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Understanding Risk

The Theory and Practice

of Financial Risk Management

CHAPMAN & HALL/CRC

Financial Mathematics Series

Aims and scope:

The field of financial mathematics forms an ever-expanding slice of the financial sector. This series

aims to capture new developments and summarize what is known over the whole spectrum of this

field. It will include a broad range of textbooks, reference works and handbooks that are meant to

appeal to both academics and practitioners. The inclusion of numerical code and concrete real-world

examples is highly encouraged.

Series Editors

M.A.H. Dempster

Centre for Financial

Research

Judge Business School

University of Cambridge

Dilip B. Madan

Robert H. Smith School

of Business

University of Maryland

Rama Cont

Center for Financial

Engineering

Columbia University

New York

Published Titles

American-Style Derivatives; Valuation and Computation, Jerome Detemple

Engineering BGM, Alan Brace

Financial Modelling with Jump Processes, Rama Cont and Peter Tankov

An Introduction to Credit Risk Modeling, Christian Bluhm, Ludger Overbeck, and

Christoph Wagner

Introduction to Stochastic Calculus Applied to Finance, Second Edition, Damien Lamberton

and Bernard Lapeyre

Numerical Methods for Finance, John A. D. Appleby, David C. Edelman, and John J. H. Miller

Portfolio Optimization and Performance Analysis, Jean-Luc Prigent

Robust Libor Modelling and Pricing of Derivative Products, John Schoenmakers

Structured Credit Portfolio Analysis, Baskets & CDOs, Christian Bluhm and

Ludger Overbeck

Understanding Risk: The Theory and Practice of Financial Risk Management, David Murphy

Proposals for the series should be submitted to one of the series editors above or directly to:

CRC Press, Taylor and Francis Group

24-25 Blades Court

Deodar Road

London SW15 2NU

CHAPMAN & HALL/CRC FINANCIAL MATHEMATICS SERIES

Understanding Risk

The Theory and Practice

of Financial Risk Management

David Murphy

Boca Raton London New York

Chapman & Hall/CRC is an imprint of the

Taylor & Francis Group, an informa business

Chapman & Hall/CRC

Taylor & Francis Group

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Boca Raton, FL 33487-2742

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No claim to original U.S. Government works

Printed in the United States of America on acid-free paper

10 9 8 7 6 5 4 3 2 1

International Standard Book Number-13: 978-1-58488-893-2 (Softcover)

This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted

with permission, and sources are indicated. A wide variety of references are listed. Reasonable efforts have been made to

publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of

all materials or for the consequences of their use.

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Library of Congress Cataloging-in-Publication Data

Murphy, David (David V. J.), 1965-

Understanding risk : the theory and practice of financial risk management / David Murphy.

p. cm. -- (Chapman & Hall/CRC financial mathematics series)

Includes bibliographical references and index.

ISBN 978-1-58488-893-2 (pbk. : alk. paper)

1. Financial risk management. 2. Investment analysis. 3. Portfolio management. I. Title. II. Series.

HG4529.5.M87 2007

658.15’5--dc22

2007022602

Visit the Taylor & Francis Web site at

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and the CRC Press Web site at

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