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082			_a332.10681 _bARO
100			_aArora, R. K _918539
245			_aFinancial risk analytics: _bmeasurement, management and examples in R
260			_bWiley India Pvt. Ltd. _aNew Delhi _c2022
300			_axxvii, 421 p.
365			_aINR _b889.00
490			_aWiley Analytics Series for Management
500			_aTable of content: Praise for the Book Preface Features of the Book About the Authors Chapter 1 Role of Analytics in Risk Management 1.1 Introduction 1.2 Role of Data in Analytics 1.3 Types of Data Analytics 1.4 Use of “R” for Analytics 1.5 Challenges in Use of Data Analytics 1.6 Risk Analytics 1.7 Steps in Risk Analytics 1.8 Benefits of Risk Analytics 1.9 Financial Risk Analytics 1 1.10 Current State of Financial Risk Analytics 1.11 Future of Financial Risk Analytics 1.12 Job Role of a Financial Risk Analyst and the Required Skills Chapter 2 Introduction To Financial Risk Management 2.1 Introduction 2.2 Risk Management 2.3 Benefits of Risk Management 2.4 Types of Risks 2.4.1 Examples of Business Risks 2.4.2 Non-business Risks 2.5 Financial Markets 2.6 Types of Financial Risks 2.7 Market Risk 2.8 Credit/Counterparty Risk 2.9 Operational Risk 2.10 Model Risk 2.11 Risk and Risk Factors 2.12 Financial Risk Management 2.13 Steps in the Risk Management Process Part I Market Risk Chapter 3 Sensitivity Measures of Market Risk 3.1 Introduction 3.2 Sensitivity Measures of Market Risk Chapter 4 Volatility and Correlation Measures of Market Risk 4.1 Introduction 4.2 Estimation of Volatility 4.3 Standard Approach 4.4 Weighting Schemes 4.5 The ARCH Model 4.6 The EWMA Model 4.7 GARCH (1,1) Model 4.8 Forecasting Future Volatility for Option Pricing 4.9 Component GARCH Model 4.10 Asymmetric Volatility 4.11 Implied Volatilities 4.12 Volatility Indices 4.13 Predicting Correlations Chapter 5 Value at Risk and Expected Shortfall 5.1 Introduction 5.2 Value at Risk 5.3 Expected Shortfall (ES) 5.4 Choice of VaR Parameters 5.5 Aggregation of VaR and ES 5.6 Calculating VaR 5.7 Parametric and Nonparametric VaR 5.8 HS Approach 5.9 Monte Carlo Simulation Approach 5.10 Parametric VaR 5.11 VaR for Non-normal Distributions 5.12 Parametric Versus Nonparametric VaR 5.13 Marginal VaR 5.14 Component VaR 5.15 Back Testing 5.16 Stress Testing 5.17 Risk Metrics Chapter 6 Management of Market Risk 6.1 Introduction 6.2 Portfolio Diversification 6.3 Hedging 6.4 Insurance-Type Contracts 6.5 Portfolio Insurance 6.6 Internal Hedges 6.7 Basel Guidelines Part II Credit Risk Chapter 7 Estimating Default and Migration Probabilities 7.1 Introduction 7.2 Credit Risk VaR 7.3 Measuring Probability of Default 7.4 Migration Probabilities 7.5 Basel Guidelines Chapter 8 Credit Value at Risk 8.1 Introduction 8.2 Exposure at Default 8.3 Loss Given Default 8.4 Credit Risk Correlations 8.5 Expected and Unexpected Loss 8.6 Credit Risk Models Chapter 9 Management of Credit Risk 9.1 Introduction 9.2 Marking-to-Market 9.3 Netting 9.4 Collateralization 9.5 Downgrade Triggers 9.6 Loan Syndication 9.7 Guarantees and Letters of Credit 9.8 Credit Rationing 9.9 Debt Covenants 9.10 Monitoring 9.11 Put Options 9.12 Credit Derivatives 9.13 Credit Insurance 9.14 Securitization 9.15 Basel Guidelines Part III Other Financial Risk Chapter 10 Operational Risk 10.1 Introduction 10.2 Types of Operational Risk Losses 10.3 Measurement of Operational Risk 10.4 Managing Operational Risk 10.5 Basel Guidelines Chapter 11 Liquidity Risk 11.1 Introduction 11.2 Types of Liquidity Risk 11.3 Funding Liquidity Risk 11.4 Managing Liquidity Risk 11.5 Liquidity Black Holes 11.6 Basel III Regulations Chapter 12 Model Risk 12.1 Introduction 12.2 Models for Pricing Standard Products 12.3 Models for Non-standard Products 12.4 Sources of Model Risk 12.5 Quantifying Model Risk 12.6 Managing Model Risk 12.7 Regulatory Requirement 12.8 Model Development 12.9 Model Validation Part IV Other Topics Chapter 13 Asset Liability Management 13.1 Introduction 13.2 Objectives of ALM 13.3 Interest Rate Risk 13.4 Liquidity Funding Risk 13.5 Organization of the ALM Function 13.6 Reserve Bank of India Guidelines on ALM by Indian Banks Chapter 14 Enterprise Risk Management 14.1 Introduction 14.2 Economic Capital 14.3 Risk Appetite 14.4 Risk Culture 14.5 Top-down Approach 14.6 Bottom-up Approach 14.7 Risk Allocation 14.8 Risk-Adjusted Performance Measurement 14.9 Risk-Based Pricing Chapter 15 Financial Innovation 15.1 Introduction 15.2 Important Financial Innovations 15.3 Role of Finance Theories and Models in Stimulating Financial Innovation 15.4 Factors that Motivate Financial Innovation 15.5 Diffusion of Financial Innovations 15.6 Classification and Functions of the Financial Innovations 15.7 Implications of Innovations on Financial Markets 15.8 The Future of Financial Innovation Part V Appendices Appendix A Sovereign Risk and Financial Crisis A.1 Introduction A.2 Sovereign Risk A.3 Credit Crisis 2007 A.4 Flash Crashes Real-Life Examples Appendix B Solvency II Guidelines B.1 Introduction B.2 Objectives of Solvency II B.3 Applicability B.4 Pillars Appendix C Introduction to Probability Theory C.1 Probability C.2 Properties of Probability C.3 Characteristics of Probability Distributions Appendix D Introduction to Financial Derivatives D.1 Derivative D.2 Types of Derivative Contracts D.3 Put-Call Parity Theorem Index [https://www.wileyindia.com/financial-risk-analytics-measurement-management-and-examples-in-r.html]
520			_aThe 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. (https://www.wileyindia.com/financial-risk-analytics-measurement-management-and-examples-in-r.html)
650			_aFinancial risk analytics _920048
700			_aLal, Prerna _920047
942			_cBK _2ddc
999			_c8083 _d8083