A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology....

Cover -- Title Page -- Copyright -- Contents -- About the Editor -- About the Contributors -- Chapter 1 Introduction -- 1.1 Extremes -- 1.2 History -- 1.3 Extreme value theory -- 1.4 Statistical estimation of extremes -- 1.5 Applications in finance -- 1.6 Practitioners' points of view -- 1.7 A...

Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The...

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations,...

"In order to make insurance a trade at all, the common premium must be sufficient to compensate the common losses, to pay the expense of management, and to afford such a profit as might have been drawn from an equal capital employed in any common trade. Pricing insurance risk is the last mile of...