Quantitative Risk Management Tools for Practitioners

Roy E. DeMeo
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Roy E. DeMeo: Wells Fargo & Co.

A chapter in Commercial Banking Risk Management, 2017, pp 253-280 from Palgrave Macmillan

Abstract: Abstract In this chapter, we give an overview of the techniques many banks and investment firms use to satisfy regulatory capital requirements and internally manage their overall market risk. Our focus here is not how front desks hedge their positions, but rather methods aimed at protecting the firm from major losses from market moves or credit events over a given time horizon.

Keywords: Credit Default Swap; Credit Spread; Normal Mixture; Tail Risk; Historical Shift (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-59442-6_12

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DOI: 10.1057/978-1-137-59442-6_12

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