Leeds University Library

MATH5340M
Module Reading List

Risk Management, 2017/18, Semester 2
Dr Katia Colaneri
TBC
Tutor information is taken from the Module Catalogue

Main course text :

A. McNeil, R. Frey and P. Embrechts (2005): Quantitative risk management : concepts, techniques, and tools , Princeton University Press.

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Additional reading :

A. Meucci (2007): Risk and asset allocation . Springer Finance.

S. Allen (2003) Financial risk management : a practitioner's guide to managing market and credit risk . Wiley

Basel Committee on Banking Supervision (1988): International Convergence of Capital Measurement and Capital Standards , available at http://www.bis.org/publ/bcbs04a.htm

Basel Committee on Banking Supervision (2004): International Convergence of Capital Measurement and Capital Standards – A revised framework , available at http://www.bis.org/publ/bcbs107.pdf

Basel Committee on Banking Supervision (2013): International regulatory framework for banks (Basel III), available at http://www.bis.org/bcbs/basel3.htm

Credit Suisse First Boston (1997): CreditRisk + : a Credit Management Framework , available from: https://web.archive.org/web/20040409142523/http://csfb.com/institutional/research/assets/creditrisk.pdf

D. Duffie and K.J. Singleton (2003) Credit risk : pricing, management, and measurement , Princeton University Press.

J.P. Morgan Inc. (1997): CreditMetrics – Technical Document , available from www.msci.com/resources/technical_documentation/CMTD1.pdf

P. Jorion (2007) Value at Risk , McGraw-Hill, 3rd edition.

This list was last updated on 20/01/2017