. However, she retains a visiting fellowship at the University of Sussex. She has developed a number of computer programs and software packages for Risk and Investment analysis based on time series techniques. One of these was the winner of the first International Non–Linear Financial Forecasting Competition in 1997. Another used the concept of cointegration to build long–term index tracking tools for fund management, and long–short strategies for portfolio hedging. A third software module is based on her original research, using orthogonal factors to produce large GARCH covariance matrices for factor models.

Détails de l'édition

• Éditeur: John Wiley & Sons Ltd
• Date d'édition: 1996
• Langue: anglais
• ISBN 10: 0471953091
• ISBN 13: 9780471953098
• Reliure: Relié
• Nombre de pages: 352
• Coordonnées du fabricant: Wiley VCH Verlag GmbH; info@wiley-vch.de; ; Boschstraße 12; Weinheim; Baden-Württemberg; 69469; Allemagne