Understanding Risk: The Theory and Practice of Financial Risk Management

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CRC Press, Apr 23, 2008 - Mathematics - 472 pages
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Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a more informal style, giving readers a blend of analysis and intuition.

Divided into four parts, the book begins by introducing the basics of risk management and the behavior of financial instruments. The next section focuses on regulatory capital standards and models, addressing value-at-risk (VaR) models, portfolio credit risk, tranching, operational risk, and the Basel accords. The author then deals with asset/liability management (ALM) and liquidity management. The last part explores structured finance and a variety of new trading instruments, including inflation-linked products, sophisticated equity basket options, and convertible bonds.

With numerous exercises, figures, and examples throughout, this book offers valuable insight on various aspects of financial risk management.

 

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Contents

Chapter 1 Markets Risks and Risk Management in Context
3
Chapter 2 Derivatives and Quantitative Market Risk Management
79
Economic and Regluatory Capital Models
161
Motivation and Provision
163
Chapter 4 Market Risk Capital Models
177
Chapter 5 Credit Risk and Credit Risk Capital Models
201
Chapter 6 Operational Risk and Further Topics in Capital Estimation
247
Chapter 7 Bank Regulation and Capital Requirements
275
Chapter 9 Liquidity Risk Management
337
Some Trading Businesses and Their Challenges
359
Chapter 10 An Introduction to Structured Finance
361
Chapter 11 Novel Asset Classes Basket Products and CrossAsset Trading
391
Concluding Remarks
437
Figures
441
Index
445
Back cover
453

Treasury and Liquidity Risks
309
Chapter 8 The Treasury and AssetLiability Management
311

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Page ii - ... series aims to capture new developments and summarize what is known over the whole spectrum of this field. It will include a broad range of textbooks, reference works and handbooks that are meant to appeal to both academics and practitioners. The inclusion of numerical code and concrete real-world examples is highly encouraged. Series Editors MAH Dempster Dilip B. Madan Rama Cont Centre for Financial Robert H. Smith School Center for Financial Research of Business Engineering Judge Business School...
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