The Risk Modeling Evaluation Handbook : Rethinking Financial Risk Management Methodologies in the Global Capital Markets Greg N. Gregoriou

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Kindle Edition

528 pages


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The Risk Modeling Evaluation Handbook : Rethinking Financial Risk Management Methodologies in the Global Capital Markets  by  Greg N. Gregoriou

The Risk Modeling Evaluation Handbook : Rethinking Financial Risk Management Methodologies in the Global Capital Markets by Greg N. Gregoriou
| Kindle Edition | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 528 pages | ISBN: | 5.21 Mb

The Risk Modeling Evaluation Handbook: The first in-depth analysis of inherent deficiencies in present practices! In The Risk Modeling Evaluation Handbook, an international team of experts evaluates the problematic risk-modeling methods used by largeMoreThe Risk Modeling Evaluation Handbook:  The first in-depth analysis of inherent deficiencies in present practices! In  The Risk Modeling Evaluation Handbook, an international team of 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.

You will learn to identify the shortcomings of the most widely used risk models and gain important strategies for properly implementing these models into their investing portfolios. This comprehensive resource includes examinations of model risk as applied to:  Equity and fixed income investments Credit and credit derivatives investments and credit processes Carry trades, rating models, and the supervisory formula Valuation models, as well as VaR, Copula, GARCH, and EVT models Counterparty, market, and operational risk models  The Risk Modeling Evaluation Handbook 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.

This book will serve as the go-to guide for financial professionals looking to improve or adjust their approach to modeling financial risk.  TABLE OF CONTENTS   Section One: Introduction to Model Risk The Problem of Systemic Risk as a Strong Case for the Lender of Last Resort Learning from Previous Financial Crises and the Necessity to Recognize Liquidity Shocks and the Limits of Arbitrage Valuing Political Risk   Section Two: Model Risk Related to Equity and Fixed Income Investments  Analysts Forecasts, Market Risk Premia, and Estimations of Expected Security Returns The Market-timing Ability of Australian Superannuation Funds Caring About Stylized Features of Asset Returns Price Transmissions and Market Risk in Financial Markets Volatility Asymmetry and Leverage The Effects of Different Parameter Estimation Methods on Option Pricing Effects of Benchmark Misspecification on Risk-adjusted Performance Measures   Section Three: Model Risk Related to Credit and Credit Derivatives Instruments  The Term Structure of Risk in Emerging Markets and Implications for the Carry-trade A Strategic Management Insight into Model Risk in Ratings Tranching a Securitization with the Supervisory Formula Model Risk in the Quantitative and Qualitative Credit Process Model Risk in Highly Correlated Credit Portfolios of Object Financing   Section Four: Model Risk Related to Valuation Models  Concepts to Validate Valuation Models Model Risk in the Context of Valuing Equity Derivatives Techniques for Mitigating Model Risk   Section Five: Limitations to Measure Risk  Beyond VaR VaR Computation in a Non-stationary Setting Copula-VaR and Copula-VaR-GARCH Modeling Small-sample Properties of EVT Estimators   Section Six: Modeling Market Risk for Risk Markets  Model Risk in Counterparty Exposure Modeling Model Risk for Credit Risk Modeling Model Risk in Credit Portfolio Models Model Risk for Market Risk Modeling Evaluating the Adequacy of Market Risk Models Model Risk Related to Operational Risk Models   Section Seven: Economic Capital and Asset Allocation Validation of Economic Capital Models Robust Asset Allocation Under Model Risk The Asset-liability Management Compound Option Model.



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