Handbook of Financial Risk Management

Thierry Roncalli is Head of Quantitative Research at Amundi Asset Management. He is also a Professor of Economics and Finance at the University of Evry. Dr. Roncalli has over 20 years of experience in finance and is the author of many articles and several books in quantitative finance. He received a Ph.D. in Economics from the University of Bordeaux.

Handbook of Financial Risk Management has the exceptional (and rare!) quality of bridging the practitioner-academic divide. Part 1 covers all the important practical applications for management and Part 2 provides the essential mathematical and statistical knowledge for modern risk analysts. Thierry’s expertise puts him in a unique position to author such a book and I am confident that it will be a standard reference in the field. —Carol Alexander, Professor of Finance, University of Sussex and Visiting Professor, Peking University PHBS Business SchoolThe Handbook of Financial Risk Management first thoroughly analyzes the different types of problems faced by the financial sector, then provides us with the best tools available to address them.Thierry's unique experience as a practitioner in different types of institutions and as an academic, put him in a privileged place from the start to achieve this double task and he did it beautifully!—Helyette Geman, Professor of Mathematical Finance at Birkbeck - University of London and Research Professor at Johns Hopkins University"Sound risk management is an imperative for of any financial company – today more than ever before. The Handbook of Financial Risk Management provides a comprehensive and state-of-the-art account of the key issues and methods, brought together by one of the leading scholars in this discipline. An excellent source for students and practitioners alike."—Steffen Kern, Chief Economist and Head of Risk Analysis, European Securities and Markets Authority

• 1. Introduction. Part I Risk Management in the Financial Sector. 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidity Risk. 7. Asset Liability Management Risk. 8. Systemic Risk and Shadow Banking System. Part II Mathematical and Statistical Tools. 9. Model Risk of Exotic Derivatives. 10. Statistical Inference and Model Estimation. 11. Copulas and Dependence Modeling. 12. Extreme Value Theory. 13. Monte Carlo Simulation Methods. 14. Stress Testing and Scenario Analysis. 15. Credit Scoring Models.