Quantitative Financial Risk Management

The recent financial crisis is considered the worst since the Great Depression of the 1930s. This disastrous economic crisis caused a domino effect that saw the collapse of large financial institutions, bailouts of banks by governments, declines in stock markets, and a worldwide global recession. This negative experience demonstrates that the economy as a whole, but especially the financial sector, is subject to new and evolving risks.

Quantitative Financial Risk Management: Theory and Practice offers professionals in the field an invaluable guide to the most current and useful tools of financial management that can be applied to manage, monitor, and measure risk. This guide is especially valuable to help mitigate risk in the context of globalization, market volatility, and economic crisis. With contributions from a team of international experts, this vital resource is comprehensive in scope and includes examinations of financial risk management, risk models, portfolio management, credit risk modeling, and a review of international financial markets.

The contributors demonstrate innovative research in the areas of theoretical and empirical analyses, methodologies, and applications of quantitative financial risk management. This volume covers a broad range of topics; for example, it contains information on the measurement of systemic risk, based on the structural approach originating from structural credit risk models. The text explores the most important notions of risk in the energy sector and describes how to cope with these uncertainties with two main tools: construction of scenarios and stochastic programming modeling. It offers a simple and practical stress-testing example that includes a ratings migration matrix-base for determining portfolio credit risk.

Quantitative Financial Risk Management goes a long way toward advancing the knowledge related to risk management and portfolio optimization, and generates theoretical knowledge with the aim of promoting research within various sectors where financial markets operate.