Book Description
An in-depth look at financial risk management
Advanced Financial Risk Management integrates interest rate risk, credit risk, foreign exchange risk, and capital allocation using a consistent risk management approach. It explains, in detailed, yet understandable terms, the analytics of these issues from A to Z. Written by experienced risk managers, this book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions. It covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models.
Donald R. Van Deventer (Hawaii) 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. Kenji Imai (Hawaii) heads Software Development for Kamakura and participates in selected Japan-related financial advisory assignments. Mark Mesler (Hawaii) heads the information production for Kamakura Risk Information Services.
Customer Reviews:
Great Book for serious reader.......2007-06-29
This book is written by professionals for professionals. Period.
Unless you are serious about risk management, you will not care about some of the little details covered by this book. When you do, you will really appreciate this book.
Formulas are well places, examples are real life relevent, well written. I fell in love with this book when I first read this book.
Introduction to the KRM.......2006-11-19
Risk management, as the authors define it, delineates for the management of a firm the risks and returns of every strategic decision at the institutional and transactional levels. It indicates how the management must change a particular strategy with the goal of aligning the trade-off between risk and return with the optimal long and short-term goals of the firm. If one desires an in-depth quantitative understanding of risk management as it is practiced at the present time, this book offers a comprehensive and useful overview. Although the authors are clearly showing bias towards a particular tool used for risk management, namely the Kamakura Risk Manager @ product which they helped to develop and market, the reader still gains insight into the relevant factors that go into successful risk management and will understand just how challenging this field is. The book is geared towards the student, for there are usually exercises at the end of each chapter. The goal of the book is very ambitious, in that the authors attempt to integrate credit, market, and operational risk, along with asset and liability management, performance measurement, and transfer pricing into a single framework. The justification for this integration is given as the book unfolds, and because of this the reader may frequently feel impatient, and thus tempted to skip ahead. However, readers who do this will miss out on the interesting argumentation and historical analysis the authors give, with each chapter setting up next. There is therefore a heavy dependence between chapters, and this makes a "skim read" more difficult, at least from the standpoint of in-depth comprehension of the subject matter. Those readers who are not experts in risk management, such as this reviewer, but who have a sound background in probability theory, stochastic processes, and financial engineering (at the level of the Black-Scholes model) will find this book ideal. Options theory plays a central role in the book, as the authors propose that the Jarrow-Merton put option is the best comprehensive measure of integrated credit, interest rate, and foreign exchange risk. The authors believe that risk management should make no distinction between credit risk, market risk, operational risk, asset and liability management, performance measurement, and transfer pricing.
The authors begin the book by discussing the difference between risk management from the standpoint of net income and from the standpoint of mark-to-market, and how a failure by some financial institutions to adopt the latter caused them great pain. Their historical commentary on this topic is enlightening for it gives insight into some of the biases concerning risk that exist even at the present time. For this reviewer, one of the most interesting discussions in the book concerned the transaction cost approach to prepayment modeling in asset-backed securities. In this approach, the authors divide the borrowers into three classes, with the first being those who make prepayments even when they should not. The second class are borrowers who prepay at a time when the advantages of prepayment exceeds the transaction costs of doing so. The third class are those borrowers who make prepayments when advantageous to do so, even though in the past they have refrained from doing so. Following the book's paradigm, the authors formulate the prepayment model in terms of options, with the value of the option to prepay being calculated from observable market data. The authors claim that this approach fits the movements in loan prices better than the approaches based on prepayment speeds and prepayment tables, but they do not offer explicit evidence for this claim. In fact throughout the book there are many instances where the authors do not offer any real case studies that would illustrate the superiority of their approach and the use of the Kamakura Risk Manager@. Risk analysts and managers will insist on the availability of these studies before committing themselves and institutional resources to this product or any others that make such claims.
The book should not be viewed therefore as purely a "theoretical" overview of risk management techniques. The authors give examples illustrating the main principles. For example, in their discussion of one-period models they assert that a collection of homogeneous risks are not sufficient, since the likelihood, magnitude, and timing of risks are closely linked. As examples, they quote the debacles in the U.S. Savings and Loan and Long Term Capital Management, and the takeover of Security Pacific Corporation by Bank of America. They also give examples of 'selection bias' in measuring risk.
Many interesting questions are addressed in the book, such as: 1. Why are 'fat-tailed' events important in risk analysis? 2. What is 'transfer pricing' and why is it useful? 3. Should risk be measured in terms of the volatility of the mark-to-market value of the relevant portfolio or in terms of the volatility of the net income? 4. How large should risk limits be for each part of a financial institution? 5. How is the mark-to-market value of a portfolio measured? 6. How is tracking error measured? 7. How is a hedging strategy to be priced? 8. What advantages, if any, are there in using Monte Carlo simulations of returns over a chosen time horizon? 9. What are the implications to credit risk of the new Basel II accords? 10.Why are stress tests important in a hedging strategy? 11.What area of the financial organization should be responsible for credit risk?
The authors also give a thorough discussion of yield curve smoothing, and how to derive the zero-coupon bond prices from observable data. The method of splines seems to be their preferred method of choice as a smoothing technique, which they advertise as being one that allows the calculation of zero-coupon bond prices for a large number of payment dates. They show, interestingly, that a cubic spline of zero-coupon bond yields is the smoothest yield curve.
Great book on the subject. A must have........2006-05-11
I think this book is a must have for everyone involved in managing or supervising interest rate risk. The authors are clear in their explanations and light to read, but they also get in-depth in several technical aspects.
I am a banking supervisor and I had been lookin for a book on this subject for a while, specially one with an emphasis on managing interest rate risk since the Basel committee has very few pointers on this.
The book tackles the most common problems, including the managerial aspects, as well as the techniques frequently used for modelling things like deposits (DDAs), revolving credit and a product by product guide to financial instruments, and much, much more. Definitely a must have, if you can browse through a few sections or the index and you will quickly see what I mean.
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Managing Risk in the Foreign Exchange, Money and Derivative Markets
Heinz Riehl
Manufacturer: McGraw-Hill
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ASIN: 0070526737 |
Book Description
A professional's guide to controlling risk when investing in the foreign exchange and money markets. Particular emphasis on the use of derivatives. The book offers a unique perspective combining coverage of all three areas.
Book Description
Written in a reader-friendly manner, this reference is designed to meet the needs of readers who want to master the interest theory and finance topics addressed in the Financial Mathematics exam.
Requires an algebra background; calculus not a prerequisite. Encourages readers to practice writing throughout, and more than 30 end-of-chapter writing exercises are included. Provides more than 240 worked examples in a wide range of difficulty. Features abundant examples, discussion, and problems throughout.
A useful guide for readers planning to take the Financial Mathematics exam.
Mathematical Interest Theory, 1/E
James W. Daniel
Leslie Jane Federer Vaaler
Customer Reviews:
One of the worst books .......2007-05-23
I'm a computer engineering and math double major. I took a math class about interest and this is the book associated with the class. This is one of the worst books, the sections do not prepare you for the end of chapter problems. The questions are unclear it's either that they need to improve the questions or the sections. This book sucks, I rated it 1 star because there are no negative stars. This is the worst book ever. I was so angry at this book I actually burnt it after I was done with that class. Waste of money, waste of time. Infact my I.Q. probably decreased after reading this book and attempting the excersises at the end of the chapter.
Purchase at your own risk.......2007-05-05
To begin with, I think that this book is written for those who already have a familiarity with the material. Just so you know my experience with this book, I took a college math course where this was the required text. I soon found out, that the examples through the chapter were decent, but the questions at the end had little or no correlation to those previously read in the chapter. I should add that what made these questions decent is that you could decipher the meaning of the chapter examples because the examples solutions were directly after.
I think that if the author spent a little more time making the review problems a little more understandable and similar to those seen previously, than thinking up different names for the people in every single problem, He may have written a decent book. And that is a BIG MAYBE!
If you are thinking of purchasing this book to prepare for the Actuary FM Exam, DON'T. Stick to the ones on the SOA recommended list, or one of the Temple or Actex study manuals.
Stick to SOA/CAS Syllabi.......2007-03-20
I used this text in a class designed to prepare me for my FM exam. It didn't. The text has some usefull calculator exercises but the homework problems are not comensurate with the level of difficulty in the section examples. If you are preparing for the actuarial FM exam, don't use this book. Stick to the texts reccomended by the SOA and CAS.
Perfect for FM exam.......2006-07-26
I highly recommend this book for students studying for the FM exam. I read the book cover to cover and passed the exam. It is easy to read and is full of examples to illustrate the concepts. The difficulty levels presented make a nice range; there are a good mix of problems designed to reinforce the concept as well as problems using a combination of concepts (much like the FM exam).
Where to get more information.......2006-03-24
Of course I like the book---I'ma co-author. For sample sections and more information, see http://www.actuarialseminars.com/book.html .
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Managing Interest Rate Risk: Using Financial Derivatives (Institute of Internal Auditors Risk Management Series)
John J. Stephens
Manufacturer: Wiley
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Managing Currency Risk: Using Financial Derivatives
ASIN: 0471485497 |
Book Description
As with previous titles in the IIA (Institute of Internal Auditors) series this is a clear and practical guide to a subject of key importance to financial managers. Whether borrowing, investing, saving or trading, a company will always have to take into account the cost of capital and therefore interest rate risk. The highly accessible style explains everything from the basic principles through to the techniques allowing those without prior knowledge to understand the nature and use of a variety of financial tools, including derivative instruments. This is the third part of the trilogy on market risk, the previous two being Managing Currency Risk and Managing Commodity Risk.
Book Description
This book teaches the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned “on the job,” Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author’s pricing model is widely used in today’s securities industry.
In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLAB’s financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.
Customer Reviews:
Incomplete.......2003-12-08
This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.
Excellent!.......2003-09-27
The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.
required reading in fixed income.......2003-02-11
Excellent job on the detail analysis of fixed income models, accessible to non-mathematician, no stochastic calculus involved. this book is more focused than Tuckman's book. this is absolutely more easy reading than all other fixed income model books out there. read this one, you will be on the way to "martingale methods in financial modelling". also recommend "fixed income analytics".
At last a real well written Book on Interest Rate Modeling!.......2002-08-16
This book will definitely replace all the books on interest rate modeling- Brigo Murcurio etc. The book starts at an elementary level, explains every details of the concept, and then develop the subject matter one needs to know to be a pro in interest rate modeling. Even the simple concepts like duration, convexity are clearly explained that many other books take pages, and even then not very clear. Buy it, Read it! After all you will be learning from a master! The clarity and the writing style are simply great! Good job Prof. Jarrow!
BTW: Neither Prof.Jarrow knows me nor I know him personally
Modelling Fixed Income Securities and Interest Rate Options.......2000-02-29
Bob did an excellant job on Derivative Securities and a horrible job with this book. All the tree pictures packed with discount bond prices, rates and risk neutral prob just confuse people even more. Read Derivative Securities and you would understand how HJM works better.
Average customer rating:
- Very good Book for a practitioner
- Very poorly written
- He knows how to design derivatives and make them work
- EXCELLENT AND IN PATCHES OUTSTANDING
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Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey and Synthesis Series)
Fred D. Arditti
Manufacturer: Harvard Business School Press
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All About Derivatives (All About)
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Options, Futures and Other Derivatives (6th Edition)
ASIN: 0875845606 |
Book Description
Arditti describes and explains four major classes of derivative instruments: options, futures, interest rate swaps, and mortgage derivatives. He discusses each market's structure and the applications and pricing of each instrument, focusing on the valuation methods that are most commonly used by professional market participants. Each segment begins with a description of the institutional arrangements that have come to characterize the markets in which the instruments trade. Arditti examines basic derivatives in each class with respect to their risk transference properties, risk management applications, and pricing. He then traces the evolution of these markets in terms of new instruments introduced, the factors inspiring their development, and the alterations in pricing technology required by more complex derivatives. Arditti includes numerical examples to clarify the procedures. The Financial Management Association Survey and Synthesis Series.
Customer Reviews:
Very good Book for a practitioner.......2005-12-09
I found the book very useful in practice. It gave you a lot of details.
Very poorly written.......2004-02-13
I found Arditti's writing to be simply attrocious. What the marketplace needs is a clear, concise guide to instrument structure and valuation, and Mr. Arditti writes in circles. As an example, his chapter on option pricing refers to "using the methods used previously in this chapter" without referring to how to apply these to the method just introduced. The method just introduced was explained using numbers that were presumably fabricated, but lord only knows, because the author can't be bothered to specify how his example was structured.
In trying to explain things simply, the author fails to explain anything clearly. "Derivatives" is an extreme disappointment. As a reference, this book may have some use, but if you're looking to learn something from it, stear clear.
He knows how to design derivatives and make them work.......2003-07-28
I am completely satisfied with this book. He knows how to design derivatives and make them work. This book does a remarkable job of explaining the theory and practice of derivative securities.
EXCELLENT AND IN PATCHES OUTSTANDING.......2000-08-09
This book is an excellent resource for beginning and intermediate level fund managers who want to understand the derivatives to be able to use them in risk hedging and income maximization.
The book is excellently organized in four sections and each section is self sufficient. Each of the sections begin with basics, illustrates the concepts with example, introduces the mathematics of pricing and methodology of hedginag of risks
Every section has also a nice subsection on terminology and definitions.
The book is an excellent attempt to explain a highly technical and complex subject.The section on Interest Rate swaps is outstanding. A must read for all corporate money managers and a must addition to all financial libraries.
Book Description
Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.
Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.
Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale Universitys School of Management.
Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London.
Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.
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Interest Rate Risk Managment
Benton E. Gup , and
Robert Brooks
Manufacturer: Probus Publishing Co.
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ASIN: 1557383707 |
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FRAs and Interest-Rate Futures: Interest-Rate Risk Management (Risk Management Series)
Manufacturer: Global Professional Publishing
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ASIN: 0852974442 |
Book Description
· Worked examples illustrating key points
· Explanation of complex or obscure terms
· Full glossary of terms
The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management.
Topics covered by this title include FRA rates, using FRAs ,what are futures? Short term interest-rate futures and bond futures, market trading, clearing, and settlement and closing positions.
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Money Markets: Interest-Rate Risk Management (Risk Management/Interest Risk Management)
Manufacturer: Global Professional Publishing
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ASIN: 0852974418 |
Book Description
The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management.
Topics included in this title in the Interest-Rate Risk Management series include The interbank and eurocurrency market; Treasury bills, bank bills and trade bills; Certificates of deposit / Sales and repurchase agreements; Back office operations / Open market operations
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