Mastering Risk Volume 2: Applications

Every company is exposed to financial risk, but some are more exposed than others. This book will help you understand and control the financial risk for your institution.

Developing the concepts of risk management discussed in the first volume in this set, Mastering Risk Volume 2: Applications examines the latest methods for modelling, measuring and managing market, credit and operational risks.

No business is risk-free. Be prepared.

• Introduction
  Carol Alexander

1. Market Risk
• Introduction
  Carol Alexander
• Efficient Monte Carlo methods for Value-at-Risk
  Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
• Orthogonal GARCH
  Carol Alexander
• Strike-adjusted spread: a new metric for estimating the value of equity options
  Joseph Zou, Emanuel Derman
• Recent advances in more realistic market risk management: the hyperbolic model
  Ernst Eberlein
• Cointegration: the new risk relationship
  Jin-Chuan Duan
• Managing model risk
  Riccardo Rebonato
2. Credit Risk
• Introduction
  Carol Alexander
• What wags the tail? Identifying the key assumptions in models of portfolio credit risk
  Michael B. Gordy
• Modeling default correlation in bond portfolios
  Mark Davis, Violet Lo
• Pricing the risk of default
  Dilip B. Madan
• The estimation of default probabilities: a review of alternative methodologies and why they give different results
  John Hull, Alan White
3. Operational Risk
• Introduction
  Carol Alexander
• Mathematical techniques for pricing and hedging operational risk
  Marcelo Cruz
• Designing an operational risk framework from a bottom-up perspective
  Tony Peccia
• The Bayesian approach to measuring operational risk
  Carol Alexander
• Operational risk and regulatory capital
  David Murphy

Part two of FTs introduction to Risk Management.