Market Risk Modelling

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

ISBN

9781904339076

Publish date

1 Apr 2003

Format

Size

155mm x 235mm

Author biography

Nigel Da Costa Lewis

Dr Nigel Da Costa Lewis has many years work experience as a quantitative analyst and statistician in the City of London, on Wall Street and in academia. His work in market risk management dates back to the early 1990s where he developed stress-testing methodologies for portfolios of derivative securities for Legal & General Investment Management Limited. He now specialises in the application of computational intensive quantitative methods to problems in finance. His experience includes the application of neural networks to trading, Bayesian Belief Networks models for risk management and the application of classical and Bayesian statistical methods to market and credit risk. Nigel has an award-winning PhD in statistics from the University of Cambridge, and four Master’s degrees, all from the University of London: statistics, finance, economics and advanced computer science.

Table of contents

CONTENTS

About the Author

Preface

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

Glossary

Bibliography

Index

Testimonials

“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