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- Quantitative Financial Risk Management
Quantitative Financial Risk Management
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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 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 students to think about the limits and appropriate use of financial risk models.
Topics covered include:
* Value at risk
* Stress testing
* Credit risk
* Liquidity risk
* Factor analysis
* Expected shortfall
* Copulas
* Extreme value theory
* Risk model backtesting
* Risk attribution
* Bayesian analysis
* and much more...
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