The second edition of my book Elements of Financial Risk Management was published in December 2011.
I am using the book to teach high-level market risk electives at the bachelor and masters degree level. I have also used it in introductory PhD courses. Finally, I have used it in technical training courses for financial market practitioners.
The Excel spreadsheets with solutions to end-of-chapter questions can be found at the book’s companion website.
Please send me an email (firstname.lastname@example.org) if you are using the book for teaching and would like a set of power point slides.
Elements of Financial Risk Management, 3rd Edition
The third edition of the book is in preparation. Please do send me suggestions for additions / deletions / changes to the second edition so that I can incorporate them in the third edition. The preliminary table of content is as follows:
Preliminary Table of Contents
Part I: The Fundamentals of Financial Risk Management
Chapter 1: A Brief Review of Probability and Statistics for Financial Risk Management
Chapter 2: Risk Management and Financial Returns
Chapter 3: Historical Simulation, Value-at-Risk, and Expected Shortfall
Chapter 4: Backtesting and Stress Testing
Part II: Dynamic Univariate Risk Models
Chapter 5: A Brief Review of Time Series Analysis for Financial Risk Management
Chapter 6: Daily Volatility Modeling Using Daily Data
Chapter 7: Daily Volatility Modeling Using Intraday Data
Chapter 8: Nonnormal Return Distributions
Part III: Dynamic Multivariate Risk Models
Chapter 9: Covariance and Correlation Models
Chapter 10: Simulating the Term Structure of Risk
Chapter 11: Distributions and Copulas for Integrated Risk Management
Chapter 12: Risk Management Using the Asymmetric t Distribution
Part IV: Portfolio Management
Chapter 13: Mean-Variance Portfolio Optimization and the Market Factor
Chapter 14: Timing the Market Factor Allocation
Chapter 15: Portfolio Management with Factor Structure
Part V: Option Risk and Credit Risk
Chapter 16: Option Pricing
Chapter 17: Option Risk Management
Chapter 18: The Risk and Return to Option Strategies
Chapter 19: Credit Risk Management
Elements of Financial Risk Management, 1st Edition
The first edition of Elements of Financial Risk Management was published in 2003.