Financial risk analytics: (Record no. 8083)
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| 000 -LEADER | |
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| fixed length control field | 06808nam a22002177a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250102164131.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 250102b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9789354642135 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.10681 |
| Item number | ARO |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Arora, R. K |
| 245 ## - TITLE STATEMENT | |
| Title | Financial risk analytics: |
| Remainder of title | measurement, management and examples in R |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher, distributor, etc. | Wiley India Pvt. Ltd. |
| Place of publication, distribution, etc. | New Delhi |
| Date of publication, distribution, etc. | 2022 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxvii, 421 p. |
| 365 ## - TRADE PRICE | |
| Price type code | INR |
| Price amount | 889.00 |
| 490 ## - SERIES STATEMENT | |
| Series statement | Wiley Analytics Series for Management |
| 500 ## - GENERAL NOTE | |
| General note | Table of content:<br/>Praise for the Book<br/><br/>Preface<br/><br/>Features of the Book<br/><br/>About the Authors<br/><br/>Chapter 1 Role of Analytics in Risk Management<br/><br/>1.1 Introduction<br/><br/>1.2 Role of Data in Analytics<br/><br/>1.3 Types of Data Analytics<br/><br/>1.4 Use of “R” for Analytics<br/><br/>1.5 Challenges in Use of Data Analytics<br/><br/>1.6 Risk Analytics<br/><br/>1.7 Steps in Risk Analytics<br/><br/>1.8 Benefits of Risk Analytics<br/><br/>1.9 Financial Risk Analytics 1<br/><br/>1.10 Current State of Financial Risk Analytics<br/><br/>1.11 Future of Financial Risk Analytics<br/><br/>1.12 Job Role of a Financial Risk Analyst and the Required Skills<br/><br/>Chapter 2 Introduction To Financial Risk Management<br/><br/>2.1 Introduction<br/><br/>2.2 Risk Management<br/><br/>2.3 Benefits of Risk Management<br/><br/>2.4 Types of Risks<br/><br/>2.4.1 Examples of Business Risks<br/><br/>2.4.2 Non-business Risks<br/><br/>2.5 Financial Markets<br/><br/>2.6 Types of Financial Risks<br/><br/>2.7 Market Risk<br/><br/>2.8 Credit/Counterparty Risk<br/><br/>2.9 Operational Risk<br/><br/>2.10 Model Risk<br/><br/>2.11 Risk and Risk Factors<br/><br/>2.12 Financial Risk Management<br/><br/>2.13 Steps in the Risk Management Process<br/><br/>Part I Market Risk<br/><br/>Chapter 3 Sensitivity Measures of Market Risk<br/><br/>3.1 Introduction<br/><br/>3.2 Sensitivity Measures of Market Risk<br/><br/>Chapter 4 Volatility and Correlation Measures of Market Risk<br/><br/>4.1 Introduction<br/><br/>4.2 Estimation of Volatility<br/><br/>4.3 Standard Approach<br/><br/>4.4 Weighting Schemes<br/><br/>4.5 The ARCH Model<br/><br/>4.6 The EWMA Model<br/><br/>4.7 GARCH (1,1) Model<br/><br/>4.8 Forecasting Future Volatility for Option Pricing<br/><br/>4.9 Component GARCH Model<br/><br/>4.10 Asymmetric Volatility<br/><br/>4.11 Implied Volatilities<br/><br/>4.12 Volatility Indices<br/><br/>4.13 Predicting Correlations<br/><br/>Chapter 5 Value at Risk and Expected Shortfall<br/><br/>5.1 Introduction<br/><br/>5.2 Value at Risk<br/><br/>5.3 Expected Shortfall (ES)<br/><br/>5.4 Choice of VaR Parameters<br/><br/>5.5 Aggregation of VaR and ES<br/><br/>5.6 Calculating VaR<br/><br/>5.7 Parametric and Nonparametric VaR<br/><br/>5.8 HS Approach<br/><br/>5.9 Monte Carlo Simulation Approach<br/><br/>5.10 Parametric VaR<br/><br/>5.11 VaR for Non-normal Distributions<br/><br/>5.12 Parametric Versus Nonparametric VaR<br/><br/>5.13 Marginal VaR<br/><br/>5.14 Component VaR<br/><br/>5.15 Back Testing<br/><br/>5.16 Stress Testing<br/><br/>5.17 Risk Metrics<br/><br/>Chapter 6 Management of Market Risk<br/><br/>6.1 Introduction<br/><br/>6.2 Portfolio Diversification<br/><br/>6.3 Hedging<br/><br/>6.4 Insurance-Type Contracts<br/><br/>6.5 Portfolio Insurance<br/><br/>6.6 Internal Hedges<br/><br/>6.7 Basel Guidelines<br/><br/>Part II Credit Risk<br/><br/>Chapter 7 Estimating Default and Migration Probabilities<br/><br/>7.1 Introduction<br/><br/>7.2 Credit Risk VaR<br/><br/>7.3 Measuring Probability of Default<br/><br/>7.4 Migration Probabilities<br/><br/>7.5 Basel Guidelines<br/><br/>Chapter 8 Credit Value at Risk<br/><br/>8.1 Introduction<br/><br/>8.2 Exposure at Default<br/><br/>8.3 Loss Given Default<br/><br/>8.4 Credit Risk Correlations<br/><br/>8.5 Expected and Unexpected Loss<br/><br/>8.6 Credit Risk Models<br/><br/>Chapter 9 Management of Credit Risk<br/><br/>9.1 Introduction<br/><br/>9.2 Marking-to-Market<br/><br/>9.3 Netting<br/><br/>9.4 Collateralization<br/><br/>9.5 Downgrade Triggers<br/><br/>9.6 Loan Syndication<br/><br/>9.7 Guarantees and Letters of Credit<br/><br/>9.8 Credit Rationing<br/><br/>9.9 Debt Covenants<br/><br/>9.10 Monitoring<br/><br/>9.11 Put Options<br/><br/>9.12 Credit Derivatives<br/><br/>9.13 Credit Insurance<br/><br/>9.14 Securitization<br/><br/>9.15 Basel Guidelines<br/><br/>Part III Other Financial Risk<br/><br/>Chapter 10 Operational Risk<br/><br/>10.1 Introduction<br/><br/>10.2 Types of Operational Risk Losses<br/><br/>10.3 Measurement of Operational Risk<br/><br/>10.4 Managing Operational Risk<br/><br/>10.5 Basel Guidelines<br/><br/>Chapter 11 Liquidity Risk<br/><br/>11.1 Introduction<br/><br/>11.2 Types of Liquidity Risk<br/><br/>11.3 Funding Liquidity Risk<br/><br/>11.4 Managing Liquidity Risk<br/><br/>11.5 Liquidity Black Holes<br/><br/>11.6 Basel III Regulations<br/><br/>Chapter 12 Model Risk<br/><br/>12.1 Introduction<br/><br/>12.2 Models for Pricing Standard Products<br/><br/>12.3 Models for Non-standard Products<br/><br/>12.4 Sources of Model Risk<br/><br/>12.5 Quantifying Model Risk<br/><br/>12.6 Managing Model Risk<br/><br/>12.7 Regulatory Requirement<br/><br/>12.8 Model Development<br/><br/>12.9 Model Validation<br/><br/>Part IV Other Topics<br/><br/>Chapter 13 Asset Liability Management<br/><br/>13.1 Introduction<br/><br/>13.2 Objectives of ALM<br/><br/>13.3 Interest Rate Risk<br/><br/>13.4 Liquidity Funding Risk<br/><br/>13.5 Organization of the ALM Function<br/><br/>13.6 Reserve Bank of India Guidelines on ALM by Indian Banks<br/><br/>Chapter 14 Enterprise Risk Management<br/><br/>14.1 Introduction<br/><br/>14.2 Economic Capital<br/><br/>14.3 Risk Appetite<br/><br/>14.4 Risk Culture<br/><br/>14.5 Top-down Approach<br/><br/>14.6 Bottom-up Approach<br/><br/>14.7 Risk Allocation<br/><br/>14.8 Risk-Adjusted Performance Measurement<br/><br/>14.9 Risk-Based Pricing<br/><br/>Chapter 15 Financial Innovation<br/><br/>15.1 Introduction<br/><br/>15.2 Important Financial Innovations<br/><br/>15.3 Role of Finance Theories and Models in Stimulating Financial Innovation<br/><br/>15.4 Factors that Motivate Financial Innovation<br/><br/>15.5 Diffusion of Financial Innovations<br/><br/>15.6 Classification and Functions of the Financial Innovations<br/><br/>15.7 Implications of Innovations on Financial Markets<br/><br/>15.8 The Future of Financial Innovation<br/><br/>Part V Appendices<br/><br/>Appendix A Sovereign Risk and Financial Crisis<br/><br/>A.1 Introduction<br/><br/>A.2 Sovereign Risk<br/><br/>A.3 Credit Crisis 2007<br/><br/>A.4 Flash Crashes<br/><br/>Real-Life Examples<br/><br/>Appendix B Solvency II Guidelines<br/><br/>B.1 Introduction<br/><br/>B.2 Objectives of Solvency II<br/><br/>B.3 Applicability<br/><br/>B.4 Pillars<br/><br/>Appendix C Introduction to Probability Theory<br/><br/>C.1 Probability<br/><br/>C.2 Properties of Probability<br/><br/>C.3 Characteristics of Probability Distributions<br/><br/>Appendix D Introduction to Financial Derivatives<br/><br/>D.1 Derivative<br/><br/>D.2 Types of Derivative Contracts<br/><br/>D.3 Put-Call Parity Theorem<br/><br/>Index<br/>[https://www.wileyindia.com/financial-risk-analytics-measurement-management-and-examples-in-r.html] |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The book is of particular use for risk managers working in the banking industry. Banks are required by the Basel guidelines to have sufficient risk capital to cover the potential losses that they face. Banks can either use the norms prescribed by the Basel guidelines or their own risk models to measure different financial risks in order to estimate the risk capital requirement. The book can be extremely helpful to banks in performing these tasks.<br/>(https://www.wileyindia.com/financial-risk-analytics-measurement-management-and-examples-in-r.html) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial risk analytics |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Lal, Prerna |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Book |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Bill No | Bill Date | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Accession Number | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Finance & Accounting | TB3054 | 19-12-2024 | Indian Institute of Management LRC | Indian Institute of Management LRC | General Stacks | 01/04/2025 | Technical Bureau India Pvt. Ltd. | 617.85 | 332.10681 ARO | 006979 | 01/04/2025 | 1 | 889.00 | 01/04/2025 | Book |