This book is a compilation of articles that have been published in
Invesco’s Risk & Reward publication. The focus of these
articles were twofold. First, the inadequacies of the conventional
tools are outlined. In particular, the assumption of independent
identical normally distributed returns is ill-suited to the realities
of the financial markets. Second, complex methodologies, such as risk
modelling using Copulas, as well as practice-oriented means of risk
approximation are explained from a conceptional point of view, such to
provide the reader with a basic understanding of these techniques. The
aim throughout is to modify distribution assessments in such a way to
render Value-at-Risk and Expected Shortfall more useful in practical
risk management. A German version of this book has been made
available, too. Aside from the other channels, these books can
directly be ordered from the publisher by following the link as shown
by the cover image on the top right.

Content

The content of the book is structured as:

First Preface

Second Preface

Risk modelling and extreme value theory

Distributions for modelling of financial market time series

Conditional volatility modelling

Concepts and measures for detecting relations between risk factors

The concept of a copula

Alternative risk measures in the portfolio context

The copula-GARCH procedure

Appendix

List of Figures

List of Tables

Bibliography

The author

Portrait of the Company

Citation

German version:
Bernhard Pfaff, Modellierung von Einzel- und Portfoliorisiken,
Fat Tails, Volatilitäsbündelung und Copulae,
Frankfurter Allgemeine Buch, 2010, Frankfurt am Main,
ISBN 978-3-89981-227-5.

English version:
Bernhard Pfaff, Modelling Financial Risks, Fat Tails, Volatility Clustering
and Copulae, Frankfurter Allgemeine Buch, 2010, Frankfurt am Main,
ISBN 978-3-89981-229-9.