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The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

1st Edition
0071663711 · 9780071663717
Addresses newly exposed weaknesses of financial risk models in the context of market stress scenariosThis will be the definitive book for readers looking to improve their approach to modeling financial risk
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US$85.50
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  • Section One: Introduction to Model Risk
  • 1. The Problem of Systemic Risk as a Strong Case for the Lender of Last Resort
  • 2. Learning from Previous Financial Crises and the Necessity to Recognize Liquidity Shocks and the Limits of Arbitrage
  • 3. Valuing Political Risk
  • Section Two: Model Risk Related to Equity and Fixed Income Investments
  • 4. Analysts' Forecasts, Market Risk Premia, and Estimations of Expected Security Returns
  • 5. The Market-timing Ability of Australian Superannuation Funds
  • 6. Caring About Stylized Features of Asset Returns
  • 7. Price Transmissions and Market Risk in Financial Markets
  • 8. Volatility Asymmetry and Leverage
  • 9. The Effects of Different Parameter Estimation Methods on Option Pricing
  • 10. Effects of Benchmark Misspecification on Risk-adjusted Performance Measures
  • Section Three: Model Risk Related to Credit and Credit Derivatives Instruments
  • 11. The Term Structure of Risk in Emerging Markets and Implications for the Carry-trade
  • 12. A Strategic Management Insight into Model Risk in Ratings
  • 13. Tranching a Securitization with the Supervisory Formula
  • 14. Model Risk in the Quantitative and Qualitative Credit Process
  • 15. Model Risk in Highly Correlated Credit Portfolios of Object Financing
  • Section Four: Model Risk Related to Valuation Models
  • 16. Concepts to Validate Valuation Models
  • 17. Model Risk in the Context of Valuing Equity Derivatives
  • 18. Techniques for Mitigating Model Risk
  • Section Five: Limitations to Measure Risk
  • 19. Beyond VaR
  • 20. VaR Computation in a Non-stationary Setting
  • 21. Copula-VaR and Copula-VaR-GARCH Modeling
  • 22. Small-sample Properties of EVT Estimators
  • Section Six: Modeling Market Risk for Risk Markets
  • 23. Model Risk in Counterparty Exposure Modeling
  • 24. Model Risk for Credit Risk Modeling
  • 25. Model Risk in Credit Portfolio Models
  • 26. Model Risk for Market Risk Modeling
  • 27. Evaluating the Adequacy of Market Risk Models
  • 28. Model Risk Related to Operational Risk Models
  • Section Seven: Economic Capital and Asset Allocation
  • 29. Validation of Economic Capital Models
  • 30. Robust Asset Allocation Under Model Risk
  • 31. The Asset-liability Management Compound Option Model