Handbook of Financial Risk Management

ISBN-13: 9781138501874 / Angielski / Twarda / 2020 / 1176 str.

Thierry Roncalli

Opis

Handbook of Financial Risk Management offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them.

 

Spis treści

1.  Introduction. Part I Risk Management in the Financial Sector. 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidity Risk. 7. Asset Liability Management Risk. 8. Systemic Risk and Shadow Banking System. Part II Mathematical and Statistical Tools. 9. Model Risk of Exotic Derivatives. 10. Statistical Inference and Model Estimation. 11. Copulas and Dependence Modeling. 12. Extreme Value Theory. 13. Monte Carlo Simulation Methods. 14. Stress Testing and Scenario Analysis. 15. Credit Scoring Models.

O autorze

Thierry Roncalli is Head of Quantitative Research at Amundi Asset Management. He is also a Professor of Economics and Finance at the University of Evry. Dr. Roncalli has over 20 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in Economics from the University of Bordeaux.