Bayesian Risk Management

Author: Matt Sekerke
Publisher: John Wiley & Sons
ISBN: 1118747453
Format: PDF, Docs
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A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fully-Bayesian setting without losing the structure afforded by parametric risk and asset-pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state-space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset-pricing models Embed Bayesian thinking about risk within a complex organization Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision-making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.

Optimal Financial Decision Making under Uncertainty

Author: Giorgio Consigli
Publisher: Springer
ISBN: 3319416138
Format: PDF, Docs
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The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

Liquidity Risk Management

Author: Shyam Venkat
Publisher: John Wiley & Sons
ISBN: 1118881923
Format: PDF, ePub, Mobi
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The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

Fundamental Aspects of Operational Risk and Insurance Analytics

Author: Marcelo G. Cruz
Publisher: John Wiley & Sons
ISBN: 1118573021
Format: PDF, ePub, Docs
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A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.

Risk Modeling for Appraising Named Peril Index Insurance Products

Author: Shadreck Mapfumo
Publisher: World Bank Publications
ISBN: 1464810494
Format: PDF, Kindle
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Named peril index insurance has great potential to address unmet risk management needs for agricultural insurance in developing economies, potentially contributing to increased agricultural sustainability and improved food security. However, the development and appraisal of index insurance business lines is not without challenges. Insurers must rigorously evaluate the quality of the products they offer and take care to ensure that distributors and policyholders understand the benefits and limits of the purchased coverage. Without these important steps to ensure responsible insurance practices, insurers can damage the implementation and potential of index insurance in the market. Risk Modeling for Appraising Named Peril Index Insurance Products: A Guide for Practitioners helps stakeholders in the named peril index insurance industry appraise new and existing products. Part 1 of the guide provides a summary of the insights and decisions required for the insurer to make an informed decision to launch and expand an index insurance business line. Insurance managers are the primary audience for part 1. Part 2 provides a step-by-step guide to calculating the decision metrics used by the insurance manager in part 1. These metrics are calculated using probabilistic modeling that provides insights into risks related to the index insurance product. Actuarial analysts are the primary audience for part 2. In an increasingly competitive insurance market, creative product development and imaginative business strategies are becoming the norm. This guide will help emerging market insurers who seek to stay on the cutting edge to successfully and sustainably penetrate new market segments.

Analysis of Financial Time Series

Author: Ruey S. Tsay
Publisher: John Wiley & Sons
ISBN: 0471746185
Format: PDF, Docs
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Provides statistical tools and techniques needed to understand today's financial markets The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods. The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics: Analysis and application of univariate financial time series Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text, including the addition of S-Plus® commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find: Consistent covariance estimation under heteroscedasticity and serial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.

European Union Health Law

Author: Tamara K. Hervey
Publisher: Cambridge University Press
ISBN: 1316351815
Format: PDF
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A contextual analysis of the internal logics of EU health law through four themes: consumerism; (human) rights; interactions between equality, solidarity and competition; and risk. Leading authors in the emergent field explain the interactions and implications of EU health law through thematic reinterpretation of the law in context in key substantive areas, such as the regulation of health research, access of patients to high quality care, health care professional regulation, organisation and funding of health care services, and public health. This book offers a fresh perspective and thorough understanding of EU health law through individual and collective or systemic perspectives, and covers health law both within the EU and globally. Essential reading for anyone interested in health law in any EU Member State or in global health law.

Risk Wise

Author: Polly Morland
Publisher: Profile Books
ISBN: 1782831568
Format: PDF, Mobi
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Risk often gets a bad press. From the seemingly unnecessary actions of extreme sportspeople to the excessive risk appetites of serial entrepreneurs, the term 'risky' is often seen as synonymous with 'reckless', 'foolhardy' or even downright dangerous. But could any of us live in a world without risk, and would it be desirable to do so? Through a series of nine wonderfully rich pen portraits, Polly Morland takes us on a journey through the world of risk, looking not at the extremes or exceptions, but at the routine risks we accept and embrace as part of our everyday lives, often unconsciously. Meet the families who have lived happily on the slopes of Mount Vesuvius for generations; the Paris Opera ballet dancer facing up to the physical, psychological and reputational risks her profession demands; the New York City forensic engineer for whom being first on the scene is just part of the day job. And marvel at the parents and playworkers who every day balance the risks and rewards of how much autonomy and independence to afford growing children. The stories in Risk Wise address fundamental questions about risk and our perceptions about risk-taking. It argues that being risk wise - the ability to understand and accept risk as a force for good - is an essential part of the human experience and a route to living a full and rewarding life.

Bird Watcher s Digest Butterflies Backyard Guide

Author: Erin Gettler
Publisher: Cool Springs Press
ISBN: 0760353727
Format: PDF
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Learn to identify the butterflies you see, and find out what to plant in your garden so they visit you at home! Butterflies are likely the most popular insects in the entire insect class. With their large, brightly colored wings and beneficial pollinator roles in the ecosystem, it's no wonder they have such a big fan base amongst their human observers. But for anyone who's ever wondered which exact butterfly it is that they're admiring, there's a new resource with all the answers: the Butterflies Backyard Guide. Replete with more than fifty of the most common butterflies in North America, the book is a fully illustrated guide that makes it easy to identify these fragile winged insects. Each butterfly in the book is presented on a two-page spread with images and facts about the butterfly, as well as tips for what gardeners can plant in order to attract that particular butterfly to visit their backyards. Other information provided for each butterfly includes: size, lifespan, habitat, diet, range, predators, and reproduction. Butterflies Backyard Guide is organized by major butterfly type, so readers can easily flip open the guide and zero in on the facts about the specific butterfly they're identifying. Keep this guide close at hand for a quick analysis of the iridescent butterflies you see floating from flower to flower. You'll be pointing out Monarchs, Eastern Tiger Swallowtails, and Common Buckeyes before you know it.

Scenarios for Risk Management and Global Investment Strategies

Author: Rachel E. S. Ziemba
Publisher: John Wiley & Sons
ISBN: 9780470518380
Format: PDF, Mobi
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This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment strategies, building scenarios to optimize returns.