RISK MODELING EVALUATION HANDBOOK 9780071663700 下载 pdf 电子版 epub 免费 txt 2025

　　If we have learned anything from the global financial collapse

of 2008, it is this: the mathematical risk models currently used by

financial institutions are no longer adequate quantitative measures

of risk exposure.　　

In The Risk Modeling Evaluation Handbook, an international team

of 48 experts evaluates the problematic risk-modeling methods used

by large financial institutions and breaks down how these models

contributed to the decline of the global capital markets. Their

conclusions enable you to identify the shortcomings of the most

widely used risk models and create sophisticated strategies for

properly implementing these models into your investing

portfolio.　　

Chapters include:　　

Model Risk: Lessons from Past Catastrophes (Scott Mixon)

Effect of Benchmark Misspecification on Riskadjusted Performance

Measures (Laurent Bodson and George Hübner)

Carry Trade Strategies and the Information Content of Credit

Default Swaps (Raphael W. Lam and Marco Rossi)

Concepts to Validate Valuation Models (Peter Whitehead)

Beyond VaR: Expected Shortfall and Other Coherent Risk Measures

(Andreas Krause)

Model Risk in Credit Portfolio Modeling (Matthias Gehrke and

Jeffrey Heidemann)

Asset Allocation under Model Risk (Pauline M. Barrieu and

Sandrine Tobolem)

This dream team of the masters of risk modeling provides

expansive explanations of the types of model risk that appear in

risk measurement, risk management, and pricing, as well as

market-tested techniques for mitigating risk in loan, equity, and

derivative portfolios.　　

The Risk Modeling Evaluation Handbook is the go-to guide for

improving or adjusting your approach to modeling financial

risk.

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　　Greg N. Gregoriou is professor of finance in the School of

Business and Economics at State University of New York

(Plattsburgh). He is the author of numerous financial books and

coeditor for the Journal of Derivatives and Hedge Funds.

Christian Hoppe is group head of credit solutions in the corporate

banking division of Commerzbank AG Frankfurt. He is cofounder and

CEO of the Anleihen Finder GmbH.

　　Carsten S. Wehn is head of market risk control at DekaBank,

Frankfurt, where he is responsible for measuring market and

liquidity risk, developing risk methods and models, and validating

the adequacy of the respective risk models.

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书籍介绍

The first in-depth analysis of inherent deficiencies in present practices “A book like this helps reduce the chance of a future breakdown in risk management.”

Professor Campbell R. Harvey, the Fuqua School of Business, Duke University “A very timely and extremely useful guide to the subtle and often difficult issues involved in model risk—a subject which is only now gaining the prominence it should always have had.”

Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham “This book collects authoritative papers on a timely and important topic . . . and should lead to many new insights.”

Professor Philip Hans Franses, Erasmus School of Economics, Erasmus University “Inadequate valuation and risk management models have played their part in triggering the recent economic turmoil felt around the world. This timely book, written by experts in the field of model risk, will surely help risk managers and financial engineers measure and manage risk effectively.”

Dr. Fabrice Douglas Rouah, Vice President, State Street Corporation “This invaluable handbook has been edited by experts . . . and should prove to be of great value to investment finance and credit risk modelers in a wide range of disciplines related to portfolio risk, risk modeling in finance, international money and finance, country risk, and macroeconomics.”

Professor Michael McAleer, Erasmus School of Economics, Erasmus University About the Book: If we have learned anything from the global financial collapse of 2008, it is this: the mathematical risk models currently used by financial institutions are no longer adequate quantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook, an international team of 48 experts evaluates the problematic risk-modeling methods used by large financial institutions and breaks down how these models contributed to the decline of the global capital markets. Their conclusions enable you to identify the shortcomings of the most widely used risk models and create sophisticated strategies for properly implementing these models into your investing portfolio. Chapters include: Model Risk: Lessons from Past Catastrophes (Scott Mixon) Effect of Benchmark Misspecification on Riskadjusted Performance Measures (Laurent Bodson and George Hübner) Carry Trade Strategies and the Information Content of Credit Default Swaps (Raphael W. Lam and Marco Rossi) Concepts to Validate Valuation Models (Peter Whitehead) Beyond VaR: Expected Shortfall and Other Coherent Risk Measures (Andreas Krause) Model Risk in Credit Portfolio Modeling (Matthias Gehrke and Jeffrey Heidemann) Asset Allocation under Model Risk (Pauline M. Barrieu and Sandrine Tobolem) This dream team of the masters of risk modeling provides expansive explanations of the types of model risk that appear in risk measurement, risk management, and pricing, as well as market-tested techniques for mitigating risk in loan, equity, and derivative portfolios. The Risk Modeling Evaluation Handbook is the go-to guide for improving or adjusting your approach to modeling financial risk.

• 作者：文孟先生 发布时间：2022-12-11 01:15:23

  经典作品。

• 作者：zhou 发布时间：2011-01-15 14:37:24

  现在不怎么用了都。。。。

• 作者：象子 发布时间：2012-05-06 18:42:36

  讓我們有別於他人的不是多麼昂貴的服裝，多麼古怪罕見的樣式，而是我們的態度，對時裝對人生對生活對我們自己的態度，每一次變化和進步都時刻反映在我們的日常穿著上。You are what you in.

• 作者：東寫西讀 发布时间：2007-01-24 13:10:30

  明代笔记 史料

• 作者：理想 发布时间：2018-01-24 21:21:40

  只看了朝核部分，值得参考

• 作者：live fully 发布时间：2023-03-12 12:36:02

  清晰

• 翻译者既缺乏文化水准又缺乏茶文化常识，甚至是翻译的严谨态度！

  作者：淳璞 发布时间：2016-05-16 20:57:19

  看到45页了，平心而论，翻译的很拗口，别扭，罗嗦了！真不知道翻译的人怎么学语文的。比如19页：……其余具备眼光和智慧来观察和聆听的人……44页：……后来又传至找寻生活的诗意和美感的皇帝和文人……

  还有，作者是外国，翻译者总是中国人，至少也有点基础知识吧！王褒翻译成“王宝”，《僮约》，翻译成《雇工合约》……26页‘思茅’，应该注明是普洱市。这本书第一版是2013年，思茅改成普洱市是2007年，这种常识性的问题真是不应该犯！

  本来是想从一个禅修者的角度去看茶文化，没想到……唉。这又不是给外国人看，还不如买一本英文版自己慢慢琢磨呢。唯一的抚慰是能看到作者很传神的水墨画。

• 基因组的暗物质

  作者：岂能无怪哉 发布时间：2023-05-15 18:54:10