Handbook of Market Risk

A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk.Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial marketsThe historical perspective from marketevents and diverse mathematics to thevalue-at-riskReturn and volatility estimatesDiversification, portfolio risk, andefficient frontierThe Capital Asset Pricing Modeland the Arbitrage Pricing TheoryThe use of a fundamentalmulti-factors modelFinancial derivatives instrumentsFixed income and interest rate riskLiquidity riskAlternative investmentsStress testing and back testingBanks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.