Rate of Return and Financial Risk



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 

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) (http://www.riskmetrics.com)
  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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