• 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.

"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association

• 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.

"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association

• 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.

"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association