Statistical Approach in Financial Risk Analysis and Management — Review of Concepts

The paper presents a short overview of general ideas in the analysis and management of financial risk. The emphasis is put on the application of quantitative methods. First of all, some historical remarks are given. Then the different concepts of understanding are discussed. The review of commonly used statistical measures, where risk is understood as volatility and as sensitivity is given. Finally, the general method of risk management is presented. This method aims at keeping the sensitivity of portfolio at a desired level.