Chapman and Hall/CRC
1,142 pages | 385 B/W Illus.
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.
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
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.