Finantial Risk

• https://uspdigital.usp.br/jupiterweb/obterDisciplina?sgldis=EAC0329&codcur=12042&codhab=4

JORION, P. Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill, 3 ed.,
2006.
PANJER, H.H.. Operational Risk: Modeling Analytics. Wiley-Interscience, 2006.
BOHN, J. R., STEIN, R. M. Active Credit Portfolio Management in Ptactice. Wiley, 2009.
JORION, Philippe. Financial risk manager handbook. New Jersey: Wiley, 2003.
Fabozzi, F. J. et al. Operational Risk: A Guide to Basel II Capital Requirements, Models and
Analysis. John Wiley, 2007.
SAUNDERS, A., ALLEN, L. Credit Risk Measurement: New Approaches to Value at Risk and
Other Paradigms. John Wiley, 2002.

• https://uspdigital.usp.br/jupiterweb/obterDisciplina?sgldis=EAC0554&codcur=12042&codhab=4

Bjork, T. (2004) Arbitrage theory in continuous time. Oxford University Press.

Bühlmann, H. (1970) Mathematical models in risk theory. Springer.

Klugman, S. A.; Panjer, H. H.; Willmot, G. E. (2004) Loss models: from data to decisions. 2nd ed.

Merton, R. C. (1992) Continuous-time finance. Revised ed. Oxford: Blackwell. 732 pages.
ISBN: 0631185089.

Panjer, H.H. and Willmot, G.E. (1992) Insurance risk models. Society of Actuaries.

Bibliografia Complementar

Ross, S.M. (2003) An elementary introduction to mathematical finance. Cambridge

Shreve, S. (2004) Stochastic calculus for Finance (vol I and II). Springer.

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