Description
Book SynopsisMarket Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications.
Table of ContentsVolume 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.
