Contents, i-xvii.

  1. Modeling Market Returns, 3-39.

  2. Time Series, 41-85.

  3. Processes with Jumps, 87-114.

  4. Correlation and Dependence, 115-135.

  5. Superhedging Risk Measure, 139-166.

  6. Value at Risk, 167-194.

  7. Expected Shortfall, 195-217.

  9. Credit Risk - Structural Approach, 221-236.

  10. Credit Risk - Reduced-Form Approach, 237-250.

  11. Credit Derivatives, 251-269.

  11. Credit Scoring, 271-292.

  Appendix: Background on Probability Theory, 295-337.

  Exercise Solutions, 339-409.

  References and Index, 411-426.