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Risk Measures for the 21st Century (The Wiley Finance Series)
ISBN: 0470861541     Date Published: 2004-04-02     Author(s): Gerald Ashley
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Hardcover
Wiley
512 Pages
 
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06/20/2013 01:25:17
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Editorial Review - Book Description:
The last five years have witnessed a great momentum in the research into measures of financial risk. After many years of ad-hoc and non-consistent measures, now the problem is finally well formulated and some useful and very user-friendly solutions have been proposed. These new measures of risk should be of great interest for investors, financial institutions as well as for regulators. 

Under the editorship of Professor Giorgio Szego of the University of Rome `La Sapienza`, this book is a collection of the revised and updated papers from prestigious international specialists who are leaders in their field, amongst whom is Robert Engle, a newly-announced Nobel prize-winner in finance. These authors bring a broad perspective across a wide selection of topics, ranging from the critique of some currently used methods, like Value at Risk, to the presentation of some correct risk measures and of some advanced application

The book provides a detailed and up-to-date reference for researchers within academia, and risk managers or financial engineers.
 
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Good discussions of current alternatives to risk management, July 30, 2010 ByDr. Lee D. Carlson (Baltimore, Maryland USA) - See all my reviews Amazon Verified Purchase(What's this?) This review is from: Risk Measures for the 21st Century (The Wiley Finance Series) (Hardcover) Risk measures have been long been important, especially from a regulatory standpoint, but this importance has been magnified by the current `financial crisis' and the need for more robust measures of risk over and above what has been currently been in place by banks and other financial institutions. Value-At-Risk, or VAR, has been widely used in the banking industry, due in part to the Basel-II Accords and its ease in implementation. VAR of course has been criticized vociferously both by academics and practitioners alike, but alternatives to VAR, even though they seem plausible on paper, at times are difficult to implement and interpret. It remains to be seen how the relaxation of Basel requirements will affect risk management and capital requirements in the major banks of the world. One thing is clear and that is that risk management will employ even more mathematically sophisticated risk measures in the years ahead, due to the regulatory environment and hyper-technological...
 
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