A mathematical guide to measuring and managing financial risk.
Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important.
Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models.
Topics include:
• Value at risk
• Stress testing
• Credit risk
• Liquidity risk
• Factor analysis
β¦ Table of Contents
Preface viiAbout the Author ix1 Overview of Financial Risk Management 12 Market Risk: Standard Deviation 153 Market Risk: Value at Risk 514 Market Risk: Expected Shortfall, and Extreme ValueTheory 735 Market Risk: Portfolios and Correlation 916 Market Risk: Beyond Correlation 1197 Market Risk: Risk Attribution 1518 CreditRisk 1679 Liquidity Risk 18910 Bayesian Analysis 20511 Behavioral Economics and Risk 231Appendix A Maximum Likelihood Estimation 247Appendix B Copulas 253Answers to End-of-Chapter Questions 257References 295Index 297
β¦ Subjects
Financial risk management