Welcome to the Market Risk Analysis website. The main purpose of the site is to provide a resource for readers and prospective readers of my books. Here you can link to my home pages, where I host a discussion forum for each book, as well as a general discussion forum on market risk analysis. Any typos and changes to previous printings of Market Risk Analysis are also available under the links to each volume below.
The current crisis in the funding of banks, created by the credit squeeze, is alarming market participants, politicians and the general public. So there is an unusual level of interest in the risk of financial markets, i.e. what the layperson might call ‘market risk’. But this website is about market risk analysis in the formal, technical sense. That is, it is about market risk and not credit risk or operational risk. And, it is about market risk analysis and not about market risk management. Having said this, it is an important time for academics to express opinions about the crisis, and to this end I have created a market commentary section of the site
Market Risk Analysis is a series of 4 interlinked text books. Its aim is to define a syllabus for education in market risk analysis, from the basics to the most advanced level of understanding we have today, to set standards for the profession of market risk analyst, and to provide the means whereby the required skills may be attained. My main purpose is to provide a self-study programme for readers wishing to gain a proper foundation for the job of market risk analyst. Dedicated and intelligent readers should be able to understand the material in all four books with approximately one year of full-time study.
The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study. In total there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies. These are contained in approximately 1500 interactive Excel spreadsheets in 140 Excel workbooks on the CD-ROMs.
These interactive Excel examples offer course tutors endless possibilities for setting empirical exercises based on this book. Whenever an add-in or analysis tool is used, clear instructions are given and if an Excel example is not possible (for instance, when estimating parameters of a Markov switching model or when calibrating stochastic volatility models) then special code in EViews or Matlab is provided.
Several case studies, based on complete and up-to-date financial data, and all graphs and tables in the text are also contained in workbooks on the CR-ROMs. The financial data were obtained from free internet sources and references for updating the data sets are provided. In addition, the graphs, figures and tables can be modified if required, and course tutors have permission to copy and paste these as enhanced metafiles into personal lectures notes for courses based on this book.