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2019•Unpublished venueRequires access

Risk Management Models

ROBERT A. JARROW, ARKADEV CHATTERJEA

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Abstract

The following sections are included:IntroductionA Framework for Financial Risk ManagementComputing the Loss DistributionValue-at-Risk and Scenario AnalysisValue-at-RiskScenario AnalysisEXTENSION 26.1: Risk MeasuresThe Four RisksMarket RiskCredit RiskStructural ModelsEXTENSION 26.2: Real OptionsReduced-Form ModelsEXTENSION 26.3: Credit Default SwapsLiquidity RiskOperational RiskThe Future of Models and Traded DerivativesModel RiskDerivativesSummaryCasesQuestions and Problems

About this research paper

What this paper is about

The following sections are included:IntroductionA Framework for Financial Risk ManagementComputing the Loss DistributionValue-at-Risk and Scenario AnalysisValue-at-RiskScenario AnalysisEXTENSION 26.1: Risk MeasuresThe Four RisksMarket RiskCredit RiskStructural ModelsEXTENSION 26.2: Real OptionsReduced-Form ModelsEXTENSION 26.3: Credit Default SwapsLiquidity RiskOperational RiskThe Future of Models and Traded DerivativesModel RiskDerivativesSummaryCasesQuestions and Problems

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Available abstract

The following sections are included:IntroductionA Framework for Financial Risk ManagementComputing the Loss DistributionValue-at-Risk and Scenario AnalysisValue-at-RiskScenario AnalysisEXTENSION 26.1: Risk MeasuresThe Four RisksMarket RiskCredit RiskStructural ModelsEXTENSION 26.2: Real OptionsReduced-Form ModelsEXTENSION 26.3: Credit Default SwapsLiquidity RiskOperational RiskThe Future of Models and Traded DerivativesModel RiskDerivativesSummaryCasesQuestions and Problems

Key concepts: Computer science, Risk analysis (engineering), Business

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