Rate of Return and Financial Risk

  • Tomas Cipra


Chapter 12 is devoted to problems related to financial risk: 12.1. Rate of return, 12.2. Financial risk, 12.3. Value at risk VaR, 12.4. Credit at risk CaR.


Risk Measure Credit Risk Financial Risk Financial Asset Implied Volatility 
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Further Reading

  1. Bluhm, C., Overbeck, L., Wagner, C.: An Introduction to Credit Risk Modeling. Chapman & Hall/CRC (2003)Google Scholar
  2. Bollerslev, T.: Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31, 307–327 (1986)MathSciNetMATHCrossRefGoogle Scholar
  3. Brealey, R.A., Myers, S.C.: Principles of Corporate Finance. McGraw-Hill, New York (1988)Google Scholar
  4. CreditMetrics – Technical Document. J.P. Morgan, New York (1997) (
  5. Das, S. (ed.): Risk Management and Financial Derivatives. MacMillan, Houndmills, UK (1998)Google Scholar
  6. Dowd, K.: Beyond Value at Risk. Wiley, Chichester, UK (1998)MATHGoogle Scholar
  7. Dupacova, J., Hurt, J., Stepan, J.: Stochastic Modeling in Economics and Finance. Kluwer, Dordrecht (2002)MATHGoogle Scholar
  8. Engle, R.: Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987–1007 (1982)MathSciNetMATHCrossRefGoogle Scholar
  9. Gourieroux, C.: The Econometrics of Individual Risk. Princeton University Press, Princeton and Oxford (2007)MATHGoogle Scholar
  10. Jorion, P.:Value at Risk. McGraw-Hill, New York (1997)Google Scholar
  11. Lawrence, D.: Measuring and Managing Derivative Market Risk. Thomson, London (1996)Google Scholar
  12. McNeil, A.J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press, Princeton and Oxford (2005)MATHGoogle Scholar
  13. Sharpe, W.F., Alexander, G.J.: Investments. Prentice Hall, Englewood Cliffs, NJ (1990)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Dept. of Statistics, Faculty of Mathematics and PhysicsCharles University of PraguePragueCzech Republic

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