Elements of Financial Risk Management

Regression Var Recovery Extreme value theory Probability Arma Default Asset returns Monte-Carlo-Simulation Dependence Value-at-risk Moving Average T distribution GARCH Distributions Volatility Linear model Correlation Maximum Likelihood Moments Bootstrapping Credit Default Swaps Random number generation Black-Scholes-Merton model Expected Shortfall DCC models Covariance Filtered historical Simulation RiskMetrics Types of Risk Binomial Trees coherent stress testing credit VaR distribution forecast evaluation factor structure Cornish-Fisher approximation Gram-Charlier approximation historical simulation implied volatility functions market microstructure noise Merton model Multivariate t Distribution full valuation quasi maximum likelihood Realized volatility QQ plots Quadratic Model range-based volatility Real-life VaRs leverage effect Sampling Frequency stylized facts of returns VaR violations option gamma Threshold correlations normal copula Option delta Vasicek distribution realized covariance t copula