Book description
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
- Examines market risk, credit risk, and operational risk
- Provides exceptional coverage of GARCH models
- Features online Excel-based empirical exercises
Table of contents
- Cover image
- Table of Contents
- Front Matter
- Copyright
- Dedication
- Preface
- Acknowledgments
-
1. Risk Management and Financial Returns
- 1. Chapter Outline
- 2. Learning Objectives
- 3. Risk Management and the Firm
- 4. A Brief Taxonomy of Risks
- 5. Asset Returns Definitions
- 6. Stylized Facts of Asset Returns
- 7. A Generic Model of Asset Returns
- 8. From Asset Prices to Portfolio Returns
- 9. Introducing the Value-at-Risk (VaR) Risk Measure
- 10. Overview of the Book
- Appendix. Return VaR and $VaR
- 2. Historical Simulation, Value-at-Risk, and Expected Shortfall
- 3. A Primer on Financial Time Series Analysis
- 4. Volatility Modeling Using Daily Data
- 5. Volatility Modeling Using Intraday Data
-
6. Nonnormal Distributions
- 1. Chapter Overview
- 2. Learning Objectives
- 3. Visualizing Nonnormality Using QQ Plots
- 4. The Filtered Historical Simulation Approach
- 5. The Cornish-Fisher Approximation to VaR
- 6. The Standardized t Distribution
- 7. The Asymmetric t Distribution
- 8. Extreme Value Theory (EVT)
- 9. Summary
- Appendix A. ES for the Symmetric and Asymmetric t Distributions
- Appendix B. Cornish-Fisher ES
- Appendix C. Extreme Value Theory ES
- 7. Covariance and Correlation Models
- 8. Simulating the Term Structure of Risk
- 9. Distributions and Copulas for Integrated Risk Management
- 10. Option Pricing
- 11. Option Risk Management
- 12. Credit Risk Management
- 13. Backtesting and Stress Testing
- Index
Product information
- Title: Elements of Financial Risk Management, 2nd Edition
- Author(s):
- Release date: November 2011
- Publisher(s): Academic Press
- ISBN: 9780080922430
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