عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9780470481806
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
لاتين
TITLE AND STATEMENT OF RESPONSIBILITY
First Statement of Responsibility
Allan M. Malz
Title Proper
Financial risk management
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Hoboken, N.J.
Name of Publisher, Distributor, etc.
Wiley,
Date of Publication, Distribution, etc.
2011
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
xxiii, 722 p.
SERIES
Series Title
Wiley finance series
NOTES PERTAINING TO BINDING AND AVAILABILITY
Text of Note
مرجع به حساب نمي آيد
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references (p. 671-699) and index.
CONTENTS NOTE
Text of Note
Machine generated contents note: Preface. -- 1 Financial risk in a crisis-prone world. -- 1.1 Some history: why is risk a separate discipline today? -- 1.2 The scope of financial risk. -- 2 Market risk basics. -- 2.1 Arithmetic, geometric, and logarithmic security returns. -- 2.2 Risk and securities prices: the standard asset pricing model. -- 2.3 The standard asset distribution model. -- 2.4 Portfolio risk in the standard model. -- 2.5 Benchmark interest rates. -- 3 Value-at-Risk. -- 3.1 Definition of value-at-risk. -- 3.2 Volatility estimation. -- 3.3 Modes of computation. -- 3.4 Short positions. -- 3.5 Expected shortfall. -- 4 Nonlinear risks and the treatment of bonds and options. -- 4.1 Nonlinear risk measurement and options. -- 4.2 Yield curve risk. -- 4.3 Fixed-income VaR using duration and convexity. -- 5 Portfolio VaR for market risk. -- 5.1 The covariance and correlation matrices. -- 5.2 Mapping and treatment of bonds and options. -- 5.3 Delta-normal VaR. -- 5.4 Portfolio VaR viaMonte Carlo simulation. -- 5.5 Option vega risk. -- 6 Credit and counterparty risk. -- 6.1 Defining credit risk. -- 6.2 Credit risky securities. -- 6.3 Transaction cost problems in credit contracts. -- 6.4 Default and recovery: analytic concepts. -- 6.5 Assessing creditworthiness. -- 6.6 Counterparty risk. -- 6.7 TheMerton model. -- 6.8 Credit factor models. -- 6.9 Credit risk measures. -- 7 Spread risk and default intensity models. -- 7.1 Credit spreads. -- 7.2 Default curve analytics. -- 7
OTHER VARIANT TITLES
Variant Title
models, history, and institutions
TOPICAL NAME USED AS SUBJECT
Entry Element
Financial risk management
OTHER CLASS NUMBERS
Class number
332
,
M262f
PERSONAL NAME - PRIMARY RESPONSIBILITY
Entry Element
مولف
Relator Code
Malz, Allan M.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Entry Element
Malz, Allan M.
