Dr Miryana Grigorova
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.
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