calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational …

This article is dedicated to the assessment of the dynamic fractional asset pricing model for financial risk evaluation … risk management strategy. The article identifies recommendations for assessing financial risk based on mathematical methods … the financial risks of derivative financial instruments are positive. The authors conclude that the considered methods …

Benchmarking and Tactical Asset Allocation -- Part 4 Risk Management, Credit Risk and Credit Derivatives -- 26 Monte Carlo … Simulations -- 27 Value at Risk, Expected Shortfall and Other Risk Measures -- 28 Credit Risk (1) – Credit Risk Assessment …: Empirical Analysis and Modeling -- 29 Modeling Credit Risk (2): Credit-VaR and Operational Methods for Credit Risk Management …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

Chapter 1 Preliminaries -- Chapter 2 Risk and Expected Utility -- Chapter 3 Market Pricing and Market E ciency … investment risk, market pricing and market efficiency, arbitrage, hedging, and the pricing and application of financial …

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …