Book description
State of the art risk management techniques and practices—supplemented with interactive analytics
All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm.
A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets.
Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting
Includes interactive graphs and computer code for portfolio risk and analytics
Explains why tactical and strategic decisions must be made at every level of the firm and portfolio
Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.
Table of contents
- Cover
- Series Page
- Title Page
- Copyright
- Dedication
- Foreword
- Preface
- Acknowledgments
- Part One: Managing Risk
-
Part Two: Measuring Risk
- Chapter 7: Introduction to Quantitative Risk Measurement
-
Chapter 8: Risk and Summary Measures: Volatility and VaR
- 8.1 Risk and Summary Measures
- 8.2 Comments Regarding Quantitative Risk Measures
- 8.3 Methods for Estimating the P&L Distribution
- 8.4 Techniques and Tools for Tail Events
- 8.5 Estimating Risk Factor Distributions
- 8.6 Uncertainty and Randomness—the Illusion of Certainty
- 8.7 Conclusion
- Appendix 8.1: Small-Sample Distribution of VaR and Standard Errors
- Appendix 8.2: Second Derivatives and the Parametric Approach
- Chapter 9: Using Volatility and VaR
-
Chapter 10: Portfolio Risk Analytics and Reporting
- 10.1 Volatility, Triangle Addition, and Risk Reduction
- 10.2 Contribution to Risk
- 10.3 Best Hedge
- 10.4 Replicating Portfolio
- 10.5 Principal Components and Risk Aggregation
- 10.6 Risk Reporting
- 10.7 Conclusion
- Appendix 10.1: Various Formulae for Marginal Contribution and Volatilities
- Appendix B: Stepwise Procedure for Replicating Portfolio
- Appendix C: Principal Components Overview
-
Chapter 11: Credit Risk
- 11.1 Introduction
- 11.2 Credit Risk versus Market Risk
- 11.3 Stylized Credit Risk Model
- 11.4 Taxonomy of Credit Risk Models
- 11.5 Static Structural Models
- 11.6 Static Reduced Form Models—CreditRisk+
- 11.7 Static Models—Threshold and Mixture Frameworks
- 11.8 Actuarial versus Equivalent Martingale (Risk-Neutral) Pricing
- 11.9 Dynamic Reduced Form Models
- 11.10 Conclusion
- Appendix 11.1: Probability Distributions
- Chapter 12: Liquidity and Operational Risk
- Chapter 13: Conclusion
- About the Companion Web Site
- References
- About the Author
- Index
Product information
- Title: Quantitative Risk Management: A Practical Guide to Financial Risk, + Website
- Author(s):
- Release date: May 2012
- Publisher(s): Wiley
- ISBN: 9781118026588
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