Market Risk Analysis, Practical Financial Econometrics

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I am not to the level to comment on the work of Prof Alexander Carol. I have a high respect for her. This book is a magic, eye opener for all who want to learn the practicalities of various Factor Models, GArch Models, Copula's, PCA, there simulations, there limitations and there uses in different scenarios.The best thing about any of the book of Madame Carol are the Excel examples, from which one can learn a lot. It is really really important that one goes through those examples , figures, case studies to visualize and learn.I would suggest to definitely go through the first part Quantitative Finance before you start with the 2nd as they are very much related and understanding of PCA and regression analysis especially the MLE are very important for part 2Once again thanks very very much Prof Carol, i am personally very greateful for these series and it has given me so much confidence and steep learning curve, which my Masters in Fin Eng was missing being very theoretical-Viv

Alexander's style is well-suited to this vast topic, where she efficiently distills the material down to the fundamentals before giving various examples. To paraphrase Einstein, Alexander makes it "as simple as possible, but no simpler". Both as a student and now as a financial practitioner I appreciate when books don't waste my time.This volume covers many topics in common with other texts - equity factor models and GARCH for example - but this is the best treatment I've seen, and Alexander's wealth of experience shines in the sections on forecasting and model evaluation. The accompanying CD opens up an additional level of interaction if you're willing to sit at your computer while studying, but the manageable format makes each of the four volumes of "Market Risk Analysis" quite portable. All four books are exceptionally well indexed and divided into meaningful sections for either study or reference, the notation is clear and consistent, the diagrams helpful and the worked examples are clear without being verbose.I would recommend that anyone with a specific application in mind buy at least the first volume, which establishes the foundation maths and notation, along with one or more of the latter volumes. Students, or anyone interested in covering additional ground, will benefit from the whole set as one of the definitive reference works in this fascinating but rapidly evolving field.

Consistent with the title, the second volume in Ms. Alexander's series covers common and practical econometric models. This is a great desk reference when you are out of practice or like in my case moving from a more segmented line of business back to a broader portfolio. I have the entire series of four and I refer to this volume and the fourth volume (VaR) quite frequently. While I still have a copy of Baltagi on my desk, Alexander's book truly is more practical because the examples are contemporary.

Professor Alexander has continued the excellent benchmark standard she first set with "Market Models" some years ago with this comprehensive 4-volume set, which should be on the desk of every investment banker and structured finance practitioner. One expects a thorough grounding in the subject with her books, this volume carries on the tradition but also blends in the theory with implementation. It also covers latest developments in structured credit...as someone who has structured and closed CDO, RMBS, N-PL ABS and ABCP deals myself (both cash and synthetic) I found the treatment of credit to be very worthwhile and high quality, well worth getting for that part of the volume alone. The placing of all related topics into one handsome set is also useful, as all material is gathered in one place.It is always gratifying to see someone who set high standards with his/her first book surpass them with later works...with this volume, Professor Alexander has written (for now!) the last word in financial market risk management. Highly recommended to practitioners and graduate students alike.

Just one hint, from somebody who learned a lot from Carol - if somebody with her experience decides to invest 5 years in sharing their understanding of the world of finance, I wouldn't miss the chance to read it! The scope of the book is unparalleled, and it doesn't come at the expense of thoroughness and clarity. And what you wouldn't get from four other books on those topics, is a unified, consolidated, approach to analysing and understanding areas which traditionally have been seen in isolation. I don't need to mention what difference it makes in practice, once you have the details, to be able to take one step back and see the bigger picture.