A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK
Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the
Handbook of Market Risk
is the comprehensive guide to the subject of market risk.
Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying 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
is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.