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Part IV: Quantitative Risk Management

By Jan W. Dash
From Quantitative Finance And Risk Management: A Physicist's Approach

Chapter List

Chapter 21: Fat Tail Volatility (Tech. Index 5/10)
Chapter 22: Correlation Matrix Formalism; the N-Sphere (Tech. Index 8/10)
Chapter 23: Stressed Correlations and Random Matrices (Tech. Index 5/10)
Chapter 24: Optimally Stressed PD Correlation Matrices (Tech. Index 7/10)
Chapter 25: Models for Correlation Dynamics, Uncertainties (Tech. Index 6/10)
Chapter 26: Plain-Vanilla VAR (Tech. Index 4/10)
Chapter 27: Improved/Enhanced/Stressed VAR (Tech. Index 5/10)
Chapter 28: VAR, CVAR, CVAR Volatility Formalism (Tech. Index 7/10)
Chapter 29: VAR and CVAR for Two Variables (Tech. Index 5/10)
Chapter 30: Corporate-Level VAR (Tech. Index 3/10)
Chapter 31: Issuer Credit Risk (Tech. Index 5/10)
Chapter 32: Model Risk Overview (Tech. Index 3/10)
Chapter 33: Model Quality Assurance (Tech. Index 4/10)
Chapter 34: Systems Issues Overview (Tech. Index 2/10)
Chapter 35: Strategic Computing (Tech. Index 3/10)
Chapter 36: Qualitative Overview of Data Issues (Tech. Index 2/10)
Chapter 37: Correlations and Data (Tech. Index 5/10)
Chapter 38: Wishart's Theorem and Fisher's Transform (Tech. Index 9/10)
Chapter 39: Economic Capital (Tech. Index 4/10)
Chapter 40: Unused-Limit Risk (Tech. Index 6/10)
Copyright World Scientific Publishing Co. Pte. Ltd. 2004 under license agreement with Books24x7
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Topics of Interest

In this chapter, we look at fat tails in distributions of underlying variable moves from a practical perspective. We are especially concerned with obtaining some sort of volatility for fat tails. We...

Chapter List Chapter 4: Equity Options (Tech. Index 3/10) Chapter 5: FX Options (Tech. Index 4/10) Chapter 6: Equity Volatility Skew (Tech. Index 6/10) Chapter 7: Forward Curves (Tech.

In this chapter, we discuss begin a discussion of VAR, an acronym for Value at Risk [i]. The "Plain-Vanilla VAR" (PV-VAR) along with its incarnation as a quadratic form ( QPV-VAR) is a standard risk...

In this chapter, we present a formal functional derivation of the VAR and CVAR equations for the linear case. We pay particular attention to the CVAR volatility. The derivation is done for in the...

Chapter List Chapter 41: Path Integrals and Options: Overview (Tech. Index 4/10) Chapter 42: Path Integrals and Options I Introduction (Tech. Index 7/10) Chapter 43: Path Integrals and...