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Market and Credit Risk Management
Conditional value-at-risk (CVaR)
Tartalomjegyzék
- Market and Credit Risk Management
- Copyright Page
- Preface
- Introduction
- The concept of risk
- Types of financial risk
- The need for risk management
- Risk measures
- Value-At-Risk (VaR) and its estimation
- Coherent risk measures
- Conditional value-at-risk (CVaR)
- Expected shortfall (ES) and the Basel framework
- Measuring credit risk
- Copulas as general dependency measures
- Managing market risk
- Managing credit risk with credit derivatives
- References
Kiadó: Akadémiai Kiadó
Online megjelenés éve: 2023
ISBN: 978 963 454 857 7
International credit crunch, Mexican peso crisis, Asian crisis, sub-prime mortgage crisis... It is enough to think back to the financial crises of the last few decades to see why risk management is essential in the economy. This book will introduce the reader to the basics of financial risk management and the tools for managing market and credit risk. However, the book is not only for those who are starting to be familiar with risk management. Its middle section, where the author describes the various risk indicators and measures, should also provide interesting information for professionals. Particularly commendable that Gyöngyi Bugár guiding us with thematically structured practical examples through this dynamically evolving field. Bálint Zsoldos - Credit risk analyst of an international investment bank
Hivatkozás: https://mersz.hu/bugar-market-and-credit-risk-management//
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