Risk management: value at risk and beyond

Introduction / M. A. H. Dempster

1. Quantifying the Risks of Trading / Evan Picoult

2. Value at Risk Analysis of a Leveraged Swap / Sanjay Srivastava

3. Stress Testing in a Value at Risk Framework / Paul H. Kupiec

4. Dynamic Portfolio Replication Using Stochastic Programming / M. A. H. Dempster and G. W. P. Thompson

5. Credit and Interest Rate Risk / R. Kiesel, W. Perraudin and A. P. Taylor

6. Coherent Measures of Risk / Philippe Artzner, Freddy Delbaen and Jean-Marc Eber / [et al.]

7. Correlation and Dependence in Risk Management: Properties and Pitfalls / Paul Embrechts, Alexander J. McNeil and Daniel Straumann

8. Measuring Risk with Extreme Value Theory / Richard L. Smith

9. Extremes in Operational Risk Management / E. A. Medova and M. N. Kyriacou.