Coleman Quantitative Risk Management

A Practical Guide to Financial Risk
1. Auflage 2012
ISBN: 978-1-118-23593-5
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 576 Seiten, E-Book

Reihe: Wiley Finance Editions

State of the art risk management techniques andpractices--supplemented with interactive analytics
All too often risk management books focus on risk measurementdetails without taking a broader view. Quantitative RiskManagement delivers a synthesis of common sense managementtogether with the cutting-edge tools of modern theory. This bookpresents a road map for tactical and strategic decision makingdesigned to control risk and capitalize on opportunities. Mostprovocatively it challenges the conventional wisdom that "riskmanagement" is or ever should be delegated to a separatedepartment. Good managers have always known that managing risk iscentral to a financial firm and must be the responsibility ofanyone who contributes to the profit of the firm.
A guide to risk management for financial firms and managers inthe post-crisis world, Quantitative Risk Management updatesthe techniques and tools used to measure and monitor risk. Theseare often mathematical and specialized, but the ideas are simple.The book starts with how we think about risk and uncertainty, thenturns to a practical explanation of how risk is measured in today'scomplex financial markets.
* Covers everything from risk measures, probability, andregulatory issues to portfolio risk analytics and reporting
* Includes interactive graphs and computer code for portfoliorisk and analytics
* Explains why tactical and strategic decisions must be made atevery level of the firm and portfolio
Providing the models, tools, and techniques firms need to buildthe best risk management practices, Quantitative RiskManagement is an essential volume from an experienced managerand quantitative analyst.

Autoren/Hrsg.

Coleman, Thomas S.

Weitere Mitwirkende

Litterman, Bob

Inhaltsverzeichnis

Foreword ix
Preface xiii
Acknowledgments xvii
PART ONE Managing Risk 1
CHAPTER 1 Risk Management versus Risk Measurement 3
CHAPTER 2 Risk, Uncertainty, Probability, and Luck 15
CHAPTER 3 Managing Risk 67
CHAPTER 4 Financial Risk Events 101
CHAPTER 5 Practical Risk Techniques 137
CHAPTER 6 Uses and Limitations of Quantitative Techniques 169
PART TWO Measuring Risk 173
CHAPTER 7 Introduction to Quantitative Risk Measurement 175
CHAPTER 8 Risk and Summary Measures: Volatility and VaR 187
CHAPTER 9 Using Volatility and VaR 269
CHAPTER 10 Portfolio Risk Analytics and Reporting 311
CHAPTER 11 Credit Risk 377
CHAPTER 12 Liquidity and Operational Risk 481
CHAPTER 13 Conclusion 529
About the Companion Web Site 531
References 533
About the Author 539
Index 541

Über Autor(innen)

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.