Books on Risk Management and Computational Finance

Value at Risk: The New Benchmark for Managing Financial Risk (August 2000), by Philippe Jorion, McGraw-Hill.

Probably the standard reference on Value at Risk. It gives a nice introduction and overview. Details - especially on implementations - have to be found elsewhere. Also missing is a discussion about the short-comings of VaR as a risk measure (and alternatives like coherent risk measures).

Risk Management and Analysis : Measuring and Modelling Financial Risk (March 1999) by Carol Alexander (Editor), John C. Hull, (Wiley Series in Financial Engineering)

A nice collection of articles on VaR and risk management. Includes a nice overview of Monte Carlo simulation techniques by Broadie and Glasserman.

Beyond Value at Risk : The New Science of Risk Management (April 1998) by Kevin Dowd, (Wiley Series in Financial Engineering)

Probably the best overview of VaR in 1998. Many, also non-mainstream, techniques are named (GARCH, Quasi-Monte-Carlo, Extreme Value Theory,...). Most topics are only scratched, however. Other resources have to be consulted for deeper mathematical background or implementation issues.

Modelling Extremal Events for Insurance and Finance (1997) by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch

The standard reference on Extreme Value Theory as applied to finance and insurance.

The Econometrics of Financial Markets (December 1996) by John Y. Campbell, Andrew W. Lo (Contributor), Archie Craig MacKinlay, John W. Campbell, Andrew Y. Lo

One of the standard references on econometrics and time series analysis.

Reviews

reviews from 1997, 1998, and 1999 by Nassim Taleb

of books about derivatives

reviews by Philip Halperin

of three books about speculative bubbles

Indexes

GARP Bookstore

IFCI Financial Bookstore

finmath.com New Books