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Elements of financial risk management. 2nd ed. (English) Zbl 1250.91002
Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-374448-7/hbk; 978-0-12-810235-0/pbk; 978-0-08-092243-0/ebook). xvi, 326 p. (2012).
Publisher’s description: The second edition of [the author, Elements of financial risk management. Amsterdam: Academic Press, 214 p. (2003; Zbl 1235.91001)] expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, support its step-by-step approach to choosing tools and solving problems.

91-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91B30 Risk theory, insurance (MSC2010)
91G70 Statistical methods; risk measures
62P05 Applications of statistics to actuarial sciences and financial mathematics
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