It is not necessary to emphasize the importance of risk management in view of the daily media information about the consequences of the worldwide financial crises, company bankruptcies, and other emergencies. If you do not want to get into a crisis, you need to conduct effective risk management. Whereas in the past the methods of risk measurement were more qualitative and intuitive, today more than ever objectively comprehensible methods gain in importance - independent of the subjective risk assessment of the manager.
In this book, the well known value-at-risk concept is a main focus. In this book, Thomas Wolke presents the subject systematically and addresses the problem areas of risk management both in detail and concretely. For example, new methods of risk measurement and analysis as well as risk control will be discussed in detail. This includes quantitative and qualitative risk measurement, risk analysis based on the RoRaC and various management tools for risk control. Finally, the author also presents the risk controlling in more detail and combines the findings gained in a practical case study. The importance of correlations has been taken into account and extensive examples have been added in order to better illustrate the effects of correlations on the basis of suitable graphics. The historical simulation is relatively widespread in theory and practice. Therefore, a comprehensive example of the historical simulation has been included in order to clarify the characteristics and procedures for the different calculation methods of the value at risk. Finally, the Lower Partial Moments is also illustrated by an example.
The English edition extends the scope of use to the English-language bachelor's and master's degree courses in economics and for potential use (especially as a reference work) in the professional practice of risk management.
