Market Risk Modelling - Risk Books
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Market Risk Modelling

By Nigel Da Costa Lewis


Provides the practitioner, consultant and academic with vital quantitative expertise in an authoritative and up-to-date treatment of the most crucial innovations in the application of statistical methods to market risk modelling.

Publish date: 1 Apr 2003

Availability: In stock


Book description

  • Uniquely written from a practitioner’s perspective, this title is sympathetic to the needs of the busy practitioner and is designed to provide rapid and succinct access to useful statistical methods in one handy volume
  • The use of practical examples and accessible panels will allow the market risk manager to quickly and easily implement, evaluate and extend a wide variety of statistical modelling tools and techniques for more accurate market risk assessment
  • This timely release illustrates the value to be gained from the statistical analysis of market risk data providing a valuable competitive edge in these times of increased regulation
  • Key topics such as extreme value theory, volatility modelling, principle components, confidence intervals and fitting probability distributions to real data are covered in sufficient detail so that these methods can be integrated into your own risk management systems

Book details

Publish date
1 Apr 2003
155mm x 235mm

Author biography

Nigel Da Costa Lewis

Dr Nigel D. Costa Lewis has been a “quant” on a trading floor, a Chief Risk Officer, Managing Director on a $100bn portfolio, and taught economics and statistics at university. He has written five books on investment risk and published numerous journal articles. His most recent work has appeared in the Journal of Investing, Journal of Wealth Management and the Journal of Pensions.   An international speaker, his innovative, original and insightful keynote talks on investment risk have been presented at the Pension Review Board, Financial Planning Association, the Financial Services Professionals Association, Texas Association of Public Employee Retirement Systems and numerous other business and financial organizations. A great advocate of servant leadership he remains very active in the investment industry. Amongst his many roles, Dr. Lewis is a member of the technical advisory board of the Investment Management Consultants Association, helping design a risk-based curriculum for their 10,000 members. He obtained his PhD from the University of Cambridge and now spends his time writing, speaking and consulting on all things risk out of his homestead in the hill country of Texas.

Table of contents


About the Author


1. Introduction to Market Risk Management

2. Random Variables and Probability

3. Describing Risk Factors and Portfolios

4. Displaying Risk Factors and Portfolios

5. The Normal Distribution

6. The Method of Maximum Likelihood

7. Fitting Probability Distributions to Risk Factors and Portfolios

8. Principle Component Analysis

9. Modelling Volatility

10. Extreme Value Theory

11. Methods of Simulation

12. Hypothesis Testing

13. Statistical Tests for Market Risk Management

14. Confidence Intervals

15. The Theory and Practice of Market Risk Management





“Will prove to be a very handy reference book for the experienced risk manager and, at the same time, will provide the newcomer with a thorough grounding in how to measure market risks.“

Jan Annaert, University of Ghent

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