Gestió del risc -- Models matemàtics

Counterparty credit risk / Jon Gregory (2010)

Públic ISBD Títol : Counterparty credit risk : the new challenge for global financial markets Tipus de document : text imprès Autors : Jon Gregory, Autor Editorial : Hoboken : John Wiley & Sons Data de publicació : 2010 Col·lecció : Wiley finance series Nombre de pàgines : xxiv, 424 p. ll. : il. Dimensions : 26 cm ISBN/ISSN/DL : 978-0-470-68576-1 Nota general : Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Bancs -- Avaluació del risc Gestió del risc -- Models matemàtics Instruments derivats (Finances) -- Models matemàtics Classificació : 601.9 Risc Resum : The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk. Vista prèvia a Google Books : http://books.google.es/books?id=7v4QMegBhGUC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2 Counterparty credit risk : the new challenge for global financial markets [text imprès] / Jon Gregory, Autor . - Hoboken : John Wiley & Sons, 2010 . - xxiv, 424 p. : il. ; 26 cm. - (Wiley finance series) . ISBN : 978-0-470-68576-1 Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Bancs -- Avaluació del risc Gestió del risc -- Models matemàtics Instruments derivats (Finances) -- Models matemàtics Classificació : 601.9 Risc Resum : The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk. Vista prèvia a Google Books : http://books.google.es/books?id=7v4QMegBhGUC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10113071	601.9 Gre	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible

Market risk analysis / Carol Alexander (2008)

Públic ISBD Títol : Market risk analysis Altre títol : Quantitative methods in finance; Practical financial econometrics; Pricing, hedging, and trading financial instruments; Value-at-risk models Tipus de document : text imprès Autors : Carol Alexander, Autor Editorial : Chichester : John Wiley & Sons Data de publicació : 2008 Nombre de pàgines : 4 v. ll. : il. Dimensions : 26 cm. Material d'acompanyament : 3 discs òptics (CD-ROM) ISBN/ISSN/DL : 978-0-470-99800-7 Idioma : Anglès (eng) Matèries : Econometria Gestió del risc Gestió del risc -- Models matemàtics Classificació : 601.9 Risc Nota de contingut : Conté: 1. Quantitative methods in finance -- 2. Practical financial econometrics -- 3. Pricing, hedging, and trading financial instruments -- 4. Value-at-risk models Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2 Market risk analysis ; Quantitative methods in finance; Practical financial econometrics; Pricing, hedging, and trading financial instruments; Value-at-risk models [text imprès] / Carol Alexander, Autor . - Chichester : John Wiley & Sons, 2008 . - 4 v. : il. ; 26 cm. + 3 discs òptics (CD-ROM). ISBN : 978-0-470-99800-7 Idioma : Anglès (eng) Matèries : Econometria Gestió del risc Gestió del risc -- Models matemàtics Classificació : 601.9 Risc Nota de contingut : Conté: 1. Quantitative methods in finance -- 2. Practical financial econometrics -- 3. Pricing, hedging, and trading financial instruments -- 4. Value-at-risk models Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10113490	601.9 Ale	CD-Rom	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	3
10113489	601.9 Ale	CD-Rom	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	1
10113491	601.9 Ale	CD-Rom	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	4
10112812	601.9 Ale	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	3
10112813	601.9 Ale	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	1
10112858	601.9 Ale	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible	4

Mathematics and statistics for financial risk management / Michael B. Miller (2012)

Públic ISBD Títol : Mathematics and statistics for financial risk management Tipus de document : text imprès Autors : Michael B. Miller, Autor Editorial : Hoboken : John Wiley & Sons Data de publicació : 2012 Col·lecció : Wiley finance series Nombre de pàgines : xi, 291 p. ll. : il. Dimensions : 24 cm ISBN/ISSN/DL : 978-1-11-817062-5 Nota general : Inclou índex Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Classificació : M71 Matemàtiques financeres Resum : The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in today's world. At the same time, financial products and investment strategies are becoming increasingly complex. Today, it is more important than ever that risk managers possess a sound understanding of mathematics and statistics. In a concise and easy-to-read style, each chapter of this book introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion website includes interactive Excel spreadsheet examples and templates. - Covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testing - Introduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing - Explains time series analysis, including interest rate, GARCH, and jump-diffusion models - Explores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics If you're looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further. Vista prèvia a Google Books : http://books.google.es/books?id=GRItrMI67NwC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2 Mathematics and statistics for financial risk management [text imprès] / Michael B. Miller, Autor . - Hoboken : John Wiley & Sons, 2012 . - xi, 291 p. : il. ; 24 cm. - (Wiley finance series) . ISBN : 978-1-11-817062-5 Inclou índex Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Classificació : M71 Matemàtiques financeres Resum : The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in today's world. At the same time, financial products and investment strategies are becoming increasingly complex. Today, it is more important than ever that risk managers possess a sound understanding of mathematics and statistics. In a concise and easy-to-read style, each chapter of this book introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion website includes interactive Excel spreadsheet examples and templates. - Covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testing - Introduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing - Explains time series analysis, including interest rate, GARCH, and jump-diffusion models - Explores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics If you're looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further. Vista prèvia a Google Books : http://books.google.es/books?id=GRItrMI67NwC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10113310	M71 Mil	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible

Mathematics and statistics for financial risk management / Michael B. Miller (cop. 2014)

Públic ISBD Títol : Mathematics and statistics for financial risk management Tipus de document : text imprès Autors : Michael B. Miller, Autor Menció d'edició : 2nd ed. Editorial : Chichester : John Wiley & Sons Data de publicació : cop. 2014 Col·lecció : Wiley finance series Nombre de pàgines : 317 p. ll. : il., gràf. Dimensions : 26 cm ISBN/ISSN/DL : 978-1-11-875029-2 Nota general : Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Classificació : M71 Matemàtiques financeres Resum : Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional. Vista prèvia a Google Books : https://books.google.es/books?id=bGpXAgAAQBAJ&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=3 Mathematics and statistics for financial risk management [text imprès] / Michael B. Miller, Autor  . -  2nd ed. . - Chichester : John Wiley & Sons, cop. 2014 . - 317 p. : il., gràf. ; 26 cm. - (Wiley finance series) . ISBN : 978-1-11-875029-2 Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Classificació : M71 Matemàtiques financeres Resum : Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional. Vista prèvia a Google Books : https://books.google.es/books?id=bGpXAgAAQBAJ&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=3

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10114858	M71 Mil	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible

Operational risk with Excel and VBA / Nigel Da Costa Lewis (cop. 2004)

Públic ISBD Títol : Operational risk with Excel and VBA : applied statistical methods for risk management Tipus de document : text imprès Autors : Nigel Da Costa Lewis, Autor Editorial : Hoboken : John Wiley & Sons Data de publicació : cop. 2004 Col·lecció : Wiley finance series Nombre de pàgines : xv, 267 p. ll. : il. Dimensions : 24 cm Material d'acompanyament : 1 disc òptic (CD-ROM) ISBN/ISSN/DL : 978-0-471-47887-4 Nota general : Inclou índex i bibliografia Requeriments del sistema pel disc d'acompanyament: Microsoft Excel 97 o superior Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Microsoft Excel (Programa d'ordinador) Visual Basic for applications Classificació : M74 Informàtica Resum : A valuable reference for understanding operational risk Operational Risk with Excel and VBA is a practical guide that only discusses statistical methods that have been shown to work in an operational risk management context. It brings together a wide variety of statistical methods and models that have proven their worth, and contains a concise treatment of the topic. This book provides readers with clear explanations, relevant information, and comprehensive examples of statistical methods for operational risk management in the real world. Vista prèvia a Google Books : http://books.google.es/books?id=JAv0lLhB50YC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1 Operational risk with Excel and VBA : applied statistical methods for risk management [text imprès] / Nigel Da Costa Lewis, Autor . - Hoboken : John Wiley & Sons, cop. 2004 . - xv, 267 p. : il. ; 24 cm + 1 disc òptic (CD-ROM). - (Wiley finance series) . ISBN : 978-0-471-47887-4 Inclou índex i bibliografia Requeriments del sistema pel disc d'acompanyament: Microsoft Excel 97 o superior Idioma : Anglès (eng) Matèries : Gestió del risc -- Mètodes estadístics Gestió del risc -- Models matemàtics Microsoft Excel (Programa d'ordinador) Visual Basic for applications Classificació : M74 Informàtica Resum : A valuable reference for understanding operational risk Operational Risk with Excel and VBA is a practical guide that only discusses statistical methods that have been shown to work in an operational risk management context. It brings together a wide variety of statistical methods and models that have proven their worth, and contains a concise treatment of the topic. This book provides readers with clear explanations, relevant information, and comprehensive examples of statistical methods for operational risk management in the real world. Vista prèvia a Google Books : http://books.google.es/books?id=JAv0lLhB50YC&lpg=PP1&hl=es&pg=PP1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=1

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10113486	M74 Lew	CD-Rom	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible		Donació: Ramon Alfonso
10112623	M74 Lew	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible		Donació: Ramon Alfonso