Market, credit, liquidity, operational, and collateral risk.
25 published titles · Same filter in catalogue
Curated sequences that include this topic.
Shelf notes for books in this topic.
Understanding and Managing Model Risk
A practical guide to model risk for quants, traders, and validators.
Operational Risk: Measurement and Modelling
Foundational Wiley text on measuring and modelling operational risk.
Modelling Measuring and Hedging Operational Risk
This book serves as a practitioner guide to operational risk loss distributions, capital allocation, and hedging frameworks.
Measuring and Managing Operational Risk in Financial Institutions
This book provides a comprehensive framework for identifying and quantifying operational risk exposures across financial institutions.
Introduction to Derivatives and Risk Management
This book provides an introductory overview of derivatives markets and risk management.
Credit Risk Measurement In and Out of the Financial Crisis
This book offers an in-depth exploration of credit risk measurement, focusing on both structural and reduced-form models.
A comprehensive guide on algorithmic adjoint differentiation and parallel simulations in finance.
This volume focuses on building professional derivative scripting systems with an emphasis on xVA applications.
This work addresses the complexities of funding and capital valuation adjustments in global financial markets post-2008.
When Genius Failed: The Rise and Fall of Long-Term Capital Management
This book provides a detailed narrative of the rise and fall of Long-Term Capital Management.
This book offers practical wisdom on volatility trading with a focus on market realities.
Value at Risk: The New Benchmark for Managing Financial Risk
This work serves as an industry standard reference on Value at Risk methodologies.
Treasury Risk Management: A Guide to Managing Market and Credit Risk
This guide offers a treasury-specific perspective on managing market and credit risks.
The Yen Carry Trade and Other Financial Crises
An exploration of carry trade mechanics and associated crisis scenarios.
The Failure of the Financial System and How to Repair It
This work offers a comprehensive examination of the 2008 financial crisis and subsequent regulatory reforms.
The Black Swan: The Impact of the Highly Improbable
An essential exploration of Black Swan events and tail risks in markets.
Systemic Risk: A Mechanism-Based Approach
This work provides an analysis of systemic risk mechanisms and contagion in financial systems.
Stress Testing and Scenario Analysis: Applications to Financial Markets
This work provides a guide to stress testing frameworks with a regulatory focus.
Operational Risk: Measurement and Management
A comprehensive guide to operational risk measurement and management.
A technical reference on computational methods for financial derivatives.
Managing Credit Risk: The Great Challenge for Global Financial Markets
A practical guide for credit risk measurement and management.
Liquidity Management: A Funding Risk Handbook
A comprehensive guide to the Basel III liquidity framework.
Islamic Banking and Finance: A Guide for International Auditors and Accountants
This text serves as a comprehensive guide to Islamic banking and finance principles and practices.
Guidance on Model Risk Management
A comprehensive framework for model risk governance and validation.
AAD and Parallel Simulations
Antoine Savine · Leif B. G. Andersen · 2018 · John Wiley & Sons
Institutional quant text on algorithmic adjoint differentiation (AAD), parallel Monte Carlo, and implementation-minded pricing/risk—written by practitioners who shipped large bank systems. Pairs naturally with scripting and xVA volumes for a full modern computational stack.
Scripting for Derivatives and xVA
Antoine Savine · Jesper Andreasen · 2021 · John Wiley & Sons
Second volume: building professional derivative scripting systems—cash-flow representation, branching, American Monte Carlo hooks, and how scripting supports xVA-style portfolio interrogation. Written for quant devs and library architects who must ship maintainable payoff DSLs.
Paolo Brandimarte · 2006 · John Wiley & Sons
Numerical Methods in Finance by Paolo Brandimarte explores quantitative techniques for financial derivatives, covering essential numerical methods for valuation and risk management. The text emphasizes practical applications, enabling finance professionals to implement these techniques effectively.
Chernobai et al. · 2007 · Butterworth Heinemann
This comprehensive text addresses the critical aspects of operational risk measurement and management. It provides insights into methodologies and frameworks essential for risk managers and operations professionals in navigating the complexities of operational risk within financial institutions.
Jack L. King · 2001 · John Wiley & Sons
Foundational Wiley text on measuring and modelling operational risk with Delta-EVT and Bayesian network causal models, providing practical insights for risk management.
Euan Sinclair · 2010 · John Wiley & Sons
Option Trading: Pricing and Volatility Strategies and Techniques by Euan Sinclair is a detailed guide for practitioners in the options market, covering essential topics such as pricing, volatility measurement, and hedging techniques. This resource is designed for traders and analysts seeking to enhance their understanding of options trading strategies in various market conditions.
Updated Edition
Sheldon Natenberg · 2015 · McGraw-Hill
Sheldon Natenberg's 'Option Volatility and Pricing' is an essential resource for practitioners in the fields of FX and derivatives trading. This updated edition provides advanced trading strategies and risk management techniques crucial for navigating the complexities of option markets.
Global edition
John C. Hull · 2021 · Pearson
The standard graduate-level derivatives text.
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.
John C. Hull · 2015 · John Wiley & Sons
Institutional risk management alongside derivatives literacy.
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.
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.
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.
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.
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.
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.
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.
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.
Massimo Morini · 2011 · John Wiley & Sons
Practical guide to model risk for quants, traders, and validators covering pricing model governance and reserves.
Philippe Jorion · 2006 · McGraw-Hill
Industry-standard VaR reference.
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.
Sinclair Colin · 2012 · John Wiley & Sons
Volatility Trading by Colin Sinclair provides an in-depth exploration of volatility as a financial instrument, essential for traders and quants. This guide covers strategies and methodologies for trading volatility, including the use of derivatives and risk management techniques.
Roger Lowenstein · 2001 · Random House
LTCM and the limits of models.
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.
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.