Ebook: Elements of Financial Risk Management + Exercises and Solutions

Academic Press – 2011, 326 pages, 2nd edition.
ISBN: 0123744482, 9780123744487.
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, support its step-by-step approach to choosing tools and solving problems.Contents:
Background.
Risk Management and Financial Returns.
The Dangers of VaR and Historical Simulation.
A Primer on Financial Econometrics. NEW.
Portfolio Level Risk Models.
Volatility Modeling using Daily Returns.
Volatility Modeling using Intraday Returns. NEW.
Modeling the Conditional Distribution.
Asset Level Risk Models.
Correlation Modeling.
Copula Models and Integrated Risk Management. NEW.
Simulating the Term Structure of Risk.
Further Topics.
Option Pricing.
Option Risk Management.
CDS Pricing and Credit Risk Management. NEW.
Backtesting and Stress Testing.