Calculate risk measures (book recommendation)?

I am a beginner to Risk and I am trying to start a project that it can calculate risk measures like VaR, LSTD, Beta, Correlation so I would like to systematically learn how those number are calculated pragmatically.

Could someone recommend me some books so that I can get started? Appreciate about that.

• Hi. I am a beginner also. I have heard of LGD but I don't know LSTD. Can you explain what this abbreviation means. Thanks. – noob2 Nov 11 '16 at 17:02
• Lower standard deviation. – Guifan Li Nov 11 '16 at 17:41

A good starting point is the following paper:

Risk Measures in Quantitative Finance by Sovan Mitra (2009)

From the abstract:

"[...] Despite risk measurement’s central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the present day risk measures. This paper reviews the most important portfolio risk measures in Financial Mathematics, from Bernoulli (1738) to Markowitz’s Portfolio Theory, to the presently preferred risk measures such as CVaR (conditional Value at Risk). We provide a chronological review of the risk measures and survey less commonly known risk measures e.g. Treynor ratio."

For your own experiments I recommend the PerformanceAnalytics R package.

The documentation is quite exhaustive and has many formulas and references included.

The vignette gets you started.

There is a vast literature on Risk. The books of Arrow, Raiffa, and Borch are a good introduction. See also Bernstein (1996) for compelling argument that the understanding of Risk was one of the key developments of modern civilization.