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 …

Beyond Value at Risk: The New Science of Risk Management. Skip to main content Durham
Research Online (DRO) Home Research Outputs People Faculties and Departments …

Optimization methods play a central role in financial modeling. This textbook is devoted to
explaining how state-of-the-art optimization theory, algorithms, and software can be used to …

This paper compares the evolution of long-run inflation expectations in the euro area and
the United States, using evidence from financial markets and surveys of professional …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets,
primarily loans and securities. To this end, we use regulatory data on individual swap …

The London Interbank Offered Rate (LIBOR), the predominant family of global short-term
rate benchmarks for the past 40 years, ceased to exist in June 2023. Given the low volumes …

This article offers a new class of models for the term structure of forward interest rates. We
allow each instantaneous forward rate to be driven by a different stochastic shock, but …

Combining their corporate and academic experiences, Jamil Baz and George Chacko offer
financial analysts a complete, succinct account of the principles of financial derivatives …

" Sustainability" is often used in a qualitative sense. However, there is at present a great
need to quantitatively measure (and monitor) its many qualitative aspects in real systems …