Advanced Quantitative Risk Management: Volatility, Copulas, and Tail Risk Models

Name: Advanced Quantitative Risk Management: Volatility, Copulas, and Tail Risk Models
Brand: Independently Published
SKU: 9798862702170
Price: 2996.0 INR
Availability: InStock

by Alice Schwartz , James Preston

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ISBN13: 9798862702170
Binding: Paperback
Subject: N/A
Publisher: Independently Published
Publisher Imprint: Independently Published
Publication Date: August 26, 2026
Pages: 444
Original Price: GBP 26.37
Language: English
Edition: N/A
Item Weight: 531 grams
BISAC Subject(s): Finance / Financial Risk Management

About The Book

Reactive Publishing

Master the Mathematical and Structural Mechanics of Institutional Risk Control

Advanced Quantitative Risk Management provides a rigorous, unified treatment of the quantitative frameworks used to measure, model, and mitigate extreme market outcomes. Designed for quantitative analysts, portfolio managers, and financial engineers, this text bridges the gap between theoretical risk metrics and practical tail risk management.

Moving beyond standard variance-based models, this book details the advanced statistical tools necessary to capture non-normal distributions, systemic shocks, and complex asset dependencies.

Inside, you will find:

Volatility Modeling: Practical applications of stochastic volatility models, GARCH variants, and high-frequency volatility estimation in stressed market regimes.
Copula Theory & Dependency Structures: Step-by-step methodologies for applying Archimedean and Elliptical copulas to capture joint tail dependency and non-linear asset correlations.
Tail Risk Frameworks: Advanced application of Extreme Value Theory (EVT), including Generalized Pareto Distributions (GPD) for accurate Value-at-Risk (VaR) and Expected Shortfall (ES) estimation.
Hedging Strategies: Quantitative approaches to designing and executing asymmetric downside protection, convex payoff structures, and dynamic tail risk overlay strategies.

Whether you are designing institutional risk systems or refining options overlays, this volume serves as a comprehensive reference for modern quantitative risk control and tail risk engineering.

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