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The objective of this book is to set up an economic quantitative model
for the assessment of financial market risk. The Measurement of Market
Risk reviews the probabilistic modelling of so-called risk factors, which
represent the uncertainty of financial markets, and discusses the issue
of risk as the perception of uncertainty by individuals when faced with
a decision problem. Further, the book discusses the pricing of financial
instruments as a function of risk factors. Emphasis is put on options,
because they exhibit a non-linear exposure to the risk factors. The core
of the text is the assessment of risk for financial portfolios by way of
estimating the portfolio probability distribution. A new approach, the
Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA),
which poses no assumptions on the risk factor distribution and accounts
for the non-linearity of the price functions, is introduced.

Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

The Measurement of Market Risk

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