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Handbook of financial risk management / Thierry Roncalli.

By: Roncalli, Thierry [author.]Material type: Text

TextSeries: Publisher: Boca Raton, FL : CRC Press, 2020Description: 1 online resource (xxxiv, 1142 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781315144597; 131514459X; 9781351385220; 1351385224; 9781351385237; 1351385232Subject(s): Financial risk management -- Handbooks, manuals, etc | Risk management -- Mathematical models -- Handbooks, manuals, etcDDC classification: 658.15/5 LOC classification: HD61 | .R663 2020ebOnline resources: Taylor & Francis | OCLC metadata license agreement

Contents:

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. ConclusionAppendix

Summary: 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. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master's degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

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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. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master's degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

OCLC-licensed vendor bibliographic record.