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About this product
- DescriptionIntroduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot.
- Author BiographyMax C.Y. Wong is a specialist in the area of risk modeling and Basel III. He started his career as a derivatives consultant at Credit Suisse First Boston in 1996. During the Asian crisis in 1998 he traded index futures at the open-outcry floor of SIMEX (now SGX). From 2003 to 2011, he worked for Standard Chartered Bank as a risk manager and senior quant. He is currently head of VaR model testing at the Royal Bank of Scotland. He has published papers on VaR models and Basel capital, recently looking at innovative ways to model risk more effectively during crises and to deal with the issues of procyclicality and Black Swan event in our financial system. He has spoken on the subject at various conferences and seminars. He holds a B.Sc. Physics from University of Malaya (1994) and a M.Sc. financial engineering from National University of Singapore (2004). He is an adjunct at Singapore Management University, a member of the editorial board of the Journal of Risk Management in Financial Institutions, and a member of the steering committee of PRMIA Singapore chapter.
- Author(s)Max C. Y. Wong
- PublisherJohn Wiley & Sons Inc
- Date of Publication12/04/2013
- GenreManagement & Business: General
- Series TitleWiley Finance
- Place of PublicationNew York
- Country of PublicationUnited States
- ImprintJohn Wiley & Sons Inc
- Content NoteIllustrations
- Weight706 g
- Width163 mm
- Height238 mm
- Spine26 mm
- Edition StatementRevised edition
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