Contents, i-xvii.

  1. Modeling Market Returns, 3-38.

  2. Time Series, 39-80.

  3. Processes with Jumps, 81-106.

  4. Correlation and Dependence, 107-126.

  5. Superhedging Risk Measure, 129-156.

  6. Value at Risk, 157-185.

  7. Expected Shortfall, 187-210.

  9. Credit Risk - Structural Approach, 213-227.

  10. Credit Risk - Reduced-Form Approach, 229-242.

  11. Credit Derivatives, 243-261.

  11. Credit Scoring, 263-284.

  Appendix: Background on Probability Theory, 287-329.

  Exercise Solutions, 331-401.

  References and Index, 403-417.