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Quantitative Risk Management, + Website: A Practical Guide to Financial Risk / Edition 1

Quantitative Risk Management, + Website: A Practical Guide to Financial Risk / Edition 1

by Thomas S. Coleman, Bob Litterman
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Product Details

ISBN-13: 9781118026588
Publisher: Wiley
Publication date: 05/08/2012
Series: Wiley Finance Series , #669
Pages: 576
Sales rank: 1,007,278
Product dimensions: 6.00(w) x 9.00(h) x 1.90(d)

About the Author

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.

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Table of Contents

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

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