Risk management

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

Risk Management and Financial Institutions

John C. Hull · 2015 · John Wiley & Sons

Institutional risk management alongside derivatives literacy.

• Derivatives
• Risk management

Stress Testing and Scenario Analysis: Applications to Financial Markets

Daniel Tarullo · 2009 · Federal Reserve

This book provides a comprehensive overview of stress testing and scenario analysis as applied to financial markets. It focuses on the regulatory frameworks and methodologies that underpin effective risk management practices.

• Risk management
• Regulation

Structured Products and Hybrid Securities

2nd Edition

Satyajit Das · 2001 · John Wiley & Sons

Structured Products and Hybrid Securities provides an in-depth examination of complex financial instruments, focusing on their structure, valuation, and risk management. This edition covers various derivatives and fixed income products, making it essential for professionals involved in trading and portfolio management.

• Derivatives
• Risk management
• Fixed income

Systemic Risk: A Mechanism-Based Approach

Nier & Baumann · 2006 · Imf

This work presents a mechanism-based approach to understanding systemic risk within financial systems. It provides insights into how interconnectedness and feedback loops can amplify risks, making it essential for risk managers and policymakers.

• Risk management
• Macro

The Black Swan: The Impact of the Highly Improbable

Nassim Nicholas Taleb · 2007 · John Wiley & Sons

Nassim Nicholas Taleb's 'The Black Swan' explores the profound impact of rare and unpredictable events on financial markets and human behaviour. This foundational text in risk management delves into the psychological biases that hinder our understanding of uncertainty and the limitations of traditional forecasting methods.

• Risk management
• Market memoirs
• Behavioral Finance

The Failure of the Financial System and How to Repair It

Alan S. Blinder · Mark Zandi · 2015 · W W Norton

This book examines the failures of the financial system that led to the 2008 crisis and proposes actionable reforms. It addresses key areas of risk management and policy adjustments necessary for future stability.

• Risk management
• Market memoirs
• Crisis
• Policy

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

The Yen Carry Trade and Other Financial Crises

Brunnermeier et al. · 2009 · Nber

The Yen Carry Trade and Other Financial Crises examines the dynamics of the yen carry trade within the broader context of financial crises. Authored by Brunnermeier et al., this work delves into risk management strategies and macroeconomic implications relevant to FX markets.

• FX
• Risk management
• Macro

Treasury Risk Management: A Guide to Managing Market and Credit Risk

Michel Crouhy et al. · 2006 · John Wiley & Sons

This comprehensive guide addresses the intricacies of managing market and credit risk within treasury operations. It provides practical insights and methodologies essential for treasurers and risk managers navigating complex financial landscapes.

• Treasury
• Risk management

Value at Risk

Philippe Jorion · 2006 · McGraw-Hill

Industry-standard VaR reference.

• Risk management
• Quantitative finance

Value at Risk: The New Benchmark for Managing Financial Risk

Philippe Jorion · 2007 · McGraw-Hill

Philippe Jorion's 'Value at Risk' provides a comprehensive framework for understanding and implementing Value at Risk (VaR) as a pivotal tool in financial risk management. The book delves into quantitative methods and their application in various financial contexts, making it essential for professionals in trading and risk management.

• Risk management
• Quantitative finance

When Genius Failed

Roger Lowenstein · 2001 · Random House

LTCM and the limits of models.

• Derivatives
• Risk management
• Market memoirs

When Genius Failed: The Rise and Fall of Long-Term Capital Management

Roger Lowenstein · 2000 · Random House

When Genius Failed chronicles the dramatic rise and fall of Long-Term Capital Management, a hedge fund that epitomised the excesses of the 1990s. This account provides insights into risk management practices and the systemic failures that led to one of the most significant financial crises of the era.

• Risk management
• Market memoirs
• Crisis

xVA: Credit

Funding and Capital Valuation Adjustments: A Continuing Challenge for Global Financial Markets

Damiano Brigo et al. · 2013 · John Wiley & Sons

This comprehensive volume addresses the complexities of funding and capital valuation adjustments (xVA) in the context of credit derivatives. It serves as a critical resource for professionals navigating the challenges of valuation in global financial markets.

• Derivatives
• Risk management
• Quantitative finance
• Credit