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.
- 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
Table of Contents
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.
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.
"Exceptional in organization and presentation, the Handbook of Financial Risk Management is an ideal curriculum resource for students pursuing a master's degree in finance who want to learn risk management. While unreservedly recommended for college and university library Business Finance and Money Management instructional reference collections, it should be noted for the personal reading lists of students, academia, professional money managers, and non-specialist general readers with an interest in the subject"
—Midwest Book Review
"A textbook on risk management in the financial sector can become an epic story, if not only the vast amount of mathematical and statistical methods for risk measurement are included, but also developments in banking regulation. Exactly this is the aim of Roncalli's book, which is based on the authors’ lecture notes as well as an earlier, but less‐extensive French version, Roncalli (2004). The book is organized into three parts: the first part focuses on banking regulation, the second part focuses on risk measurement methods and the third explains the technical terms.
[. . .] Roncalli's work can not only be used as a textbook, but can also be used as an encyclopaedia for risk managers where all relevant concepts are explained in detail. Separating regulation from fundamental mathematical concepts is an approach that contributes to clarity."
—Royal Statistical Society
"Sound risk management is an imperative for of any financial company – today more than ever before. The Handbook of Financial Risk Management provides a comprehensive and state-of-the-art account of the key issues and methods, brought together by one of the leading scholars in this discipline. An excellent source for students and practitioners alike."
—Steffen Kern, Chief Economist and Head of Risk Analysis, European Securities and Markets Authority
Covering all aspects from the basics to cutting-edge topics like valuation adjustments and systemic risk, and rich with exercises tested by generations of students, it will be invaluable both as a textbook for quantitative finance programs and as a reference manual for the risk management professionals and regulators."
—Peter Tankov, Professor of Quantitative Finance, ENSAE ParisTech and the co-author of Financial Modelling with Jump Processes
"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
"The Handbook of Financial Risk Management first thoroughly analyzes the different types of problems faced by the financial sector, then provides us with the best tools available to address them.
Thierry's unique experience as a practitioner in different types of institutions and as an academic, put him in a privileged place from the start to achieve this double task and he did it beautifully!"
—Helyette Geman, Professor of Mathematical Finance at Birkbeck - University of London and Research Professor at Johns Hopkins University
"As only a talented teacher and seasoned professional can, Thierry Roncalli makes easy the understanding of all the major aspects of the quantitative risk management of financial institutions. With his rich academic and practical backgrounds, Roncalli knits together the diverse concepts and practical developments together in a comprehensive volume. The Handbook of Financial Risk Management is an absolute must for the novice and the practitioner who is looking to go deeper into the analytic aspects of risk assessment."
—Michel Crouhy, Senior Advisor, former Head of Research & Development, at Natixis. Chair of the Natixis Foundation for Research and Innovation
"While there are many quantitative finance texts out there, as a teacher I struggled for years to find a risk management textbook diving deep enough into quantitative aspects.
Thierry’s new book fills this gap, giving the quantitative risk management and financial regulation the place they deserve.
"Handbook of Risk Management is an impressive and comprehensive resource covering many aspects of risk in finance. It is hard to find a resource dealing consistently with such an amount of material, ranging across buy side and sell side, pricing/hedging and risk management, different asset classes and strategies. The technical level of the book is good but accessible. It is a very timely contribution from the renowned author Thierry Roncalli, who is well known in quantitative finance for his works on Copula Functions, Risk Premia, Risk Parity and many other areas."
—Prof. Damiano Brigo, Chair in Mathematics at Imperial College London, and Head of Mathematical Finance
"Handbook of Financial Risk Management (HFRM) achieves the remarkable feat of exposing in a comprehensive way all the practical aspects for risk management in financial industries from CVA to systemic risk while developing rigorously the mathematical and statistical tools for risk analysis. Each chapter is illustrated with several exercises which represent a valuable source for students.
This impressive volume has benefited from the rich experience of Thierry Roncalli as a recognized professional in quantitative research department of various institutions, and as a teacher in different universities. I already used a previous version of this manual for my course on risk management, and have no doubt that HFRM will become a textbook of reference for both practitioners in risk management and academics of quantitative finance Master programmes."
—Huyên PHAM, Professor of Applied Mathematics at Université de Paris, and Director of the Master programme M2MO: Random Modeling, Finance and Data Science (ex DEA Laure Elie).
"The Handbook of Risk Management is not one more book on quantitative finance and risk, it is the one that everyone interested in risk management need to have as a reference book. Students, teachers, financial risk analysts, regulators and other practitioners will find a comprehensive and detailed information about what they need to understand the theoretical concepts and tools to solve real-world problems. This book provides a full treatment of modelling techniques of quantitative risk management as well as a rigorous presentation of mathematical and statistical tools for risk analysis.
The author develops methods to study market risk, credit risk, and operational risk and important practical applications for management. The essential mathematical and statistical knowledge is given in the second part of the book. Based on the author’s teaching experience for master's students, this remarkable book will become a standard in this area."
—Monique Jeanblanc, Emeritus professor, Paris Saclay University