Advanced Financial Risk Management [Hardback]Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Managementsby Donald R. Van Deventer and Kenji Imai and Mark Mesler
Usually ships within 2 to 4 working days Description of Advanced Financial Risk Management"This invaluable book combines a rigorous primer on risk management and fixed income analytics with sophisticated treatment of modern financial instruments and markets. I am particularly impressed with the authors′ treatment of modern credit risk management models and techniques. Any serious student of the fields of risk management and investment strategies will find this volume extremely useful." – Edward I. Altman, Director, Credit & Debt Markets Research Program, Max L. Heine Professor of FinanceNew York University, Stern School of Business"Derivatives traders in credit default swaps and collateralized debt obligations are using state of the art technology that integrates both interest rate and credit risk. In this groundbreaking book, Don van Deventer, formerly treasurer of one of the largest banks in the United States and a member of the RISK hall of fame, Kenji Imai, and Mark Mesler show why it′s desirable and practical to apply these same concepts to the total balance sheet of a financial institution. This book should be on every risk manager′s essential reading list." – Robert Jarrow, Ronald and Susan Lynch Professor of Investment Management, Johnson School of Business, Cornell University "Van Deventer, Imai, and Mesler utilize their incomparable academic and professional experience and their technical expertise to comprehensively express their perspectives on how integrated interest rate and credit risk management creates shareholder value. I recommend this book to banking and hedge fund professionals seeking a complete education in current interest rate and credit risk management practices." – David P. Belmont, Author of Value Added Risk Management in Financial Institutions "Successful risk management demands up–to–date knowledge of asset–liabilities management, market, credit and operational risk; and the ability to implement sound quantitative tools and techniques. This book provides an insightful overview of credit and interest rate risk, and discusses a broad treatment of the related modeling theory and methods. In particular, it discusses the pros and cons of both structural and reduced form models of credit risk. The presentation is accessible, foregoing unnecessary technical details. Written by experienced professionals, it offers both technical information and advice that can help practitioners involved in managing credit and interest rate risk." – J.R. Sobehart, VP – Senior Analyst, Credit and Operational Risk Analytics, Citigroup Risk Architecture "In clear prose, the authors show why market–based tools such as put option theory, interest rate analytics, mark–to–market thinking, and bond prices are so important to modern credit risk management. Helpful examples pepper each chapter, illustrating and developing important concepts. This reader–friendly book is both a reference manual and a teaching companion for developing risk management skills." – Drake Pike, Head of Credit Risk Management, Asia ex–Japan Lehman Brothers Title Information
Write a review of this book About Donald R. Van Deventer and Kenji Imai and Mark MeslerDonald R. Van Deventer founded the Kamakura Corporation in April 1990 and is currently President. In 2003, he was voted into the Risk Hall of Fame for having made a profound contribution to the field of risk management. He has been involved in financial advisory assignments involving both risk management and mergers and acquisitions, for the municipalities affected in the Orange County bankruptcy, in a major derivatives dispute between JPMorgan and a Korean securities firm, Bank Negara Malaysia, ITT Financial Corporation and many other leading institutions. Prior to founding Kamakura Corporation, he was Senior Vice President of in the investment banking department of Lehman Brothers (then Shearson Lehman Hutton). From 1982 to 1987, he was the treasurer for First Interstate Bancorp in LA, USA. He holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration.Contents of Advanced Financial Risk ManagementIntroductionRisk Management: Definitions and Objectives 1. A risk management synthesis: Market risk, credit risk, liquidity risk and asset and liability management 2. Risk, return and performance 3. Capital regulation, risk management and performance Risk Management Techniques Interest Rate Analytics 4. Interest rate risk introduction and overview 5. Interest rate risk mismatching and hedging 6. Traditional interest rate risk analysis: Gap analysis and simulation models 7. Fixed income mathematics: the basic tools 8. Yield curve smoothing 9. Duration and convexity 10. Duration as a term structure model 11. Vasicek and extended Vasicek models 12. Alternative Term Structure models 13. Estimating the parameters of term structure models Credit Risk Models 14. An introduction to credit risk: Using market signals in loan pricing and performance measurement 15. Traditional approaches to credit risk: ratings and transition matrices 16. Structural credit models: An introduction to the Merton approach 17. Reduced form credit models 18. Credit spread fitting and modeling Interest Rate and Credit Model Testing 19. Tests of credit models using historical data 20. Tests of credit models using market data 21. Tests of interest rate models using a credit risk approach Risk Management Applications, Instrument by Instrument 22. Valuing credit risky bonds 23. Credit derivatives and collateralized debt obligations 24. Risk-neutral interest rates and European options on bonds 25. Forward and futures contracts 26. European options on forward and futures contracts 27. Caps and floors 28. Interest rate swaps and swaptions 29. Exotic swap and option structures 30. American fixed-income options 31. Irrational exercise of fixed income options 32. Mortgage-backed securities 33. Non-maturity deposits 34. Foreign exchange markets: a term structure model approach 35. Impact of Collateral on valuation models 36. Pricing and valuing revolving credit and other facilities 37. Modeling common stock and convertible bonds on a default-adjusted basis 38. Valuing insurance policies and pension obligations Portfolio Strategy and Risk Management 39. Risk management objectives revisited at the portfolio and company level 40. Liquidity analysis and management 41. Performance measurement: Plus alpha vs. transfer pricing 42. Managing institutional default risk and safety and soundness 43. Information technology considerations 44. Shareholder value creation and destruction |
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