Synopsis
Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks. This study comprises three essays on risk management. In the first essay “Stress Testing for Two-stage Transmission Stress Events”, we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. In the second essay “Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach”, we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). In the third essay “A Poisson Model with Common Shocks for CDO Valuation”, we show that the implementation of CDO valuation models assuming conditional dependence can be made more efficient.
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Studies on Risk Management
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks. This study comprises three essays on risk management. In the first essay ¿Stress Testing for Two-stage Transmission Stress Events¿, we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. In the second essay ¿Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach¿, we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). In the third essay ¿A Poisson Model with Common Shocks for CDO Valuation¿, we show that the implementation of CDO valuation models assuming conditional dependence can be made more efficient. 96 pp. Englisch. N° de réf. du vendeur 9783330821446
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Studies on Risk Management
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Paperback. Etat : Brand New. 96 pages. 8.66x5.91x0.22 inches. In Stock. N° de réf. du vendeur 3330821442
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Kartoniert / Broschiert. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Über den AutorrnrnChih-Wei Lee received his M.S. degrees from NCTU, Taiwan, and Ph.D. degree from NTU, Taiwan. Now he is present Associate Professor, National Taipei University of Business, Taipei. His research interests include Internation. N° de réf. du vendeur 510201217
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Studies on Risk Management
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks. This study comprises three essays on risk management. In the first essay 'Stress Testing for Two-stage Transmission Stress Events', we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. In the second essay 'Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach', we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). In the third essay 'A Poisson Model with Common Shocks for CDO Valuation', we show that the implementation of CDO valuation models assuming conditional dependence can be made more efficient.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 96 pp. Englisch. N° de réf. du vendeur 9783330821446
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks. This study comprises three essays on risk management. In the first essay ¿Stress Testing for Two-stage Transmission Stress Events¿, we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. In the second essay ¿Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach¿, we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). In the third essay ¿A Poisson Model with Common Shocks for CDO Valuation¿, we show that the implementation of CDO valuation models assuming conditional dependence can be made more efficient. N° de réf. du vendeur 9783330821446
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Studies on Risk Management
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Taschenbuch. Etat : Neu. Studies on Risk Management | Chih-Wei Lee | Taschenbuch | Englisch | 2017 | ¿¿¿¿¿¿¿ | EAN 9783330821446 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. N° de réf. du vendeur 120576159
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