Book Details
Orange Code:27134
Paperback:864 pages
Publications:
Categories:
Sections:
1. A Risk Management Synthesis: Market Risk, Credit Risk, Liquidity Risk, and Asset and Liability Management2. Risk, Return, Performance Measurement, and Capital Regulation3. Interest Rate Risk Introduction and Overview4. Fixed Income Mathematics: The Basic Tools5. Yield Curve Smoothing6. Introduction to Heath, Jarrow, and Morton Interest Rate Modeling7. HJM Interest Rate Modeling with Rate and Maturity-Dependent Volatility8. HJM Interest Rate Modeling with Two Risk Factors9. HJM Interest Rate Modeling with Three Risk Factors10. Valuation, Liquidity, and Net Income11. Interest Rate Mismatching and Hedging12. Legacy Approaches to Interest Rate Risk Management13. Estimating the Parameters of Interest Rate Models14. An Introduction to Credit Risk: Using Market Signals in Loan Pricing and Performance Measurement15. Reduced Form Credit Models and Credit Model Testing16. Credit Spread Fitting and Modeling17. Legacy Approaches to Credit Risk18. Valuing Credit Risky Bonds19. Credit Derivatives and Collateralized Debt Obligations20. European Options on Bonds21. European Options on Forward and Futures Contracts22. Caps and Floors23. Interest Rate Swaps and Swaptions24. Exotic Swap and Options Structures25. American Fixed Income Options26. Irrational Exercise of Fixed Income Options27. Mortgage-Backed Securities and Asset-Backed Securities28. Nonmaturity Deposits29. Impact of Collateral on Valuation Models: The Example of Home Prices in the Credit Crisis30. Pricing and Valuing Revolving Credit and Other Facilities31. Modeling Common Stock and Convertible Bonds on a Default-Adjusted Basis32. Valuing Insurance Policies and Pension Obligations
Description:
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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.
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