Quantitative Financial Risk Management 1st edition by Desheng Dash Wu ISBN 3642268900 978-3642268908

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ISBN 10:  3642268900
ISBN 13: 978-3642268908
Author: Desheng Dash Wu

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management – in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.

Quantitative Financial Risk Management 1st Table of contents:

1. Introduction to Financial Risk Management

   • Overview of financial risk management.
   • Key concepts and terminology.
   • Types of financial risks: market risk, credit risk, operational risk, liquidity risk.
   • The role of risk management in financial institutions and businesses.

2. Risk Measurement Basics

   • The importance of measuring risk in financial decision-making.
   • Key risk metrics: Value at Risk (VaR), Conditional VaR, and other risk measures.
   • Historical simulation and Monte Carlo simulations for risk measurement.
   • Backtesting risk models and assessing their effectiveness.

3. Market Risk Management

   • Understanding market risk and its implications for financial institutions.
   • Modeling financial returns: asset returns, distributions, and volatility.
   • Techniques for market risk measurement: VaR, expected shortfall, and stress testing.
   • Hedging strategies for managing market risk using derivatives.

4. Credit Risk Management

   • Overview of credit risk and its components: default risk, credit spread risk, and counterparty risk.
   • Credit scoring and rating models.
   • Credit VaR and credit portfolio models.
   • Credit derivatives: credit default swaps (CDS) and collateralized debt obligations (CDOs).
   • Managing credit risk with diversification and credit mitigation strategies.

5. Operational Risk Management

   • Defining operational risk and its sources.
   • Operational risk measurement techniques: loss distribution approach, scenario analysis.
   • The role of stress testing and scenario analysis in operational risk management.
   • Governance and risk culture in managing operational risk.

6. Liquidity Risk Management

   • Understanding liquidity risk and its impact on financial institutions.
   • Measuring liquidity risk: liquidity ratios, funding liquidity, and market liquidity.
   • Stress testing and scenario analysis in liquidity risk management.
   • Techniques for managing liquidity risk, including liquidity buffers and contingency planning.

7. Risk Aggregation and Portfolio Management

   • The need for risk aggregation across different risk types.
   • Portfolio theory and risk diversification principles.
   • Risk-return optimization and portfolio construction.
   • Measuring total portfolio risk: correlation, covariance, and portfolio VaR.

8. Advanced Quantitative Methods in Risk Management

   • Advanced modeling techniques for risk management.
   • GARCH models, copulas, and other methods for modeling volatility and dependence structures.
   • Risk-neutral pricing and pricing models for complex financial instruments.
   • Advanced Monte Carlo simulations and their applications in financial risk.

9. Regulatory Framework and Capital Adequacy

   • The role of financial regulations in risk management.
   • Overview of Basel II and Basel III regulations.
   • Capital adequacy requirements and their implications for financial institutions.
   • Stress testing as a regulatory tool for risk assessment.

10. The Future of Financial Risk Management

• Emerging trends and technologies in financial risk management.
• The impact of big data, machine learning, and artificial intelligence on risk models.
• The evolving regulatory landscape and its effect on risk management practices.
• Challenges in managing systemic risk and macroprudential regulation.

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