RISK MODELING EVALUATION HANDBOOK 9780071663700

　　If we have learned anything from the global financial collapseof 2008, it is this: the mathematical risk models currently used byfinancial institutions are no longer adequate quantitative measuresof risk exposure.　　　　In The Risk Modeling Evaluation Handbook, an international teamof 48 experts evaluates the problematic risk-modeling methods usedby large financial institutions and breaks down how these modelscontributed to the decline of the global capital markets. Theirconclusions enable you to identify the shortcomings of the mostwidely used risk models and create sophisticated strategies forproperly implementing these models into your investingportfolio.　　　　Chapters include:　　　　Model Risk: Lessons from Past Catastrophes (Scott Mixon)　　Effect of Benchmark Misspecification on Riskadjusted PerformanceMeasures (Laurent Bodson and George Hübner)　　Carry Trade Strategies and the Information Content of CreditDefault Swaps (Raphael W. Lam and Marco Rossi)　　Concepts to Validate Valuation Models (Peter Whitehead)　　Beyond VaR: Expected Shortfall and Other Coherent Risk Measures(Andreas Krause)　　Model Risk in Credit Portfolio Modeling (Matthias Gehrke andJeffrey Heidemann)　　Asset Allocation under Model Risk (Pauline M. Barrieu andSandrine Tobolem)　　This dream team of the masters of risk modeling providesexpansive explanations of the types of model risk that appear inrisk measurement, risk management, and pricing, as well asmarket-tested techniques for mitigating risk in loan, equity, andderivative portfolios.　　　　The Risk Modeling Evaluation Handbook is the go-to guide forimproving or adjusting your approach to modeling financialrisk.