Quantitative Analysis
Our Quantitative Analysis section contains a selection of titles covering quantitative finance, copulas, model risk and more.
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By Marcello Minenna
In A Quantitative Framework to Assess the Risk-Reward Profile of Non-Equity Products, bestselling author and Head of the Quantitative Analysis Unit at Italian regulator CONSOB, Marcello Minenna sets out a new method for achieving this for non-equity investment products.
By combining techniques commonly used in markets in a consistent and transferable format, Minenna provides the reader with a toolkit to produce the core information that the investors need to make their investment decisions.
This innovative, practical guide offers a way for financial institutions, investors, regulators, issuers and academics to better assess, understand and describe products and make a meaningful comparison between them.
Official Book presentation at the 50th meeting of the Euro Working Group for Financial Modelling on May 4th 2012 guested by the Universities of Rome La Sapienza and TRE, with a key-note address from Prof. Rita L. D’Ecclesia.
For further information please email to - ewgfm50@uniroma1.it
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Edited By Michael K. Ong
This book edited by industry expert Michael Ong explores how capital is measured and managed by banks and other financial institutions and how current techniques should be improved to address the issues highlighted in the recent crisis.
The first part covers the issues of capital management, allocation, risk attribution and performance determination. The second part focuses on the measurement of
capital. The book is essential for all who witnessed the devastating effects of the crisis, due fundamentally to undercapitalisation.
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By Christian Meyer and Peter Quell
Worldwide, senior executives and managers in financial and non-financial firms are expected to make crucial business decisions based on the results of complex risk models. Yet interpreting the findings, understanding the limitations of the models and recognizing the assumptions that underpin them present considerable challenges for all but those with a background in specialized quantitative financial modeling.
The use of these quantitative risk models was blamed as being one of the major causes of the financial crisis that began in 2007. This report shows how risk models are constructed and why they play such an important role in financial markets. It provides a holistic approach to Risk Model Validation that will enable you, when faced with a specific risk model, to work out a step-by-step guide to asking the right questions in order to judge the validity of the model.
Mathematical modelling, implementation, data gathering, processes, reporting and the way senior management “digests” all this information will all be covered.
An essential part of a decision-maker’s armoury, Risk Model Validation provides an intensive guide to asking the key questions when integrating the outputs of quantitative modeling into everyday business decisions.
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Edited By Klaus Böcker
Rethinking Risk Measurement and Reporting aims to increase the readers’ awareness of model and parameter uncertainty when using mathematical models in financial risk management. This book, which is being published in two volumes, helps the reader to discern that model uncertainty must be accepted as an intrinsic part of risk measurement.
Buy both volumes here for the reduced price of £195 (£290 if bought seperately)
Click here to view Volume I
(ISBN 978-1-906348-40-3)
Click here to view Volume II
(ISBN 978-1-906348-50-2)
“...Risk managers from academia to practice will highly welcome this volume.”
Paul Embrechts, Director of RiskLab, ETH Zurich.
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Edited By Klaus Böcker
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting (Volumes I and II) speaks to these needs, providing the techniques and tools for a more effective risk management framework.
Please note when purchasing Volume I and Volume II separately the price will be £145 each, in order to get both volumes for £195 please click here
“...definitely a must-read for those looking for new ideas to revive the dented axioms of risk management.”
Andrea Resti, Bocconi University
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Edited By Klaus Böcker
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting (volumes 1 and 2) speaks to these needs, providing the techniques and tools for a more effective risk management framework.
Please note when purchasing Volume I and Volume II separately the price will be £145 each, in order to get both volumes for £195 please click here.
“...This book brings together the best researchers into how these deep ideas can benefit financial risk management.”
David Spiegelhalter, Winton Professor of the Public Understanding of Risk, University of Cambridge
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By Alex Krutov
The rapid growth of the market for insurance-linked securities has highlighted the need for information on the types of these securities and the issues involved in their structuring, pricing, trading, and managing on a portfolio basis.
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Edited By Daniel Rösch and Harald Scheule
Over the past decade the financial service industry has spent tremendous resources on building models to measure financial risks. Generally, these models’ predictions were used without acknowledging that reality may or may not reflect the assumptions made and thus the predictions. The book aims to provide solutions on how to include model risk into existing risk measurement frameworks. It also aims to provide solutions on how to build models of higher accuracy and thus lower model risk.
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Edited By Fabio Mercurio
The increasing complexity of the derivatives market requires a better knowledge of advanced modelling techniques specifically designed to accommodate the great deal of volatility data quoted by the market.
In Modelling Interest Rates, some of the most renowned practitioners and academics working in the interest rate area provide contributions on the latest developments in interest rate modelling, focusing primarily on the practical implementation of the latest derivatives pricing models.
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Edited By Daniel Rösch and Harald Scheule
Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.
This is the only book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.
This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.
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Edited By Bernd Scherer
'Portfolio management has advanced to a highly specialised and quantitative discipline. This volume provides an overview of the theoretical framework underlying portfolio management as well as an insight into current trends’ – from the Introduction, by Bernd Scherer.
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Introduced By Alexander Lipton
’The rise of credit markets over the past decade has been nothing short of spectacular. Their current state of turmoil is nothing short of mind-boggling. It seems to be a perfect moment for putting together an authoritative collection of papers devoted to various intertwining aspects of credit modelling’ – from the Introduction, by Alexander Lipton
