Internal Credit Risk Models: Capital Allocation and Performance Measurement

Michael K. Ong

Risk Publications

This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.

Business & Money

Economics

Managing Energy Price Risk

Un Known

* Authoritative step-by step guide through the complex issues encountered when auditing derivatives * Introduction to the special characteristics of the various instruments and terminology * Up-to-date review of regulatory considerations around the world * Clear methodology for auditing the risks arising from the use of advanced pricing and risk management models in derivatives portfolios

Derivatives and the Internal Auditor

PriceWaterHouseCoopers

BOOKS, RISK

Equity Derivatives: Applications in Risk Management and Investment

Provides all the vital quantitative tools for foreign exchange options in a clear and logical manner. 
Covers the financial management of foreign exchange risk together with analysis of different methods for mitigating and controlling cross currency price differentials. Shows how both market risk and model risk can be managed by choosing a suitable pricing model. Presents products, pricing models, tools and strategies as well as numerical techniques for practical implementation 
Contains leading research, published for the first time, concerned primarily with FX derivatives.

Foreign Exchange Risk: Models, Instruments and Strategies

Wystup, Uwe

Hakala, Jürgen

Bestseller! Recently reprinted due to popular demand 
From an asset management perspective, this title systematically discusses the area of risk budgeting and portfolio construction with an emphasis on practical applications and problem solving as well as providing a critical review of existing portfolio techniques. 
Portfolio Construction and Risk Budgeting clearly presents the key concepts and methods in order to help you plan and implement quantitatively driven portfolio construction. Areas include satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation, amongst others. 
Written in a highly accessible and logical style that avoids the need for overly complicated maths, it presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help the reader adopt the subject matter into their day-to-day work. By using the same dataset for all examples throughout, Portfolio Construction and Risk Budgeting allows for easy comparison of the outcomes for different techniques and objectives.

Portfolio Construction and Risk Budgeting

Scherer, Bernd

The authentic voice of a genuine master of his craft in a full introduction to modern derivatives pricing and hedging that is clear, provocative and rich in insight and experience. Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus. Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples.

Rubinstein On Derivatives

Mark Rubinstein

A groundbreaking volume that fully exposes the relatively new area of risk financing from traditional methods of insurance and provides analysis of the intersection of insurance and finance. 
Provides an innovative and detailed insight on a variety of issues to include an overview of the reinsurance industry, contingent financing, terrorism risk, captives, finite risk, loss portfolio transfers, catastrophe risk, modelling issues and risk swaps. 
Multi-author contributions from leading industry experts of the effects of September 11th on the insurance and reinsurance markets. 
Chronicles the market changes from traditional methods of insurance through industry developments, research and current practice.

Alternative Risk Strategies

Politics & Social Sciences

Lane, Morton

Politics & Government

Financial Risk and the Corporate Treasury: New Developments in Strategy and Control

Finance

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