Meucci A. Risk and Asset Allocation

Wiley, 2008. - 423 pages. A financial instrument is a legal contract between two or more parties that defines conditions under which the various parties incur costs and receive benefits. A cost or benefit need not be a monetary amount; it could be a commodity, for instance. The simplest type of financial instrument is a financial asset, which is a legal claim on a real asset such as a company, a commodity, cash, gold or a building. A financial s...

Willey, 2008. - 320 pages. Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of m...

Oxford University Press, 2007, 489 pp. There are many textbooks for business students that provide a systematic, introductory development of the economics of financial markets. However, there are as yet no introductory textbooks aimed at more easily daunted undergraduate liberal arts students. Introduction to the Economics of Financial Markets fills this gap by providing an extremely accessible introductory exposition of how economists analyze...

Sрringer, 2002. - 392 pages. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management...

The McGraw-Hill Companies – 2010, 528 pages ISBN: 0071663703 If we have learned anything from the global financial collapse of 2008, it is this: the mathematical risk models currently used by financial institutions are no longer adequate quantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook, an international team of 48 experts evaluates the problematic risk-modeling methods used by large financial institutions and brea...

Wiley, 2011. - 167 pages Introducing Data Envelopment Analysis (DEA) - a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade-off between single variables for risk and return in the determination of investment portfolios. For the first time, a c...

Книга содержит практические рекомендации по построению моделей измерения кредитных рисков в среде Microsoft Excel. Прилагаются xls-файлы с примерами моделей. Книга на английском, но это одно из лучших руководств по моделированию кредитного риска в Excel'е. Preface. Estimating Credit Scores with Logit. The Structural Approach to Default Prediction and Valuation. Transition Matrices. Prediction of Default and Transition Rates. Modeling and Estimat...

© 2008 by Taylor & Francis Group, LLC. Chapter 1 _ coherent measures of risk into everyday. market practice. Chapter 2 _ pricing high-dimensional american options. using local consistency conditions. Chapter 3 _ adverse interrisk diversification effects. for fx forwards. Chapter 4 _ counterparty risk pricing under correlation. between default and interest ratesdamiano. Chapter 5 _ optimal dynamic asset allocation for. defined contribution pen...

Springer – 2009, 702 pages ISBN: 3540262121 The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk-neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respe...

Chapman & Hall, 2009. - 455 pages ISBN: 1420082663 Useful Concepts and Techniques for Economics Applications Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. The majority of the text presents a systemat...