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Using a Market Risk Reference and Supplementing It for Newer Topics

Article Quant Q&A · Author: stam
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Summary

The document responds to a request for an introductory, broad view of market risk in investment banking, particularly for an IT professional working with a quantitative risk team. The recommended starting point is a four-volume reference on market risk analysis, accompanied by workbooks. The suggestion is intended to provide an organized general resource rather than requiring the reader to begin with detailed derivatives mathematics.

The recommendation has a clear time limitation: the reference dates from 2008 and does not cover later developments such as risk not in VaR or the Fundamental Review of the Trading Book. The response notes that these newer subjects may be especially relevant to technology work supporting market risk. It offers no comparison with other courses or books and no learning sequence, so readers may need focused resources or questions to cover current regulatory and implementation topics.

Key ideas

  • A multi-volume market risk analysis reference is suggested for broad foundational study.
  • Workbooks accompany the recommended reference.
  • The reference predates later topics such as risk not in VaR and the Fundamental Review of the Trading Book.
  • Readers working on newer risk systems may need additional focused material.

Tags

Risk managementFixed incomeDerivatives pricing
Full text
# book for (investment banking) market risk overview


# book for (investment banking) market risk overview












what is a good intro book / course / source of knowledge on the topic of Market Risk for investment banking? I'm IT person cooperating with quants market risk team, and found myself either missing some finance knowledge and or getting confused on a generic terms meaning within market risk context. Tried a few books, but the likes of "Options, futures and other derivatives" etc are way too detailed to me, I need to have a broad overall understanding, rather than see through the math on a specific models. (Detailed book will be still fine if organized in a way the basic concepts can be picked up separately without forcing me to dive too deep into each subject)

(note there was user in a somehow similar situation posting Book recommendation for credit risk management for banking but - besides aiming for a different risk field - it was asked many years ago)

## Answer by Dimitri Vulis (score 2)

https://quant.stackexchange.com/a/77613

I suggest Carol Alexander, Market Risk Analysis (2008), volumes I, II, III, IV.

Workbooks

Edit: while she's an excellent general reference as of 2008, she doesn't cover topics that arose in the last 15 years, for example, risk not in VaR (RNIV) or FRTB. I suspect that IT development might be disproportionately focused on the later. You may need more focused questions on specific topics.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.