风险管理模型

An Introduction to Derivative Securities, Financial Markets, and Risk Management Pub Date : 2019-05-17 DOI:10.1142/9781944659561_0026

R. Jarrow, Arkadev Chatterjea

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引用次数: 1

摘要

以下部分包括:介绍金融风险管理框架计算损失分布风险价值和情景分析风险价值情景分析扩展26.1:风险度量四种风险市场风险信用风险结构模型扩展26.2:实物期权简化模型扩展26.3:信用违约互换流动性风险操作风险模型和交易衍生品的未来模型风险衍生品总结案例问题和问题

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk Management Models

The following sections are included:IntroductionA Framework for Financial Risk ManagementComputing the Loss DistributionValue-at-Risk and Scenario AnalysisValue-at-RiskScenario AnalysisEXTENSION 26.1: Risk MeasuresThe Four RisksMarket RiskCredit RiskStructural ModelsEXTENSION 26.2: Real OptionsReduced-Form ModelsEXTENSION 26.3: Credit Default SwapsLiquidity RiskOperational RiskThe Future of Models and Traded DerivativesModel RiskDerivativesSummaryCasesQuestions and Problems

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来源期刊

An Introduction to Derivative Securities, Financial Markets, and Risk Management

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