Market Risk Analysis
by Alexander, CarolEdition: 1st
Format: Hardcover
Pub. Date: 2009-02-24
Publisher(s): Wiley
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Summary
The Market Risk Analysis, 4 Volume Set provides a rigorous explanation of the key theoretical ideas that market model developers are faced with, delivered in practical, clear terms. Developers are faced with many decisions about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation - therefore, these books help risk managers, quantitative traders and investment analysts make the right decisions. The only mathematics book to be written specifically for finance, this book covers calculus, linear algebra, probability, statistics and regression, numerical methods in finance and portfolio mathematics. The author uses real world examples and provides a clear, concise coverage of the essential mathematics needed for finance.
Author Biography
Carol Alexander is one of the world’s leading authorities on market risk analysis. She is Professor of Financial Risk Management at the ICMA Centre, University of Reading where she directs a vibrant research group focusing on quantitative financial risk management. In her role as Chair of the Academic Advisory Council of the Professional Risk Manager’s International Association (PRMIA) she has been a driving force for the setting of global standards in the financial risk management profession. Her untiring work on the Professional Risk Manager’s Handbook and on classroom and distance learning training courses now provides the means to achieve these standards. She has published around 100 academic journal articles, book chapters and books, and now ranks amongst the world’s best-known authors in financial risk management and quantitative finance.
Table of Contents
Volume I, Quantitative Methods in Finance.
List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume I.
I.1 Basic Calculus for Finance.
I.2 Essential Linear Algebra for Finance.
I.3 Probability and Statistics.
I.4 Introduction to Linear Regression.
I.5 Numerical Methods in Finance.
I.6 Introduction to Portfolio Theory.
References.
Statistical Tables.
Index.
Volume II, Practical Financial Econometrics.
List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume II.
II.1 Factor Models.
II.2 Principal Component Analysis.
II.3 Classical Models of Volatility and Correlation.
II.4 Introduction to GARCH Models.
II.5 Time Series Models and Cointegration.
II.6 Introduction to Copulas.
II.7 Advanced Econometric Models.
II.8 Forecasting and Model Evaluation.
References.
Index.
Volume III, Pricing, Hedging and Trading Financial Instruments.
List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume III.
III.1 Bonds and Swaps.
III.2 Futures and Forwards.
III.3 Options.
III.4 Volatility.
III.5 Portfolio Mapping.
References.
Index.
Volume IV, Value at Risk Models.
List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume IV.
IV.1 Value at Risk and Other Risk Metrics.
IV.2 Parametric Linear VaR Models.
IV.3 Historical Simulation.
IV.4 Monte Carlo VaR.
IV.5 Value at Risk for Option Portfolios.
IV.6 Risk Model Risk.
IV.7 Scenario Analysis and Stress Testing.
IV.8 Capital Allocation.
References.
Index.
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