Risk Management and Simulation - Gupta, Aparna (Boca Raton CRC Press, 2014)
I Risk and Regulation Defining Risk Types of Risk Getting Started with Modeling Risk MATLAB Tools for Distributions Framework for Risk Management How to Handle Risk? Example Contexts to Apply the Framework MATLAB Tools for Risk Measures Regulations and Risk Management Regulations Overview Regulations and Banking Regulations and Investment Banking Regulations and Insurance II Modeling and Simulation of Risk Principles of Simulation and Generating Random Variates Principles of Simulation Random Number Generation Generation of Discrete Random Variates Generation of Continuous Random Variates Testing Random Variates Validation of Model Output Analysis MATLAB Tools for Simulation Modeling Risk Evolving over Time Stochastic Processes Discrete-Time Evolution of Risk Continuous-Time Evolution of Risk Modeling Correlation MATLAB Tools for Modeling Risk Evolving over Time Building and Solving Models of Risk Deterministic Financial Modeling Introducing Stochasticity in the Modeling Defining New Integrals Analytical Solutions Solving Models Using Simulation Estimating Parameters MATLAB Tools for Building and Solving Models of Risk III Risk Management Managing Equity Market Risk Mitigating Equity Risk Transferring Equity Risk Equity Hedging Strategies MATLAB Tools for Equity and Portfolios Managing Interest Rates and Other Market Risks Pricing Fixed Income Instruments Interest-Rate Risk Management Managing Commodities Risk Managing Foreign Exchange Risk Value-at-Risk and Stress Testing for Market Risk Management MATLAB Tools for Fixed Income, Commodities, and Exchange Rates Credit Risk Management Retail Credit Risk Commercial Credit Risk Credit Risk Hedging Instruments Portfolio Credit Risk Management MATLAB Tools for Credit Risk Strategic, Business, and Operational Risk Management Strategic Risk Management Business Risk Management Asset-Liability Management Operational Risk Management Risk Management Using Insurance Basic Concepts of Insurance Principle behind Insurance Types of Insurance Risk Management Framework for Pure Risk Risk Management by Insurers IV Advanced Simulation Advanced Simulation Topics Variance Reduction Techniques Simulation-Based Optimization MATLAB Tools for Variance Reduction and Optimization Bibliography Index Chapters include a summary as well as review questions and exercises.
Keywords: Risk management / Risk management - Simulation methods