Quantitative Risk Management: A Practical Guide to Financial Risk + Website

State–of–the–art risk management techniques and practices for understanding, assessing, and responding to risk in financial firms

"The title says it all. This really is ′A Practical Guide to Risk Management.′ It is an enjoyable read for almost anyone in the investment field, while still providing lots of insights to risk professionals. A very well–written book!" Roger G. Ibbotson, Chairman & CIO, Zebra Capital Management; Professor in Practice of Finance, Yale School of Management

"By combining solid probabilistic foundations with a relentless focus on real practitioner issues, Coleman has produced an invaluable reference for experienced risk managers and traders and also an introductory text for those new to the field." Andrew Morton, Global Head of G10 Rates, Citigroup; co–originator of the Heath–Jarrow–Morton interest rate model

"Very clear and easy to understand, concrete and matter–of–fact. It is a rare effort to make difficult subjects understandable while remaining true to the technical and professional foundations." Cyril Le Touzé, Chief Risk Officer, Crédit Mutuel CIC Group

Foreword ix

Preface xiii

Acknowledgments xvii

PART ONE Managing Risk 1

CHAPTER 1 Risk Management versus Risk Measurement 3

CHAPTER 2 Risk, Uncertainty, Probability, and Luck 15

CHAPTER 3 Managing Risk 67

CHAPTER 4 Financial Risk Events 101

CHAPTER 5 Practical Risk Techniques 137

CHAPTER 6 Uses and Limitations of Quantitative Techniques 169

PART TWO Measuring Risk 173

CHAPTER 7 Introduction to Quantitative Risk Measurement 175

CHAPTER 8 Risk and Summary Measures: Volatility and VaR 187

CHAPTER 9 Using Volatility and VaR 269

CHAPTER 10 Portfolio Risk Analytics and Reporting 311

CHAPTER 11 Credit Risk 377

CHAPTER 12 Liquidity and Operational Risk 481

CHAPTER 13 Conclusion 529

About the Companion Web Site 531

References 533

About the Author 539

Index 541

Thomas S. Coleman has worked in the finance industry for more than twenty years and has considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman currently manages a risk advisory consulting firm. He is the author, together with Roger Ibbotson and Larry Fisher, of Historical U.S. Treasury Yield Curves.