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Rethinking Risk Measurement and Reporting: Volume II - Examples and Applications from Finance - Product Image

Rethinking Risk Measurement and Reporting: Volume II - Examples and Applications from Finance

  • ID: 1481577
  • November 2010
  • 463 Pages
  • Incisive Media

The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting 2 speaks to these needs, providing the techniques and tools for a more effective risk management framework.

Model uncertainty must be accepted as an intrinsic part of risk measurement. This insight is the starting point for Rethinking Risk Measurement and Reporting, which identifies how uncertainty of risk figures can be better understood and expressed and how expert judgement can be absorbed into the fabric of modern risk management.

Edited by Klaus Böcker and published in two volumes, Rethinking Risk Measurement and Reporting, will raise the reader’s awareness of model and parameter uncertainty when using mathematical models in financial risk management.

This second volume is divided into three sections and discusses a broad spectrum of financial applications, with practical examples, by risk type. Volume II builds on the foundations READ MORE >

About the Editor

About the Authors

Introduction

PART I MARKET RISK AND FINANCIAL TIME SERIES

1 Efficient Bayesian Estimation and Combination of Garch-Type Models
David Ardia; Lennart F. Hoogerheide
aeris CAPITALAG Switzerland; Erasmus University Rotterdam

2 Bayesian Inference for Stochastic Volatility Modelling
Hedibert F. Lopes, Nicholas G. Polson
The University of Chicago Booth School of Business

3 Bayesian Prediction of Risk Measurements Using Copulas
Maria Concepcion Ausin; Hedibert Freitas Lopes
Universidad Carlos III de Madrid; University of Chicago Booth School of Business

4 Bayesian Inference for Hedge Funds with Stable Distribution of Returns
Biliana Güner; Svetlozar T. Rachev; Daniel Edelman; Frank J. Fabozzi
Yeditepe University; FinAnalytica; UBS Alternative and Quantitative Investments LLC; Yale School of Management

5 Model Uncertainty and Its Impact on Derivative Pricing
Alok Gupta, Christoph Reisinger, Alan Whitley
University of Oxford

PART II CREDIT RISK

6 Predictions Based on Certain Uncertainties: A Bayesian Credit Portfolio Approach
Christoff Gössl
UniCredit

7 Uncertainty in Credit Risk Parameters and Its Implication on Risk Figures
Christina R. Bender; Ludger Overbeck
d-fine GmbH; University of Giessen

8 Lessons from the Crisis in Mortgage-Backed Structured Securities: Where Did Credit Ratings Go Wrong?
Erik Heitfield
Federal Reserve Board

9 Rethinking Credit Risk Modelling
Christian Bluhm; Christoph Wagner
Technische Universität München; Allianz Risk Transfer

10 The Bayesian Approach to Default Risk: A Guide
Michael Jacobs Jr; Nicholas M. Kiefer
US Department of the Treasury, Office of the Comptroller of the Currency; Cornell University

11 Bayesian Modelling of Small and Medium-Sized Companies’ Defaults
Mathilde Wilhelmsen, Xeni K. Dimakos; Tore Anders Husebø, Marit Fiskaaen
Norwegian Computing Center; Centre of Excellence Credit Risk Modelling, Sparebank 1

PART III OPERATIONAL RISK

12 Measuring Operational Risk in a Bayesian Framework
Luciana Dalla Valle
University of Milan

13 Operational Risk: Combining Internal Data, External Data and Expert Opinions
Pavel V. Shevchenko; Mario V. Wüthrich
CSIRO Mathematics, Informatics and Statistics; RiskLab ETH Zurich

14 Bayesian Estimation of Lévy Copulas for Multivariate Operational Risks
Philipp Gebhard, Gernot Müller; Klaus Böcker
Technische Universität München; UniCredit Group

Klaus Böcker works as a senior risk controller in UniCredit Group and is the team head of Risk Analytics and Methods. In this capacity, one of his primary responsibilities is overseeing all quantitative aspects of UniCredit Group's economic capital model, in particular business risk, real-estate risk, financial investment risk and risk aggregation.

Klaus is also a research fellow at the Center for Mathematical Sciences at the Technische Universität München. He is conducting research in various fields of finance where he has authored and co-authored several articles that have been published in various recognized finance and mathematical journals.

Klaus is also a frequent speaker at international risk conferences and at seminars about risk management and quantitative finance. In 2007, 2008 and 2010, he won the PRMIA Institute’s Award for New Frontiers in Risk Management related to his research activities. In August 2007, Klaus was inducted by his peers as a charter member of the international Risk Who's Who honor society. He holds a degree in Theoretical Physics and a PhD in Mathematics from the Technische Universität München.

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