E-Book Overview
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.
E-Book Content
FFIRS 02/15/2012 12:14:28 Page 1 Quantitative Risk Management FFIRS 02/15/2012 12:14:28 Page 2 Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce, risk management, financial engineering, valuation, and financial instrument analysis, as well as much more. For a list of available titles, please visit our website at www .WileyFinance.com. FFIRS 02/15/2012 12:14:28 Page 3 Quantitative Risk Management A Practical Guide to Financial Risk THOMAS S. COLEMAN John Wiley & Sons, Inc. FFIRS 02/15/2012 12:14:28 Page 4 Copyright # 2012 by Thomas S. Coleman. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. Chapters 1, 2, 3, 4, and parts of 6 were originally published as A Practical Guide to Risk Management, # 2011 by the Research Foundation of CFA Institute. Chapters 5, 7, 8, 9, 10, and 11 include figures, tables, and short excerpts that have been modified or reprinted from A Practical Guide to Risk Management, # 2011 by the Research Foundation of CFA Institute. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-cop