Publications

Quantitative Financial Risk Management

Type
Link
Cost
Paid
Published
2018

Quantitative Financial Risk Management is the ultimate mathematical guide to measuring and managing financial risk. It is a textbook designed to teach students about 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.

Quantitative Financial Risk Management covers:
  • Value at risk
  • Stress testing
  • Credit risk
  • Liquidity risk
  • Factor analysis
  • Expected shortfall
  • Copulas
  • Extreme value theory
  • Risk model backtesting
  • Risk attribution
  • Bayesian analysis