Chapman and Hall/CRC
May 15, 2020 Forthcoming
Reference - 1176 Pages - 385 B/W Illustrations
ISBN 9781138501874 - CAT# K39433
Series: Chapman and Hall/CRC Financial Mathematics Series
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Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management.
This comprehensive text 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.
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.