Contents, i-xv.

  1. Modeling Market Returns, 3-31.

  2. Time Series, 33-71.

  3. Processes with Jumps, 73-98.

  4. Correlation and Dependence, 99-118.

  5. Superhedging Risk Measure, 121-146.

  6. Value at Risk, 147-170.

  7. Expected Shortfall, 171-192.

  8. Credit Scoring, 195-214.

  9. Credit Risk - Structural Approach, 215-228.

  10. Credit Risk - Reduced-Form Approach, 229-241.

  11. Credit Derivatives, 243-259.

  Appendix: Background on Probability Theory, 263-305.

  Exercise Solutions, 307-367.

  References and Index, 369-383.