The first in-depth analysis of    inherent deficiencies in present practices        “A book like this helps reduce the chance of a future breakdown in risk management.”    Professor Campbell R. Harvey, the Fuqua School of Business, Duke University        “A very timely and extremely useful guide to the subtle and often difficult    issues involved in model risk—a subject which is only now gaining the    prominence it should always have had.”    Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham        “This book collects authoritative papers on a timely and important topic . . .    and should lead to many new insights.”    Professor Philip Hans Franses, Erasmus School of Economics, Erasmus University        “Inadequate valuation and risk management models have played their part in    triggering the recent economic turmoil felt around the world. This timely book,    written by experts in the field of model risk, will surely help risk managers and    financial engineers measure and manage risk effectively.”    Dr. Fabrice Douglas Rouah, Vice President, State Street Corporation        “This invaluable handbook has been edited by experts . . . and should prove to be    of great value to investment finance and credit risk modelers in a wide range of    disciplines related to portfolio risk, risk modeling in finance, international money    and finance, country risk, and macroeconomics.”    Professor Michael McAleer, Erasmus School of Economics, Erasmus University        About the Book:        If we have learned anything from the global    financial collapse of 2008, it is this: the    mathematical risk models currently used by    financial institutions are no longer adequate    quantitative measures of risk exposure.        In The Risk Modeling Evaluation Handbook,    an international team of 48 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. Their    conclusions enable you to identify the shortcomings    of the most widely used risk models    and create sophisticated strategies for properly    implementing these models into your investing    portfolio.    Chapters include:    Model Risk: Lessons from Past Catastrophes    (Scott Mixon)    Effect of Benchmark Misspecification on Riskadjusted    Performance Measures (Laurent Bodson    and George H?bner)    Carry Trade Strategies and the Information Content of    Credit Default Swaps (Raphael W. Lam and    Marco Rossi)    Concepts to Validate Valuation Models    (Peter Whitehead)    Beyond VaR: Expected Shortfall and Other Coherent    Risk Measures (Andreas Krause)    Model Risk in Credit Portfolio Modeling    (Matthias Gehrke and Jeffrey Heidemann)    Asset Allocation under Model Risk (Pauline M. Barrieu    and Sandrine Tobolem)    This dream team of the masters of risk    modeling 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.        The Risk Modeling Evaluation Handbook is the    go-to guide for improving or adjusting your    approach to modeling financial risk.

The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets (McGraw-Hill Finance & Investing)

The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets (McGraw-Hill Finance & Investing) PDF

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