Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

Institutionelle Anleger, Fonds-und Portfoliomanager müssen Risiken eingehen, wenn sie
Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko." Risk Budgeting: Portfolio …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

In this paper, we estimate and interpret the factors that jointly determine bond returns of
different maturities in the US, Germany and Japan. We analyze both currency-hedged and …

It is common practice to identify the number and sources of shocks that move, eg, ATM
implied volatilities by principal components analysis. This approach, however, is likely to …

Performance persistence studies typically suffer from ex-post conditioning biases. As
stressed by Carhart [Carhart, MM, 1997. Mutual Fund Survivorship, Working Paper, Marshall …

Zero-coupon interest rates are the fundamental building block of fixed-income mathematics,
and as such have an extensive number of applications in both finance and economics. The …

The potential for stock market growth in Asian Pacific countries has attracted foreign
investors. However, higher growth rates come with higher risk. We apply value at risk (VaR) …

Publisher Summary This chapter is a survey of literature on the management, supervision,
and measurement of extreme and infrequent risks in finance. Extreme risks are the risks of …