Financial Risk Forecasting

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market and credit risks. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. The book first provides an introduction to the financial markets and market process, and the nature of risk in this environment. It then introduces risk measures such as VaR, risk in derivatives, the properties of market prices, volatility, backtesting, risk management and the regulation of risk, extreme value theory and credit risks, and finally, looks at financial crises and how the nature of risk changes with these crises. It will act as a complete guide to the core quantitative competencies required to understand and manage risks in today's financial climate. In addition, the author provides source code in both MATLAB and R, two of the most commonly used modeling programs with which the reader can implement the models illustrated in the book.