Detailed Contents for Quantitative Risk Management

Here is a detailed table-of-contents for my book Quantitative Risk Management – for some obscure reason the book was published without a detailed table-of-contents.

Quantitative Risk Management
A Practical Guide to Financial Risk

Thomas S. Coleman

Detailed Contents as formatted .pdf

CONTENTS
Foreword       ix
Preface       xiii
Acknowledgments       xvii
Part I: Managing Risk       1
Chapter 1: Risk Management versus Risk Measurement       3
   1.1: Contrasting Risk Management and Risk Measurement    5
   1.2: Redefinition and Refocus for Risk Management    5
   1.3: Quantitative Measurement and a Consistent Framework    6
   1.4: Systemic versus Idiosyncratic Risk    12
Chapter 2: Risk, Uncertainty, Probability, and Luck       15
   2.1: What is Risk?    15
   2.2: Risk Measures    19
   2.3: Randomness and the Illusion of Certainty    21
   2.4: Probability and Statistics    39
   2.5: The Curse of Overconfidence    62
   2.6: Luck    64
Chapter 3: Managing Risk       67
   3.1: Manage People    68
   3.2: Manage Infrastructure — Process, Technology, Data    71
   3.3: Understand the Basis    73
   3.4: Organizational Structure    84
   3.5: Brief Overview of Regulatory Issues    90
   3.6: Managing the Unanticipated    92
   3.7: Conclusion    99
Chapter 4: Financial Risk Events       101
   4.1: Systemic versus Idiosyncratic Risk    102
   4.2: Idiosyncratic Financial Events    103
   4.3: Systemic Financial Events    132
   4.4: Conclusion    135
Chapter 5: Practical Risk Techniques       137
   5.1: Value of Simple, Approximate Answers    138
   5.2: Volatility and Value at Risk (VaR)    139
   5.3: Extreme Events    150
   5.4: Calculating Volatility and VaR    153
   5.5: Summary for Volatility and VaR    158
   5.6: Portfolio Tools    158
   5.7: Conclusion    167
Chapter 6: Uses and Limitations of Quantitative Techniques       169
   6.1: Risk Measurement Limitations    170
Part II: Measuring Risk       173
Chapter 7: Introduction to Quantitative Risk Measurement       175
   7.1: Project Implementation    176
   7.2: Typology of Financial Institution Risks    178
   7.3: Conclusion    184
Chapter 8: Risk and Summary Measures: Volatility and VaR       187
   8.1: Risk and Summary Measures    187
   8.2: Comments Regarding Quantitative Risk Measures    202
   8.3: Methods for Estimating the P&L Distribution    206
   8.4: Techniques and Tools for Tail Events    226
   8.5: Estimating Risk Factor Distributions    244
   8.6: Uncertainty and Randomness — The Illusion of Certainty    251
   8.7: Conclusion    254
   Appendix 8.1: Small-Sample Distribution of VaR and Standard Errors    254
   Appendix 8.2: Second Derivatives and the Parametric Approach    262
Chapter 9: Using Volatility and VaR       269
   9.1: Simple Portfolio    269
   9.2: Calculating P&L Distribution    270
   9.3: Summary Measures to Standardize and Aggregate    285
   9.4: Tail Risk or Extreme Events    290
   9.5: Conclusion    306
   Appendix 9.1: Parametric Estimation using Second Derivatives    307
Chapter 10: Portfolio Risk Analytics and Reporting       311
   10.1: Volatility, Triangle Addition, and Risk Addition    312
   10.2: Contribution to Risk    317
   10.3: Best Hedge    327
   10.4: Replicating Portfolio    333
   10.5: Principal Components and Risk Aggregation    337
   10.6: Risk Reporting    346
   10.7: Conclusion    361
   Appendix 10.1: Various Formulae for Marginal Contribution and Volatilities    361
   Appendix 10.2: Stepwise Procedure for Replicating Portfolio    369
   Appendix 10.3: Principal Components Overview    370
Chapter 11: Credit Risk       377
   11.1: Introduction    377
   11.2: Credit Risk versus Market Risk    380
   11.3: Stylized Credit Risk Model    383
   11.4: Taxonomy of Credit Risk Models    409
   11.5: Static Structural Models    411
   11.6: Static Reduced Form Models — CreditRisk+    429
   11.7: Static Models — Threshold and Mixture Frameworks    443
   11.8: Actuarial versus Equivalent Martingale (Risk-Neutral) Pricing    458
   11.9: Dynamic Reduced Form Models    464
   11.10: Conclusion    472
   Appendix 11.1: Probability Distributions    478
Chapter 12: Liquidity and Operational Risk       481
   12.1: Liquidity Risk — Asset versus Funding Liquidity    481
   12.2: Asset Liquidity    484
   12.3: Funding Liquidity Risk    496
   12.4: Operational Risk    513
   12.5: Conclusion    527
Chapter 13: Conclusion       529
About the Companion Web Site       531
References       533
About the Author       539

WILEY
John Wiley & Sons, Inc.

Copyright © 2012 by Thomas S. Coleman. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.

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