Introduction; 1. Quantifying the risks of trading: comparing and
contrasting the measurement of market risk (VaR) and counterparty exposure
Evan Picoult; 2. Value at risk analysis of a leveraged swap Sanjay
Srivastava; 3. Stress testing in a Value at Risk framework Paul H. Kupiec;
4. Dynamic portfolio replication using stochastic programming M. A. H.
Dempster and G. W. P. Thompson; 5. Credit and interest rate risk William
Perraudin, Rudiger Kiesel and Alex Taylor; 6. Coherent measures of risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath; 7.
Correlation and dependency in risk management: properties and pitfalls Paul
Embrechts, Alexander J. McNeil and Daniel Straumann; 8. Measuring risk with
extreme value theory Richard L. Smith; 9. Extremes in Operational Risk
management M. N. Kyriacou and E. A. Medova.
