Risk and Control

Value at Risk

Philippe Jorion · 2006 · McGraw-Hill

Industry-standard VaR reference.

• Risk management
• Quantitative finance

Financial Risk Manager Handbook

Philippe Jorion · 2010 · John Wiley & Sons

FRM-oriented risk management compendium.

• Risk management

Risk Management and Financial Institutions

John C. Hull · 2015 · John Wiley & Sons

Institutional risk management alongside derivatives literacy.

• Derivatives
• Risk management

Against the Gods

The Remarkable Story of Risk

Peter L. Bernstein · 1998 · John Wiley & Sons

History of risk ideas for finance readers.

• Risk management
• Market memoirs

When Genius Failed

Roger Lowenstein · 2001 · Random House

LTCM and the limits of models.

• Derivatives
• Risk management
• Market memoirs

Counterparty Credit Risk and Credit Value Adjustment

A Continuing Challenge for Global Financial Markets, 2nd Edition

Jon Gregory · 2012 · John Wiley & Sons

This book provides a comprehensive examination of counterparty credit risk and credit value adjustment, essential for understanding the challenges faced by global financial markets. It addresses the evolution of counterparty risk management practices and the implications for financial institutions.

• Derivatives
• Risk management
• Credit

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital

3rd Edition

Jon Gregory · 2015 · John Wiley & Sons

The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital offers a comprehensive exploration of counterparty credit risk and its associated financial adjustments. This third edition provides practical insights into the latest regulatory frameworks and market practices, focusing on critical xVA terms such as CVA, DVA, and FVA.

• Derivatives
• Risk management
• Credit

Quantitative Risk Management: Concepts, Techniques and Tools

Revised Edition

Alexander J. McNeil et al. · 2015 · Princeton University Press

This revised edition of 'Quantitative Risk Management' offers an extensive exploration of theoretical concepts and modelling techniques essential for effective risk management. It addresses market, credit, and operational risk, providing practical tools for analysts and risk managers to tackle real-world challenges.

• Derivatives
• Risk management
• Quantitative finance

Market Risk Analysis Volume IV: Value at Risk Models

Carol Alexander · 2008 · John Wiley & Sons

Market Risk Analysis Volume IV: Value at Risk Models offers an in-depth exploration of Value-at-Risk (VaR) models, essential for analysts and risk managers. This volume builds on foundational concepts from previous volumes, providing rigorous treatments of various VaR methodologies and their applications across different asset classes.

• Derivatives
• Risk management
• Quantitative finance

Volatility and Correlation: The Perfect Hedger and the Fox

2nd Edition

Riccardo Rebonato · 2004 · John Wiley & Sons

This book delves into the intricate relationship between volatility and correlation within the context of derivatives and fixed income markets. It serves as a comprehensive guide for analysts and risk managers seeking to understand and apply quantitative finance principles in their work.

• Derivatives
• Fixed income
• Quantitative finance

Modelling Extremal Events for Insurance and Finance

Paul Embrechts et al. · 1997 · Springer

This comprehensive text delves into the modelling of extremal events, focusing on their implications for both insurance and finance. It integrates theoretical foundations with practical applications, making it a vital resource for professionals in risk management and quantitative finance.

• Risk management
• Quantitative finance