Quantitative Risk Management, + Website A Practical Guide to Financial Risk

by Coleman, Thomas S.; Litterman, Bob

• ISBN13: 9781118026588
• ISBN10: 1118026586
• Edition: 1st
• Format: Hardcover
• Copyright: 2012-05-08
• Publisher: Wiley

Summary

An updated guide to risk management for financial firms post crisis. Written by an experienced risk manager and quantitative analyst, the book updates the theories and tools used to assess, measure, and monitor risk with their applications. The book then presents a guide map for tactical and strategic decision-making to control risk and capitalize on opportunities. Risk management, like portfolio management, must become a core firm competency. Quantitative Risk Measurement serves as an updated tutorial that addresses the current state of risk management and presents improvements in the practice and implementation. From risk measures, probability, and regulatory issues to a typology of financial institution riks and portfolio risk analytics and reporting, Coleman provides the models, tools, and techniques firms need to fully integrate the best in risk management practices. Includes interactive graphs, and portfolio risk and analytics computer code, documentation, and risk-reporting.

Author Biography

Thomas S. Coleman has worked in the finance industry for more than twenty years and has considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman currently manages a risk advisory consulting firm. He is the author, together with Roger Ibbotson and Larry Fisher, of Historical U.S. Treasury Yield Curves.

Table of Contents

Foreword	p. ix
Preface	p. xiii
Acknowledgments	p. xvii
Managing Risk	p. 1
Risk Management versus Risk Measurement	p. 3
Risk, Uncertainty, Probability, and Luck	p. 15
Managing Risk	p. 67
Financial Risk Events	p. 101
Practical Risk Techniques	p. 137
Uses and Limitations of Quantitative Techniques	p. 169
Measuring Risk	p. 173
Introduction to Quantitative Risk Measurement	p. 175
Risk and Summary Measures: Volatility and VaR	p. 187
Using Volatility and VaR	p. 269
Portfolio Risk Analytics and Reporting	p. 311
Credit Risk	p. 377
Liquidity and Operational Risk	p. 481
Conclusion	p. 529
About the Companion Web Site	p. 531
References	p. 533
About the Author	p. 539
Index	p. 541
Table of Contents provided by Ingram. All Rights Reserved.