A wide array of experts examine the recent developments in risk management. The emphasis is on highlighting the link between the academic literature and practical issues. Ideally suited for academics and practitioners, especially finance specialists.The fundamental argument in favor of the LSC model for Value at Risk analysis is that it provides a more transparent perspective on the risks taken by traders. In some ... Technical Document. JP Morgan, New York Garman M (1997) The End of the Search for Component VaR. Financial Engineering Associates, Berkeley 7 I have developed a similar model for equity option trading in Bilson (2002). Jorion Panbsp;...
|Author||:||Michael Frenkel, Ulrich Hommel, Markus Rudolf|
|Publisher||:||Springer Science & Business Media - 2005|