Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk, 2nd Edition

About the Companion Website

This book has an associated website (www.wiley.com/go/frm2e) containing Microsoft Excel spreadsheets that can be used to experiment with many of the concepts covered in the text. Most of the book's exercises are built around these calculators. Full documentation of the spreadsheets is contained in an accompanying Word document on the website. This appendix briefly describes the spreadsheets that are available. They are listed in the order you will encounter them in the text.

I have chosen to build all of these calculators in Excel with minimal use of user-defined functions for two reasons:

1. By using Excel rather than a programming language, I am hoping to maximize the number of readers who will be able to follow the calculations.
2. By minimizing user-defined functions, I am making the machinery of the computations as visible as possible.

These calculators have all been built specifically to illustrate the material of this book (and the course I teach on which the book is based). They are not designed to be used to actually manage risk positions. Specifically, they don't include the sort of detail, such as day count conventions, that is important in a trading environment. This sort of detail can be distracting when trying to learn broad concepts. For similar reasons, I have often chosen simple alternatives over more complex ones to illustrate a point. For example, I have chosen to represent volatility smile and skew through a simple formula that favors ...