Book description
A ONESTOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK
Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk.
Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a realworld setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features:
An introduction to financial markets
The historical perspective from market
events and diverse mathematics to the
valueatrisk
Return and volatility estimates
Diversification, portfolio risk, and
efficient frontier
The Capital Asset Pricing Model
and the Arbitrage Pricing Theory
The use of a fundamental
multifactors model
Financial derivatives instruments
Fixed income and interest rate risk
Liquidity risk
Alternative investments
Stress testing and back testing
Banks and Basel II/III
The Handbook of Market Risk is a musthave resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and largescale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.
Table of contents
 Cover
 Title page
 Copyright page
 Dedication
 Foreword
 Acknowledgments
 About the Author
 Introduction
 Chapter One: Introduction to Financial Markets
 Chapter Two: The Efficient Markets Theory

Chapter Three: Return and Volatility Estimates
 3.1 Standard Deviation
 3.2 Standard Deviation with a Moving Observation Window
 3.3 Exponentially Weighted Moving Average (EWMA)
 3.4 Double (Holt) Exponential Smoothing Model (DES)
 3.5 Principal Component Analysis (PCA) Models
 3.6 The VIX
 3.7 Geometric Brownian Motion Process
 3.8 GARCH
 3.9 Estimator Using the Highest and Lowest
 Chapter Four: Diversification, Portfolios of Risky Assets, and the Efficient Frontier
 Chapter Five: The Capital Asset Pricing Model and the Arbitrage Pricing Theory
 Chapter Six: Market Risk and Fundamental Multifactors Model
 Chapter Seven: Market Risk: A Historical Perspective from Market Events and Diverse Mathematics to the ValueatRisk
 Chapter Eight: Financial Derivative Instruments
 Chapter Nine: Fixed Income and Interest Rate Risk
 Chapter Ten: Liquidity Risk
 Chapter Eleven: Alternatives Investment: Targeting Alpha, Idiosyncratic Risk
 Chapter Twelve: Stress Testing and Back Testing
 Chapter Thirteen: Banks and Basel II/III
 Chapter Fourteen: Conclusion
 Index
 Wiley Handbooks in Financial Engineering and Econometrics
Product information
 Title: Handbook of Market Risk
 Author(s):
 Release date: December 2013
 Publisher(s): Wiley
 ISBN: 9781118127186
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