Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested...

A practical guide to counterparty risk management and credit value adjustment from a leading credit practitioner Since the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an...

Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The...

Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians...