Market Risk

<body topmargin="0" leftmargin="0" stylesrc="../_private/template_title.htm" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <table border="0" cellspacing="0" width="100%" cellpadding="10" style="border-collapse: collapse" bordercolor="#111111" id="table2"> <tr> <td width="100%" bgcolor="#FFFFCC"> <p class="header_black">Risk Management: <span class="header_gold">Market Risk</span></td> </tr> </table> <div align="left"> <table border="0" cellspacing="4" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table3"> <tr> <td width="740" bgcolor="#FFFFFF"> <div align="center"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table4"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table5"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap396"> <area href="../titles/butler_c_(1999).htm" shape="rect" coords="0, 0, 149, 199"> </map> <img border="0" src="../images/book_butler.jpg" usemap="#FPMap396" width="150" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table6"> <tr> <td width="100%"> <p class="book_title">Mastering Value-at-Risk</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table7"> <tr> <td width="100%" colspan="3"> <p class="book_details">Cormac Butler</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap397"> <area href="../main/ratings.htm" shape="rect" coords="1, 2, 89, 15"></map> <img border="0" src="../images/star_4.gif" usemap="#FPMap397" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap398"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/tech_2.gif" usemap="#FPMap398" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap399"> <area target="_self" href="../titles/butler_c_(1999).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap399" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">This is a nice basic introduction to VaR. It has plenty of worked spreadsheet examples. Little prior knowledge is assumed, and Butler literally walks readers through computations. Essential formulas are detailed, and there are plenty of line drawings to illustrate concepts ... <a href="../titles/butler_c_(1999).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table8"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap101"> <area href="../titles/pearson_n_(2002).htm" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_pearson_n_(2002).gif" usemap="#FPMap101" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table9"> <tr> <td width="100%"> <p class="book_title">Risk Budgeting</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table10"> <tr> <td width="100%" colspan="3"> <p class="book_details">Neil D. Pearson</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap100"> <area target="_self" coords="0, 0, 89, 15" shape="rect" href="http://www.riskbook.com/main/ratings.htm"> </map><img border="0" src="../images/star_3.gif" usemap="#FPMap100" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap43"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map><img border="0" src="../images/tech_3.gif" usemap="#FPMap43" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap410"> <area target="_self" href="../titles/pearson_n_(2002).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap410" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">The term "risk budgeting" is used to describe various contexts in which VaR is applied to support investment decisions. In a multi-manager setting, individual managers can be given risk budgets. Asset allocation and portfolio optimization can also be performed in terms of risk budgets ... <a href="../titles/pearson_n_(2002).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table11"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap4"> <area href="../titles/esch_et_al_(2005).htm" shape="rect" coords="0, 0, 134, 199"> </map> <img border="0" src="../images/book_esch_et_al_(2005).gif" usemap="#FPMap4" width="135" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table12"> <tr> <td width="100%"> <p class="book_title">Asset and Risk Management</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table13"> <tr> <td width="100%" colspan="4"> <p class="book_details">Esch, Louis, et al</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap441"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_3.gif" usemap="#FPMap441" width="90" height="16"></td> <td width="25" class="book_details_tags"> <map name="FPMap442"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap442" width="90" height="16"></td> <td width="25" class="book_details_tags"> 2005</td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap443"> <area target="_self" href="../titles/esch_et_al_(2005).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap443" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">This is a basic text on financial risk management. While it mentions topics such as credit risk and operational risk, it is primarily about market risk from a portfolio manager's perspective. That are chapters that describe the risks of bonds, equities and options. Other chapters describe portfolio optimization and arbitrage pricing theory. There are several elementary chapters on value-at-risk. Tucked at the back of the book, there is a chapter on ALM that blends traditional techniques with value-at-risk and related concepts</strong> ... <a href="../titles/esch_et_al_(2005).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table14"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap3"> <area href="../titles/christoffersen_p_(2003).htm" shape="rect" coords="0, 0, 130, 199"> </map> <img border="0" src="../images/book_christoffersen_p_(2003).gif" usemap="#FPMap3" width="131" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table15"> <tr> <td width="100%"> <p class="book_title">Elements of Financial Risk Management</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table16"> <tr> <td width="100%" colspan="3"> <p class="book_details">Peter F. Christoffersen</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap445"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap445" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap2"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap2" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap440"> <area target="_self" href="../titles/christoffersen_p_(2003).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap440" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body"><strong style="font-weight: 400">The year 2003 has witnessed the release of some groundbreaking books on market risk management offering a level of practical sophistication unseen in earlier books</strong> ... <a href="../titles/christoffersen_p_(2003).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table17"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap444"> <area href="../titles/dowd_k_(2002).htm" shape="rect" coords="0, 0, 135, 199"> </map> <img border="0" src="../images/book_dowd_kevin_(2005).jpg" usemap="#FPMap444" width="136" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table18"> <tr> <td width="100%"> <p class="book_title">Measuring Market Risk</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table19"> <tr> <td width="100%" colspan="3"> <p class="book_details">Kevin Dowd</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap435"> <area href="http://www.riskbook.com/main/ratings.htm" shape="rect" coords="1, 2, 89, 15"></map> <img border="0" src="../images/star_4.gif" usemap="#FPMap435" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap144"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap144" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap411"> <area target="_self" coords="0, 0, 90, 25" shape="rect" href="../titles/dowd_k_(2002).htm"> </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap411" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Kevin Dowd has written an excellent introduction to VaR and related risk measures that will appeal to several audiences. The first two-thirds of the book are a non-technical treatment of market risk measures that will be accessible to all financial professionals ... <a href="../titles/dowd_k_(2002).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table20"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap53"> <area href="../titles/allen_s_(2003).htm" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_allen_s_(2003).gif" usemap="#FPMap53" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table21"> <tr> <td width="100%"> <p class="book_title">Financial Risk Management</td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table22"> <tr> <td width="100%" colspan="3"> <p class="book_details">Steven Allen</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap51"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/star_5.gif" usemap="#FPMap51" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap52"> <area href="../main/ratings.htm" shape="rect" coords="0, 0, 89, 15"> </map> <img border="0" src="../images/tech_3.gif" usemap="#FPMap52" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap439"> <area target="_self" href="../titles/allen_s_(2003).htm" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap439" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Allen's years of experience with JPMorgan Chase shine through with this practical and insightful text. While the book has brief chapters on credit risk and operational risk, it is primarily a text on market risk management ... <a href="../titles/allen_s_(2003).htm">Read more</a></td> </tr> </table> </td> </tr> </table> </div> <div align="center"> <table border="0" cellpadding="6" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table23"> <tr> <td valign="top" align="right" height="198" width="150"> <p align="left"> <map name="FPMap438"> <area target="_top" href="http://www.value-at-risk.net" shape="rect" coords="0, 0, 131, 199"> </map> <img border="0" src="../images/book_holton_g_(2003).jpg" usemap="#FPMap438" width="132" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" width="100%" id="table24"> <tr> <td width="100%"> <p class="book_title">Value-at-Risk<br> <span class="book_title_sub">Theory and Practice</span></td> </tr> <tr> <td width="102%" class="book_details_tags" valign="top" height="16" align="left"> <table border="0" cellpadding="2" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table25"> <tr> <td width="100%" colspan="3"> <p class="book_details">Glyn A. Holton</td> </tr> <tr> <td width="50" class="book_details_tags"> <map name="FPMap432"> <area target="_blank" coords="2, 1, 89, 15" shape="rect" href="../main/ratings.htm"> </map> <img border="0" src="../images/star_6.gif" usemap="#FPMap432" width="90" height="16"></td> <td width="50" class="book_details_tags"> <map name="FPMap183"> <area target="_blank" href="../main/ratings.htm" shape="rect" coords="0, 1, 89, 15"> </map> <img border="0" src="../images/tech_4.gif" usemap="#FPMap183" width="90" height="16"></td> <td width="100%" class="book_details_tags"> <p align="right"><map name="FPMap433"> <area target="_top" href="http://www.value-at-risk.net" shape="rect" coords="0, 0, 90, 25" > </map> <img border="0" src="../images/pointer_review.gif" usemap="#FPMap433" width="90" height="25" ></td> </tr> </table> </td> </tr> <tr> <td class="book_details_tags" valign="top" align="left"> <p class="body">Six years in writing, this is the first advanced book on value-at-risk ... <a target="_top" href="http://www.value-at-risk.net"> Read more</a></td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table26"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> </td> <td bgcolor="#FFFFFF">  </td> </tr> </table> </div> <div align="center"> <center> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table27"> <tr> <td width="50%" bgcolor="#FFFFCC" align="left" valign="top"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="50%" bgcolor="#CCCCFF" align="left" valign="top"> <p class="body" style="margin:4 7; "><b> <font color="#333366" size="3">For related books, also see sections:</font></b></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_general.htm">Risk Management - General</a></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_credit_institutional.htm">Risk Management - Credit Risk</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_operational_risk.htm">Risk Management - Operational Risk</a></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_liquidity_risk.htm">Risk Management - Liquidity Risk</a></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_alm.htm">Risk Management - Asset-Liability Management</a></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_corporate.htm">Risk Management - Corporate</a></p> <p class="bullet" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_capital_allocation.htm">Risk Management - Capital Allocation</a></p> <p class="alternatives_text" style="margin: 4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/portfolio_management_asset_allocation.htm">Portfolio Management - Asset Allocation</a></p> <p class="alternatives_text" style="margin: 4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/portfolio_management_performance_analysis.htm">Portfolio Management - Performance Analysis</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/other_functions_regulation.htm">Other Functions - Regulation</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/other_functions_trading.htm">Other Functions - Trading</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/other_functions_treasury.htm">Other Functions - Treasury</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/finance_general.htm">Finance - General</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/finance_portfolio_theory.htm">Finance - Portfolio Theory</a></p> <p class="bullet_line_space" style="margin:4 7; "> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/financial_engineering_basic.htm">Financial Engineering - Basic Theory</a></p> </td> </tr> </table> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="10" bgcolor="#FFFFCC" id="table28"> <tr> <td width="100%">  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a><br> <span class="verdana10">books direct link:</span> <a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p> </td> </tr> </table> </center> </div> </body>