Portfolio Risk Analysis
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"Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way."--Christopher L. Culp, author of Structured Finance and Insurance "The range of topics is wide and the coverage is deep. An impressive book." --Peter Christoffersen, McGill University "The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becomi...
"Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way."--Christopher L. Culp, author of Structured Finance and Insurance "The range of topics is wide and the coverage is deep. An impressive book." --Peter Christoffersen, McGill University "The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becoming pedantic and without cutting corners."--Riccardo Rebonato, Royal Bank of Scotland "This book takes major steps forward in the crucially important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk, as well as macroeconomic, FX, credit, transactions cost, and liquidity risks. It will be an essential reference text for academics, central bankers, and others in the financial services industry."--Francis X. Diebold, University of Pennsylvania
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