Contents, i-xvii.

  1. Modeling Market Returns, 3-40.

  2. Time Series, 41-86.

  3. Processes with Jumps, 87-115.

  4. Correlation and Dependence, 117-137.

  5. Superhedging Risk Measure, 141-169.

  6. Value at Risk, 171-199.

  7. Expected Shortfall, 201-225.

  9. Credit Risk - Structural Approach, 229-244.

  10. Credit Risk - Reduced-Form Approach, 245-258.

  11. Credit Derivatives, 259-277.

  11. Credit Scoring, 279-303.

  Appendix: Background on Probability Theory, 307-349.

  Exercise Solutions, 351-421.

  References and Index, 423-438.