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The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

1st Edition

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ISBN10: 0071663703 | ISBN13: 9780071663700

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Program Details

Section One: Introduction to Model Risk
1. The Problem of Systemic Risk as a Strong Case for the Lender of Last Resort
2. Learning from Previous Financial Crises and the Necessity to Recognize Liquidity Shocks and the Limits of Arbitrage
3. Valuing Political Risk

Section Two: Model Risk Related to Equity and Fixed Income Investments
4. Analysts' Forecasts, Market Risk Premia, and Estimations of Expected Security Returns
5. The Market-timing Ability of Australian Superannuation Funds
6. Caring About Stylized Features of Asset Returns
7. Price Transmissions and Market Risk in Financial Markets
8. Volatility Asymmetry and Leverage
9. The Effects of Different Parameter Estimation Methods on Option Pricing
10. Effects of Benchmark Misspecification on Risk-adjusted Performance Measures

Section Three: Model Risk Related to Credit and Credit Derivatives Instruments
11. The Term Structure of Risk in Emerging Markets and Implications for the Carry-trade
12. A Strategic Management Insight into Model Risk in Ratings
13. Tranching a Securitization with the Supervisory Formula
14. Model Risk in the Quantitative and Qualitative Credit Process
15. Model Risk in Highly Correlated Credit Portfolios of Object Financing

Section Four: Model Risk Related to Valuation Models
16. Concepts to Validate Valuation Models
17. Model Risk in the Context of Valuing Equity Derivatives
18. Techniques for Mitigating Model Risk

Section Five: Limitations to Measure Risk
19. Beyond VaR
20. VaR Computation in a Non-stationary Setting
21. Copula-VaR and Copula-VaR-GARCH Modeling
22. Small-sample Properties of EVT Estimators

Section Six: Modeling Market Risk for Risk Markets
23. Model Risk in Counterparty Exposure Modeling
24. Model Risk for Credit Risk Modeling
25. Model Risk in Credit Portfolio Models
26. Model Risk for Market Risk Modeling
27. Evaluating the Adequacy of Market Risk Models
28. Model Risk Related to Operational Risk Models

Section Seven: Economic Capital and Asset Allocation
29. Validation of Economic Capital Models
30. Robust Asset Allocation Under Model Risk
31. The Asset-liability Management Compound Option Model