Risk Measures for the 21st Century

In order to discuss developments in measurements of financial risk, a seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR! was held, co-sponsored by the University of Rome, La Sapienza, and the bank UBM of the UniCredito Group in the summer of 2001. This book is a collection of the papers from the invited speakers (all revised and updated) and additional contributions from other leading researchers in the field.