Risk Management and Analysis, Volume 1

Risk Management and Analysis, Volume 1: Measuring and Modelling Financial Risk
Edited by Carol Alexander

In the two years since the publication of The Handbook of Risk Management and Analysis interest and the practice of management, modelling and control of financial risks has grown enormously. The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains. Measuring and Modelling Financial Risk has been structured in four parts: the first three chapters survey standard approaches to measuring and modelling financial risk from the risk manager perspective, Chapters 4 and 5 are aimed primarily at quantitative risk analysts whose job it is to put the systems in place. Chapters 6 and 7 discuss important issues in IT and systems design, and the last two chapters cover pricing and risk management of credit-risky products. Leading figures in the field contribute: Michel Crouhy, Dan Galai and Robert Mark, Stan Beckers, Thomas Wilson, Mark Broadie and Paul Glasserman, Nigel Webb, Ron Dembo, Robert Jarrow and Stuart Turnbull, and Lee Wakeman.

"Risk management is becoming an increasingly important activity for financial institutions, fund managers, and corporate treasurers. It used to be the case that the brightest 'quants' were used to design and value ever-more-exotic derivatives. Now increasingly they are finding that their talents can best be put to work in risk management. In this volume Carol Alexander has gathered together nine articles concerned with different aspects of risk management and analysis. The topics covered include the regulatory framework, volatility and correlation models, value at risk, and credit risk. The book will provide a valuable source of reference material for both market participants and students."
―John Hull, August 1998

Carol Alexander obtained her PhD in Algebraic Number Theory, then worked at the Gemente Universiteit in Amsterdam and at UBS Phillips and Drew in London before joining the Mathematics Faculty of the University of Sussex in 1985. She holds a BSc in Mathematics with Experimental Psychology and an MSc in Econometrics and Mathematical Economics from the London School of Economics. Since 1990 Dr Alexander has been consulting, training, speaking at conferences, writing books and articles, and developing software in the areas of risk management and investment analysis. In 1996 she became the academic director of Algorithmics Inc (part-time) and in 1998 she eventually left the academic world to join Nikko Global Holdings as Director and Head of Market Risk Modelling. However, she retains a visiting fellowship at the University of Sussex. She has developed a number of computer programs and software packages for Risk and Investment analysis based on time series techniques. One of these was the winner of the first International Non-Linear Financial Forecasting Competition in 1997. Another used the concept of cointegration to build long-term index tracking tools for fund management, and long-short strategies for portfolio hedging. A third software module is based on her original research, using orthogonal factors to produce large Garch covariance matrices for factor models.