Risk Books Market Risk Modelling, Second Edition: Applied Statistical Methods for Practitioners

The second edition of Market Risk Modelling examines the latest developments and updates in statistical methods used to solve the day-to-day problems faced by a risk manager. After almost a decade since the publication of the first edition, this book considers new risk management methodologies, approaches and packages. Bringing together a wide variety of statistical methods and models that have proven their worth in risk management, Market Risk Modelling provides practical examples and easily implementable approaches, whereby readers can integrate the underlying quantitative concepts into their pre-existing risk management systems. Written by market risk expert, Nigel Da Costa Lewis, this second edition gives concise and applied explanations of approaches to market risk modelling, demonstrated using relevant, applicable examples. Designed for the time-starved risk manager as both a working manual and a compact reference guide, this book provides rapid and succinct access to what can be an intimidating and complex subject. The value of market risk statistical analysis in resource and performance evaluation and setting trading limits is long-established. Statistical methods provide an objective assessment of the risks facing a financial institution and, as importantly, offer their potential clients a fully transparent risk profile of products and services. Market Risk Modelling, Second Edition covers the topics key to risk modelling and management, such as EVT, principle components and fitting probability distributions. A quickly digestible reference to this rapidly evolving field, Market Risk Modelling, Second Edition is a must read for all risk management professionals and quants who need practical and applicable insight into this vitally important subject. About the Author Dr Nigel D. Costa Lewis has been a quant on a trading floor, a Chief Risk Officer, Managing Director on a $100bn portfolio, and taught economics and statistics at university. He has written five books on investment risk and published numerous journal articles. His most recent work has appeared in the Journal of Investing, Journal of Wealth Management and the Journal of Pensions. An international speaker, his innovative, original and insightful keynote talks on investment risk have been presented at the Pension Review Board, Financial Planning Association, the Financial Services Professionals Association, Texas Association of Public Employee Retirement Systems and numerous other business and financial organizations. A great advocate of servant leadership he remains very active in the investment industry. Amongst his many roles, Dr. Lewis is a member of the technical advisory board of the Investment Management Consultants Association, helping design a risk-based curriculum for their 10,000 members. He obtained his PhD from the University of Cambridge and now spends his time writing, speaking and consulting on all things risk out of his homestead in the hill country of Texas.