1998 LI 000114 PAR ges


La gestión del riesgo de mercado y de crédito

Nuevas técnicas de valoración

George Parker, Kenneth Singleton, Giovanni Carosio, Robert Cohen, Javier de la Cruz, Jean Dermine, Bruno Dupire, Arturo de la Lama, Stephen F. Myers, David Shimko

Social Sciences > Economics > Finance

The control and management of financial risks, highly topical issues of great relevance today in the banking business, have been transformed in recent years into one of the most significant difficulties that must be faced by financial institutions of any kind. Professionals and experts called by the BBV Foundation to the conference on Market and Credit Risk Management agree on the need to apply new valuation methodologies that allow a professional and realistic management of risks. The first two parts of this book describe the new risk management techniques, particularly with the analysis of the concept of Value at Risk (VaR), and the corresponding control mechanisms; they end by studying the problem from the point of view of supervision and the recent proposals by the Basel Committee with respect to market and credit risks.