Quantitative Financial Risk Management.

Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Author -- 1 Overview of Financial Risk Management -- What Is Risk? -- Absolute, Relative, and Conditional Risk -- Intrinsic and Extrinsic Risk -- Risk and Standard Deviation -- What Is Financial Risk Management? -- Types of Financial Risk -- Market Risk -- Credit Risk -- Liquidity Risk -- Operational Risk -- Enterprise Risk -- What Does a Risk Manager Do? -- A Very Brief History of Risk Management -- The Future of Risk Management -- 2 Market Risk: Standard Deviation -- Risk and Standard Deviation -- Averages -- Population and Sample Data -- Discrete Random Variables -- Continuous Random Variables -- Expectations -- Variance and Standard Deviation -- Standard Deviation with Decay -- GARCH -- Moments -- Skewness -- Kurtosis -- Jump-Diffusion Model -- Dollar Standard Deviation -- Annualization -- End-of-Chapter Questions -- 3 Market Risk: Value at Risk -- What Is Value at Risk? -- Delta-Normal VaR -- Historical VaR -- Hybrid VaR -- Monte Carlo Simulation -- Cornish-Fisher VaR -- Backtesting -- End-of-Chapter Questions -- 4 Market Risk: Expected Shortfall, and Extreme Value Theory -- Coherent Risk Measures -- Monotonicity -- Positive Homogeneity -- Translation Invariance -- Subadditivity -- Expected Shortfall -- Extreme Value Theory -- End-of-Chapter Questions -- 5 Market Risk: Portfolios and Correlation -- Covariance -- Correlation -- Portfolio Variance and Hedging -- Linear Regression (Univariate) -- Ordinary Least Squares -- Estimating the Parameters -- Evaluating the Regression -- Linear Regression (Multivariate) -- Multicollinearity -- Estimating the Parameters -- Evaluating the Regression -- Stress Testing -- Delta-Normal Model -- Cholesky Decomposition and Monte Carlo Simulations -- End-of-Chapter Questions -- 6 Market Risk: Beyond Correlation -- Coskewness and Cokurtosis.

Multivariate Distributions -- Discrete Distributions -- Continuous Distributions -- Visualization -- Correlation -- Marginal Distributions -- Copulas -- What Is a Copula? -- Graphing Copulas -- Using Copulas in Simulations -- Parameterization of Copulas -- Independent and Identically Distributed Random Variables -- End-of-Chapter Questions -- 7 Market Risk: Risk Attribution -- Factor Analysis -- Incremental VaR -- Diversification -- Diworsification -- Diversification Score -- Diversification Index -- Risk-Adjusted Performance -- Choosing Statistics -- End-of-Chapter Questions -- 8 Credit Risk -- Default Risk and Pricing -- Bond Pricing -- Default and Recovery -- Risk-Neutral Default Estimates versus Actual Default Estimates -- Yield -- Determining the Probability of Default -- Traditional Ratings Approach -- Transition Matrices -- Quantitative Approach -- Portfolio Credit Risk -- Probability of n Defaults -- Monte Carlo Simulation -- Reducing Credit Risk -- End-of-Chapter Questions -- 9 Liquidity Risk -- What Is Liquidity Risk? -- The Demand for Liquidity -- The Supply of Liquidity -- Simple Liquidity Measures -- Weighted Average Days Volume -- Liquidity Schedule -- Liquidity Cost Models -- Exogenous Liquidity Models -- Endogenous Liquidity Models -- Volume-Weighted Average Price -- Optimal Liquidation -- End-of-Chapter Questions -- 10 Bayesian Analysis -- Conditional Probability -- Overview of Bayesian Analysis -- Bayes' Theorem -- Bayesians versus Frequentists -- Many-State Problems -- Continuous Distributions -- Bayesian Networks -- Bayesian Networks versus Correlation Matrices -- End-of-Chapter Questions -- 11 Behavioral Economics and Risk -- Utility Functions -- Loss Aversion -- Utility under Uncertainty -- Low-Probability Events -- Relative Utility -- Heuristics and Biases -- Representativeness -- Availability -- Anchoring.

The Endowment Effect -- A Word of Caution -- End-of-Chapter Questions -- Appendix A Maximum Likelihood Estimation -- Appendix B Copulas -- Answers to End-of-Chapter Questions -- References -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.