Publisher's Synopsis
A mathematical guide to measuring and managing financial risk.
Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important.
Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models.
Topics include:
Value at risk
Stress testing
Credit risk
Liquidity risk
Factor analysis
Expected shortfall
Copulas
Extreme value theory
Risk model backtesting
Bayesian analysis
. . . and much more
