January 2024
Intermediate to advanced
224 pages
5h 4m
English
Content preview from Financial Risk Management
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Acknowledgements
Obviously, the list of those who deserve my gratitude is extensive and far‐reaching. Going to the origin, I wish to salute my friend Marc Bertoneche who generously shared with me the project of this book, offered by Wiley, which he had to give up for health issues. His support has been unwavering since my PhD.
I am also grateful to Thierry Roncalli, Head of Quant Portfolio Strategy at Amundi Asset Management, for his help each time I had issues with GAUSS coding. Part II of this textbook and the toy examples dealing with banking regulation are highly inspired by the materials he developed.
I also thank Pierre Pourquery, Partner at EY and Head of Capital Markets, and Helyette Geman, Research Professor at Johns Hopkins University and ‘Financial Engineer of the Year 2022’, for having initiated a fruitful collaboration about conduct risk. I have benefited from the high level of their knowledge and unique professional experience.
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