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Record Nr. |
UNINA9910143700303321 |
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Autore |
Dowd Kevin |
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Titolo |
Measuring Market Risk [[electronic resource]] |
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Pubbl/distr/stampa |
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Chichester, : Wiley, 2007 |
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ISBN |
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1-118-67348-4 |
1-280-73872-3 |
9786610738724 |
0-470-01651-5 |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (412 p.) |
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Collana |
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Disciplina |
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Soggetti |
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Financial futures - Mathematical models |
Financial futures |
Mathematical models |
Portfolio management |
Portfolio management - Mathematical models |
Risk management |
Risk management - Mathematical models |
Investment & Speculation |
Finance |
Business & Economics |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di contenuto |
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Measuring Market Risk; Contents; Preface to the Second Edition; Acknowledgements; 1 The Rise of Value at Risk; 1.1 The Emergence of Financial Risk Management; 1.2 Market Risk Measurement; 1.3 Risk Measurement Before VaR; 1.3.1 Gap Analysis; 1.3.2 Duration Analysis; 1.3.3 Scenario Analysis; 1.3.4 Portfolio Theory; 1.3.5 Derivatives Risk Measures; 1.4 Value at Risk; 1.4.1 The Origin and Development of VaR; 1.4.2 Attractions of VaR; 1.4.3 Criticisms of VaR; Appendix: Types of Market Risk; 2 Measures of Financial Risk; 2.1 The Mean-Variance Framework for Measuring Financial Risk |
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2.2 Value at Risk2.2.1 Basics of VaR; 2.2.2 Determination of the VaR Parameters; 2.2.3 Limitations of VaR as a Risk Measure; 2.3 Coherent Risk Measures; 2.3.1 The Coherence Axioms and their implications; 2.3.2 The Expected Shortfall; 2.3.3 Spectral Risk Measures; 2.3.4 Scenarios as Coherent Risk Measures; 2.4 Conclusions; Appendix 1: Probability Functions; Appendix 2: Regulatory Uses of VaR; 3 Estimating Market Risk Measures: An Introduction and Overview; 3.1 Data; 3.1.1 Profit/Loss Data; 3.1.2 Loss/Profit Data; 3.1.3 Arithmetic Return Data; 3.1.4 Geometric Return Data |
3.2 Estimating Historical Simulation VaR3.3 Estimating Parametric VaR; 3.3.1 Estimating VaR with Normally Distributed Profits/Losses; 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns; 3.3.3 Estimating Lognormal VaR; 3.4 Estimating Coherent Risk Measures; 3.4.1 Estimating Expected Shortfall; 3.4.2 Estimating Coherent Risk Measures; 3.5 Estimating the Standard Errors of risk Measure Estimators; 3.5.1 Standard Errors of Quantile Estimators; 3.5.2 Standard Errors in Estimators of Coherent Risk Measures; 3.6 The Core Issues: An Overview; Appendix 1: Preliminary Data Analysis |
Appendix 2: Numerical Integration Methods4 Non-Parametric Approaches; 4.1 Compiling Historical Simulation Data; 4.2 Estimation of Historical Simulation VaR and ES; 4.2.1 Basic Historical Simulation; 4.2.2 Bootstrapped Historical Simulation; 4.2.3 Historical Simulation using Non-Parametric Density Estimation; 4.2.4 Estimating Curves and Surfaces for VAR and ES; 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES; 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES |
4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES4.4 Weighted Historical Simulation; 4.4.1 Age-Weighted Historical Simulation; 4.4.2 Volatility-Weighted Historical Simulation; 4.4.3 Correlation-Weighted Historical Simulation; 4.4.4 Filtered Historical Simulation; 4.5 Advantages and Disadvantages of Non-Parametric Methods; 4.5.1 Advantages; 4.5.2 Disadvantages; 4.6 Conclusions; Appendix 1: Estimating Risk Measures with Order Statistics; Appendix 2: The Bootstrap; Appendix 3: Non-Parametric Density Estimation |
Appendix 4: Principal Components Analysis and Factor Analysis |
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Sommario/riassunto |
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Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A's and case studies. |
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2. |
Record Nr. |
UNINA9910821043303321 |
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Titolo |
Integrated solid waste management : a life cycle inventory / / Forbes R. McDougall ... [et al.] |
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Pubbl/distr/stampa |
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Oxford ; ; Malden, MA, : Blackwell Science, 2001 |
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ISBN |
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9786611312893 |
9781281312891 |
1281312894 |
9780470999677 |
0470999675 |
9780470999660 |
0470999667 |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (548 p.) |
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Altri autori (Persone) |
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McDougallForbes R |
WhiteP (Peter) |
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Disciplina |
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Soggetti |
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Integrated solid waste management |
Product life cycle - Environmental aspects |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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New ed. of: Integrated solid waste management / P.R. White, M. Franke, P. Hindle. 1994. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Integrated Solid Waste Management: a Life Cycle Inventory; Contents; Where is the cradle of waste and where is the grave?; The cradle; The grave; What level of detail?; Preface; Currency conversion values; CONCEPTS AND CASE STUDIES; Chapter 1 Introduction; Summary; The aims of the book; What is waste?; The concerns over waste; The old concern - the conservation of resources; The new concerns - pollution and the deterioration of renewables; Sustainable Waste Management; Pollution; Objectives; Current approaches - legislation; End-of-pipe regulations; Strategic targets |
Economic costs of environmental improvementsInternalising external environmental costs; Building environmental objectives into the waste management system; An integrated approach to solid waste management; Chapter 2 Integrated Waste Management; Summary; The basic requirements of waste management; The generation of less |
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waste; The concept of Sustainable Waste Management; Characteristics of a Sustainable Waste Management system; An integrated system; Market oriented; Flexibility; Scale; Social acceptability; Development of the Integrated Waste Management concept |
Implementing Integrated Waste ManagementThe importance of a holistic approach; Paying for Integrated Waste Management; Waste management planning and the Hierarchy of Waste Management; Integrated Waste Management in countries with developing economies; IWM systems for countries with developing economies; Dumping and landfilling; Separation and treatment of organic waste; Recycling and scavenging; Incineration; The benefits of IWM to countries with developing economies; Modelling waste management - why model?; Previous modelling of waste management |
Using Life Cycle Assessment for Integrated Waste ManagementModels; Data; Chapter 3 The Development of Integrated Waste Management Systems: Case Studies and Their Analysis; Summary; Introduction; Case study format; Case studies; Difficulty of comparison; Common drivers; Legislation; IWM begins at a local level; System evolution; Case study details - schematic diagrams; Abbreviations; Definitions (see also Chapters 8-14); Pamplona, Spain, 1996; Summary - Pamplona; Collection; Treatment; Landfill; Additional information; Prato, Italy, 1997; Summary - Prato; Collection; Treatment; Landfill |
Additional informationBrescia, Italy, 1996; Summary - Brescia commune; Collection; Treatment; Landfill; Additional information; Hampshire, England, 1996/97; Summary - Hampshire; Collection; Treatment; Landfill; Additional information; Helsinki, Finland, 1997; Summary - Helsinki; Collection; Treatment; Landfill; Additional information; Lahn-Dill-Kreis, Germany, 1996; Summary - Lahn-Dill-Kreis; Collection; Treatment; Landfill; Additional information - how to move towards Integrated Waste Management; Vienna, Austria, 1996; Summary - Vienna; Collection; Treatment; Landfill; Additional information |
MalmoĢ Region, Sweden, 1996 |
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Sommario/riassunto |
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The first edition described the concept of Integrated Waste Management (IWM), and the use of Life Cycle Inventory (LCI) to provide a way to assess the environmental and economic performance of solid waste systems. Actual examples of IWM systems and published accounts of LCI models for solid waste are now appearing in the literature. To draw out the lessons learned from these experiences a significant part of this 2nd edition focuses on case studies - both of IWM systems, and of where LCI has been used to assess such systems. The 2nd edition also includes updated chapters on waste generation, w |
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