Quantitative Financial Risk Management
1st Edition
Published on 8. November 2018
320 pages
978-1-119-52223-2 (ISBN)
Description
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
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Michael B. Miller
Quantitative Financial Risk Management
Book
12/2018
1st Edition
Wiley
€79.00
Shipment within 15-20 days
Content
- Cover
- Title Page
- Copyright
- Contents
- Preface
- About the Author
- 1 Overview of Financial Risk Management
- What Is Risk?
- Absolute, Relative, and Conditional Risk
- Intrinsic and Extrinsic Risk
- Risk and Standard Deviation
- What Is Financial Risk Management?
- Types of Financial Risk
- Market Risk
- Credit Risk
- Liquidity Risk
- Operational Risk
- Enterprise Risk
- What Does a Risk Manager Do?
- A Very Brief History of Risk Management
- The Future of Risk Management
- 2 Market Risk: Standard Deviation
- Risk and Standard Deviation
- Averages
- Population and Sample Data
- Discrete Random Variables
- Continuous Random Variables
- Expectations
- Variance and Standard Deviation
- Standard Deviation with Decay
- GARCH
- Moments
- Skewness
- Kurtosis
- Jump-Diffusion Model
- Dollar Standard Deviation
- Annualization
- End-of-Chapter Questions
- 3 Market Risk: Value at Risk
- What Is Value at Risk?
- Delta-Normal VaR
- Historical VaR
- Hybrid VaR
- Monte Carlo Simulation
- Cornish-Fisher VaR
- Backtesting
- End-of-Chapter Questions
- 4 Market Risk: Expected Shortfall, and Extreme Value Theory
- Coherent Risk Measures
- Monotonicity
- Positive Homogeneity
- Translation Invariance
- Subadditivity
- Expected Shortfall
- Extreme Value Theory
- End-of-Chapter Questions
- 5 Market Risk: Portfolios and Correlation
- Covariance
- Correlation
- Portfolio Variance and Hedging
- Linear Regression (Univariate)
- Ordinary Least Squares
- Estimating the Parameters
- Evaluating the Regression
- Linear Regression (Multivariate)
- Multicollinearity
- Estimating the Parameters
- Evaluating the Regression
- Stress Testing
- Delta-Normal Model
- Cholesky Decomposition and Monte Carlo Simulations
- End-of-Chapter Questions
- 6 Market Risk: Beyond Correlation
- Coskewness and Cokurtosis
- Multivariate Distributions
- Discrete Distributions
- Continuous Distributions
- Visualization
- Correlation
- Marginal Distributions
- Copulas
- What Is a Copula?
- Graphing Copulas
- Using Copulas in Simulations
- Parameterization of Copulas
- Independent and Identically Distributed Random Variables
- End-of-Chapter Questions
- 7 Market Risk: Risk Attribution
- Factor Analysis
- Incremental VaR
- Diversification
- Diworsification
- Diversification Score
- Diversification Index
- Risk-Adjusted Performance
- Choosing Statistics
- End-of-Chapter Questions
- 8 Credit Risk
- Default Risk and Pricing
- Bond Pricing
- Default and Recovery
- Risk-Neutral Default Estimates versus Actual Default Estimates
- Yield
- Determining the Probability of Default
- Traditional Ratings Approach
- Transition Matrices
- Quantitative Approach
- Portfolio Credit Risk
- Probability of n Defaults
- Monte Carlo Simulation
- Reducing Credit Risk
- End-of-Chapter Questions
- 9 Liquidity Risk
- What Is Liquidity Risk?
- The Demand for Liquidity
- The Supply of Liquidity
- Simple Liquidity Measures
- Weighted Average Days Volume
- Liquidity Schedule
- Liquidity Cost Models
- Exogenous Liquidity Models
- Endogenous Liquidity Models
- Volume-Weighted Average Price
- Optimal Liquidation
- End-of-Chapter Questions
- 10 Bayesian Analysis
- Conditional Probability
- Overview of Bayesian Analysis
- Bayes' Theorem
- Bayesians versus Frequentists
- Many-State Problems
- Continuous Distributions
- Bayesian Networks
- Bayesian Networks versus Correlation Matrices
- End-of-Chapter Questions
- 11 Behavioral Economics and Risk
- Utility Functions
- Loss Aversion
- Utility under Uncertainty
- Low-Probability Events
- Relative Utility
- Heuristics and Biases
- Representativeness
- Availability
- Anchoring
- The Endowment Effect
- A Word of Caution
- End-of-Chapter Questions
- Appendix A Maximum Likelihood Estimation
- Appendix B Copulas
- Answers to End-of-Chapter Questions
- References
- Index
- EULA
