May 2012
Beginner
558 pages
15h 47m
English
About the Companion Web Site
Much of this book is technical and quantitative. We have provided supplementary material on an associated web site (www.wiley.com/go/qrm) to aid in the use and understanding of the tools and techniques discussed in the text. The material falls into two broad categories.
The first is a set of routines, written in matlab that implements the parametric estimation of portfolio volatility, together with basic portfolio tools such as contribution to risk and best hedges. These routines demonstrate the practical implementation of a risk measurement system. We assume that market history and portfolio sensitivities are supplied externally. The routines then calculate the portfolio volatility, volatility for various sub-portfolios, and best hedges and replicating portfolios. The objective is to provide routines that demonstrate the ideas discussed in the text. We do not aim to provide a working risk measurement system but instead to show how the ideas in the book are translated into working code.
The second set of materials is appendixes that expand on ideas in individual chapters in the form of interactive digital documents. For example, Figure 8.4 in the text explains VaR by means of the P&L distribution for a US Treasury bond. The digitally-enhanced appendix to Chapter 8 discusses the volatility but makes the discussion interactive. Using Wolfram's Computable Document Format the user can choose the VaR probability level, the instrument (bond, equity futures, ...
