Contents, i-xv.

  1. Modeling Market Returns, 3-36.

  2. Time Series, 37-75.

  3. Processes with Jumps, 77-102.

  4. Correlation and Dependence, 103-122.

  5. Superhedging Risk Measure, 125-152.

  6. Value at Risk, 153-178.

  7. Expected Shortfall, 179-201.

  9. Credit Risk - Structural Approach, 205-219.

  10. Credit Risk - Reduced-Form Approach, 221-234.

  11. Credit Derivatives, 235-253.

  11. Credit Scoring, 255-276.

  Appendix: Background on Probability Theory, 279-317.

  Exercise Solutions, 323-392.

  References and Index, 393-407.