Handbook of Financial Risk Management: 1st Edition (Hardback) book cover

Handbook of Financial Risk Management

1st Edition

By Thierry Roncalli

Chapman and Hall/CRC

1,142 pages | 385 B/W Illus.

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Hardback: 9781138501874
pub: 2020-04-14
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Description

Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management.

This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them.

Key Features:

  • Written by an author with both theoretical and applied experience
  • Ideal resource for students pursuing a master’s degree in finance who want to learn risk management
  • Comprehensive coverage of the key topics in financial risk management
  • Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Reviews

Handbook of Financial Risk Management has the exceptional (and rare!) quality of bridging the practitioner-academic divide. Part 1 covers all the important practical applications for management and Part 2 provides the essential mathematical and statistical knowledge for modern risk analysts. Thierry’s expertise puts him in a unique position to author such a book and I am confident that it will be a standard reference in the field.

Carol Alexander, Professor of Finance, University of Sussex and Visiting Professor, Peking University PHBS Business School

Table of Contents

1. Introduction.

Part I Risk Management in the Financial Sector.

2. Market Risk.

3. Credit Risk.

4. Counterparty Credit Risk and Collateral Risk.

5. Operational Risk.

6. Liquidity Risk.

7. Asset Liability Management Risk.

8. Systemic Risk and Shadow Banking System.

Part II Mathematical and Statistical Tools.

9. Model Risk of Exotic Derivatives.

10. Statistical Inference and Model Estimation.

11. Copulas and Dependence Modeling.

12. Extreme Value Theory.

13. Monte Carlo Simulation Methods.

14. Stress Testing and Scenario Analysis.

15. Credit Scoring Models.

Conclusion

Appendix

About the Author

Thierry Roncalli is Head of Quantitative Research at Amundi Asset Management. He is also a Professor of Economics and Finance at the University of Evry. Dr. Roncalli has over 20 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in Economics from the University of Bordeaux.

About the Series

Chapman and Hall/CRC Financial Mathematics Series

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Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General