Quantitative Financial Risk Management by Miller, Michael B. -- Read -- Imperial Library of Trantor

Index

COVER TABLE OF CONTENTS PREFACE ABOUT THE AUTHOR 1 OVERVIEW OF FINANCIAL RISK MANAGEMENT

WHAT IS RISK? WHAT IS FINANCIAL RISK MANAGEMENT? TYPES OF FINANCIAL RISK WHAT DOES A RISK MANAGER DO? A VERY BRIEF HISTORY OF RISK MANAGEMENT THE FUTURE OF RISK MANAGEMENT NOTE

2 MARKET RISK: STANDARD DEVIATION

RISK AND STANDARD DEVIATION AVERAGES EXPECTATIONS VARIANCE AND STANDARD DEVIATION STANDARD DEVIATION WITH DECAY GARCH MOMENTS SKEWNESS KURTOSIS JUMP-DIFFUSION MODEL DOLLAR STANDARD DEVIATION ANNUALIZATION END-OF-CHAPTER QUESTIONS NOTES

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 EXPECTED SHORTFALL EXTREME VALUE THEORY END-OF-CHAPTER QUESTIONS

5 MARKET RISK: PORTFOLIOS AND CORRELATION

COVARIANCE CORRELATION PORTFOLIO VARIANCE AND HEDGING LINEAR REGRESSION (UNIVARIATE) LINEAR REGRESSION (MULTIVARIATE) 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 COPULAS INDEPENDENT AND IDENTICALLY DISTRIBUTED RANDOM VARIABLES END-OF-CHAPTER QUESTIONS

7 MARKET RISK: RISK ATTRIBUTION

FACTOR ANALYSIS INCREMENTAL VR DIVERSIFICATION RISK-ADJUSTED PERFORMANCE CHOOSING STATISTICS END-OF-CHAPTER QUESTIONS NOTE

8 CREDIT RISK

DEFAULT RISK AND PRICING DETERMINING THE PROBABILITY OF DEFAULT PORTFOLIO CREDIT RISK REDUCING CREDIT RISK END-OF-CHAPTER QUESTIONS

9 LIQUIDITY RISK

WHAT IS LIQUIDITY RISK? SIMPLE LIQUIDITY MEASURES LIQUIDITY COST MODELS OPTIMAL LIQUIDATION END-OF-CHAPTER QUESTIONS NOTES

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 NOTE

11 BEHAVIORAL ECONOMICS AND RISK

UTILITY FUNCTIONS UTILITY UNDER UNCERTAINTY HEURISTICS AND BIASES A WORD OF CAUTION END-OF-CHAPTER QUESTIONS

APPENDIX A MAXIMUM LIKELIHOOD ESTIMATION APPENDIX B COPULAS ANSWERS TO END-OF-CHAPTER QUESTIONS

CHAPTER 2 CHAPTER 3 CHAPTER 4 CHAPTER 5 CHAPTER 6 CHAPTER 7 CHAPTER 8 CHAPTER 9 CHAPTER 10 CHAPTER 11

REFERENCES INDEX END USER LICENSE AGREEMENT