Quantitative Risk Management, +Website

State of the art risk management techniques and practices—supplemented with interactive analytics

All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that “risk management” is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm.

A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today’s complex financial markets.

  • Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting
  • Includes interactive graphs and computer code for portfolio risk and analytics
  • Explains why tactical and strategic decisions must be made at every level of the firm and portfolio

Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.

Table of Contents
Part I: Managing Risk
Chapter 1. Risk Management versus Risk Measurement
Chapter 2. Risk, Uncertainty, Probability, and Luck
Chapter 3. Managing Risk
Chapter 4. Financial Risk Events
Chapter 5. Practical Risk Techniques
Chapter 6. Uses and Limitations of Quantitative Techniques

Part II: Measuring Risk
Chapter 7. Introduction to Quantitative Risk Measurement
Chapter 8. Risk and Summary Measures: Volatility and VaR
Chapter 9. Using Volatility and VaR
Chapter 10. Portfolio Risk Analytics and Reporting
Chapter 11. Credit Risk
Chapter 12. Liquidity and Operational Risk
Chapter 13. Conclusion

Book Details

  • Hardcover: 558 pages
  • Publisher: Wiley (April 2012)
  • Language: English
  • ISBN-10: 1118026586
  • ISBN-13: 978-1118026588
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