Springer, Apress, 2014. — 388 p. — ISBN: 1430261331, 9781430261339Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.About the Author Rupak Chatterjee, Ph.D., is an Industry Professor and the Deputy Director of the Financial Engineering Division at the Stevens Institute of Technology. He is also the Program Manager for the Accenture-Stevens Financial Services Analytics graduate program. Dr. Chatterjee has over fifteen years of experience as a quantitative analyst working for various Wall Street firms. His last role before returning to academia was as the Director of the Multi-Asset Hybrid Derivatives Quantitative Research group at Citi in New York. He was also the global Basel III coordinator for all the modeling efforts needed to satisfy the new regulatory risk requirements. Previously, he was a quantitative analyst at Barclays Capital, a vice president at Credit Suisse, and a senior vice president at HSBC. His educational background is in theoretical physics, which he studied at the University of Waterloo, Stony Brook University, and the University of Chicago. His research interests have included discrete time hedging problems using the Optimal Hedging Monte Carlo (OHMC) method and the design and execution of systematic trading strategies that embody the hallmarks of capital preservation and measured risk-taking.
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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
Wiley, 2012. — 2100 p. — ISBN: 1118006739, 9781118006733
3 Volume Set.
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling
The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital...
Wiley – 2011, 725 pages
An updated guide to the theory and practice of investment management
Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process.
Academic Press, 2009. — 864 p. — ISBN: 0123747651. Robert Nisbet, Pacific Capital Bank Corporation, Santa Barbara, CA, USA John Elder, Elder Research, Inc. and the University of Virginia, Charlottesville, USA Gary Miner, StatSoft, Inc. , Tulsa, OK, USA Description The Handbook of Statistical Analysis and Data Mining Applications is a comprehensive professional reference book that...
Wiley, 2013. – 775 p. – ISBN: 1118278542, 9781118278543.
Practical tools and advice for managing financial risk, updated for a post-crisis world.
Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the...