My first acknowledgment is of course to Ruey S. Tsay and Steve. Quigley for giving me this opportunity to work on this handbook. It was a great honor for me that both of them thought about me for this project. I owe a very special debt of gratitude to both of them.
My thanks go to Paul Marshall and Ian Wace from Marshall Wace LLP. I hope they appreciate the merits of this work. I thank them for creating an environment where their risk team can freely challenge and discuss with the investment teams all matters of market risk.
My sincere thanks to Sebastian Ceria and Alessandro Michelini from Axioma; they gave me access to some of their internal documents and in particular their Axioma Robust Risk Model Handbook. Their extracts were crucial for this handbook, especially on building the fundamental multifactor model.
Sincere thanks to John Carter at Marshall Wace LLP for his support and review of my mathematical formulations, which have been extremely valuable especially for the volatility estimates. His constructive remarks helped to improve the content of this book.
Sincere thanks to Alessandro Orsaria at Marshall Wace LLP for his valuable research on correlation estimates; I hope this work will help him in furthering his studies.
Finally, my biggest debt is to my friend Clement Menace, whose support was essential for this book and especially regarding Basel II/III. His inputs have been invaluable.