A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICALMETHODOLOGIES OF MARKET RISK
Understanding and investigating the impacts of market risk onthe financial landscape is crucial in preventing crises. Written bya hedge fund specialist, the Handbook of Market Risk is thecomprehensive guide to the subject of market risk.
Featuring a format that is accessible and convenient, thehandbook employs numerous examples to underscore the application ofthe material in a real-world setting. The book starts byintroducing the various methods to measure market risk whilecontinuing to emphasize stress testing, liquidity, and interestrate implications. Covering topics intrinsic to understanding andapplying market risk, the handbook features:
* An introduction to financial markets
* The historical perspective from market
* events and diverse mathematics to the
* value-at-risk
* Return and volatility estimates
* Diversification, portfolio risk, and
* efficient frontier
* The Capital Asset Pricing Model
* and the Arbitrage Pricing Theory
* The use of a fundamental
* multi-factors model
* Financial derivatives instruments
* Fixed income and interest rate risk
* Liquidity risk
* Alternative investments
* Stress testing and back testing
* Banks and Basel II/III
The Handbook of Market Risk is a must-have resource forfinancial engineers, quantitative analysts, regulators, riskmanagers in investments banks, and large-scale consultancy groupsadvising banks on internal systems. The handbook is also anexcellent text for academics teaching postgraduate courses onfinancial methodology.