(Wiley Finance Series) 2nd Edition
by Van Deventer, Donald R. (Author), Kenji Imai (Author), Mark Mesler (Author)
Practical tools and advice for managing financial risk, updated for a post-crisis world
Advanced Financial Risk Management
bridges the gap between the idealized assumptions used for risk
valuation and the realities that must be reflected in management
actions. It explains, in detailed yet easy-to-understand terms, the
analytics of these issues from A to Z, and lays out a comprehensive
strategy for risk management measurement, objectives, and hedging
techniques that apply to all types of institutions. Written by
experienced risk managers, the book covers everything from the basics of
present value, forward rates, and interest rate compounding to the wide
variety of alternative term structure models.
Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management
outlines a framework for fully integrated risk management. Credit risk,
market risk, asset and liability management, and performance
measurement have historically been thought of as separate disciplines,
but recent developments in financial theory and computer science now
allow these views of risk to be analyzed on a more integrated basis. The
book presents a performance measurement approach that goes far beyond
traditional capital allocation techniques to measure risk-adjusted
shareholder value creation, and supplements this strategic view of
integrated risk with step-by-step tools and techniques for constructing a
risk management system that achieves these objectives.
- Practical tools for managing risk in the financial world
- Updated to include the most recent events that have influenced risk management
- Topics
covered include the basics of present value, forward rates, and
interest rate compounding; American vs. European fixed income options;
default probability models; prepayment models; mortality models; and
alternatives to the Vasicek model
Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.
