Handbook of simulation and financial risk management with practical case studies


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Risk Management: Lehman Brothers Case Study

The course starts by reviewing market risk measurement and diversification and points out several issues structured into different modules to be dealt with during the course. The course is then structured as follows.

Ebook Handbook Of Simulation And Financial Risk Management With Practical Case Studies

Modules 1 and 2 focus on building the equity blocks of an asset allocation problem. Module 1 reviews Modern Portfolio Theory by emphasizing the limits of a Markowitz analysis and the need for advanced techniques when estimating the input parameters.

Module 2 challenges the hypothesis of the value-weighted portfolio as a proxy for the efficient portfolios. It introduces students to fundamental indexing and smart beta strategies. Module 3 shows how real-life constraints affect the work of the practitioner confronted to financial risk measurement issues.

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Handbook of simulation and financial risk management with practical case studies (ebook)

We discuss the constraints, uses, and limitations of the efficient frontier notion of the Modern Portfolio Theory framework as they occur in applications. Assets and liabilities are becoming more and more involved in "Financial" Risk Modeling.

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They are tackled by ALM Asset and Liability Management practitioners with techniques derived from approaches that were initially purely financial. Modules 4 and 5 introduce the practical use of stochastic processes to complement the risk measurement toolbox, and we demonstrate their use in real-life situations.

In these two modules, we observe that the quantitative studies involving stochastic processes that are carried out nowadays in financial institutions relate to at least one of the two paradigms made up by the "real-world" and the "risk-neutral" measures.


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We thus focus on two practical sample cases that enable us to discuss relevant features of stochastic processes in a financial setting. The second case lets us present the notion of risk-neutral probability or equivalent martingale measure and relate it to the two fundamental theorems of asset pricing that involve its existence and uniqueness when there is no arbitrage opportunity. Those notions are then illustrated on various option pricings.


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  4. The unit is designed to bring all facets of the specialisation together. Minimum total expected workload to achieve the learning outcomes for this unit is hours per semester typically comprising a mixture of scheduled learning activities and independent study.


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    Independent study may include associated readings, assessment and preparation for scheduled activities. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description.

    Simulation‐based excess return model for real estate development

    The Handbook of Financial Risk Management also features: Examples in each chapter derived from consulting projects, current research, and course instruction Topics such as volatility, fixed-income derivatives, LIBOR Market Models, and risk measures Over twenty-four recognized simulation models Commentary, data sets, and computer subroutines available on a chapter-by-chapter basis As a complete reference for practitioners, the book is useful in the fields of finance, business, applied statistics, econometrics, and engineering.

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    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies
    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies
    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies
    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies
    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies
    Handbook of simulation and financial risk management with practical case studies Handbook of simulation and financial risk management with practical case studies

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