This book introduces readers to the notions of risk, performance measures and their wide range of applications to financial risk. Further, it describes their actual implementation in the field in terms of professional software. The book tackles these topics from a number of angles. It introduces statistical and econometric frameworks for modeling asset returns for large financial portfolios in volatile markets; and it gives readers approaches to portfolio optimization and trading strategies, and provides methods for computational finance useful to financial risk analysis, portfolio management, and academics interested in financial applications. The authors have divided the book into seven parts, including: Part One which covers modeling asset returns; univariate and multivariate generalized stable time series models, copulas- parametric and semi-parametric; Part Two which covers risk and severity measures and performance ratios; Part Three which covers risk management techniques for market risk and credit risk; Part Four which covers factor models (macro, fundamental, statistical) in the presence of volatility clustering, heavy-tailed distributions for asset returns, and non-Gaussian asset dependencies; Part Five which covers large scale portfolio optimization for long, long-short zero-investment strategies and Bayesian methods in portfolio optimization; and Part Six which helps readers to apply the tools to funds-of-funds.
