Advanced Financial Risk Management
Publication Date: 2013-04-23
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.
Bank Management and Control
Publication Date: 2013-11-19
Strategic planning, including the required quantitative methods, is an essential part of bank management and control. In this book capital, risk and yield are treated comprehensively and seamlessly. And a thorough introduction to the advanced methods of risk management for all sectors of banking is discussed. In addition, directly applicable concepts and data such as macroeconomic scenarios for strategic planning and stress testing as well as detailed scenarios for operational risk and advanced concepts for credit risk are presented in straightforward language. The book analyzes the effects of macroeconomic and regulatory developments such as the set of Basel III rules on planning, and it also presents and discusses the consequences for actively meeting these challenges, especially in terms of capital. A wealth of essential background information from practice, international observations and comparisons, along with numerous illustrative examples, make this book a useful resource for established and future professionals in bank management, risk/return management, controlling and accounting.
Call Number: HG1601 .D55 2014
Publication Date: 2014-02-17
Why did the financial crisis happen? Why did no one see it coming? And how did our banks lose so much of our money? What's being done to sort out the banking industry? And will it work? These are the questions that industry experts Adrian Docherty and Franck Viort cover in Better Banking: Understanding and Addressing the Failures in Risk Management, Governance and Regulation. They give a clear and thorough run-through of some of the key concepts and developments in banking, to enable the reader to understand better this vital yet perilous industry. Without excessive detail or jargon, they explain the most important issues in risk management, regulation and governance and build a comprehensive description of how failings in these areas resulted in the current financial crisis. In order to make the diagnosis clear, the authors illustrate their descriptions with a series of informative case studies. The book revolves around a critique of the current regulatory developments, which the authors feel will be ineffective in fixing the structural flaws in banking. Crucially, and as the title of the book suggests, they set out their own series of proposals to contribute to the development of a better, safer and more effective banking industry. Docherty and Viort's book fills an important gap in the literature on banking and its role in the current financial crisis. It is at once a history, a primer, a critique and a manifesto. It does not take sides but works through a constructive diagnosis towards ideas that could lead to major improvements in the quality and stability of the financial world. Better Banking: Understanding and Addressing the Failures in Risk Management, Governance and Regulation is a technical yet accessible book that seeks to engage interested readers of all kinds -- students, professionals, bankers and regulators but also politicians and the broader audience of citizens outside the banking industry, who are keen to inform themselves and understand what needs to be done to avoid a repeat of this crisis.
Energy Trading and Risk Management
Publication Date: 2014-05-12
Anbsp;comprehensive overview of trading and risk management in the energy marketsnbsp; Energy Trading and Risk Management provides a comprehensive overview of global energy markets from one of the foremost authorities on energy derivatives and quantitative finance. With an approachable writing style, Iris Mack breaks down the three primary applications for energy derivatives markets - Risk Management, Speculation, and Investment Portfolio Diversification - in a way that hedge fund traders, consultants, and energy market participants can apply in their day to day trading activities.nbsp; Moving from the fundamentals of energy markets through simple and complex derivatives trading, hedging strategies, and industry-specific case studies, Dr. Mack walks readers through energy trading and risk management concepts at an instructive pace, supporting her explanations with real-world examples, illustrations, charts, and precise definitions of important and often-misunderstood terms. From stochastic pricing models for exotic derivatives, to modern portfolio theory (MPT), energy portfolio management (EPM), to case studies dealing specifically with risk management challenges unique to wind and hydro-electric power, the bookguides readers through the complex world of energy trading and risk management to help investors, executives, and energy professionals ensure profitability and optimal risk mitigation in every market climate. Energy Trading and Risk Management is a great resource to help grapple with the very interesting but oftentimes complex issues that arise in energy trading and risk management.
ERM - Enterprise-Wide Risk Management
Publication Date: 2014-06-03
A wealth of international case studies illustrating current issues and emerging best practices in enterprise risk management Despite enterprise risk management's relative newness as a recognized business discipline, the marketplace is replete with guides and references for ERM practitioners. Yet, until now, few case studies illustrating ERM in action have appeared in the literature. One reason for this is that, until recently, there were many disparate, even conflicting definitions of what, exactly ERM is and, more importantly, how organizations can use it to utmost advantage. With efforts underway, internationally, to mandate ERM and to standardize ERM standards and practices, the need has never been greater for an authoritative resource offering risk management professionals authoritative coverage of the full array of contemporary ERM issues and challenges. Written by two recognized international thought leaders in the field, ERM-Enterprise Risk Management provides that and much more. Packed with international cases studies illustrating ERM best practices applicable across all industry sectors and business models Explores contemporary issues, including quantitative and qualitative measures, as well as potential pitfalls and challenges facing today's enterprise risk managers Includes interviews with leading risk management theorists and practitioners, as well as risk managers from a variety of industries An indispensable working resource for risk management practitioners everywhere and a valuable reference for researchers, providing the latest empirical evidence and an exhaustive bibliography
Call Number: HG4028.C45 B363 2014
Publication Date: 2013-12-04
The world has undergone a fundamental transformation since the first edition of Liquidity Risk was published in 2005: the financial crisis of 2007-2008, which was so devastating in its reach and consequences, has transformed many aspects of the financial world and has altered conventional wisdom regarding prudent risk management. Perhaps most importantly, the crisis demonstrated that liquidity is the most vital component of a properly functioning financial system - it is the essentiallifeblood of banks and other financial institutions, and, by direct extension, the essential lifeblood of all other parts of the corporate and governmental world. Fully updated to reflect the many changes in the industry, this new edition of Liquidity Risk reflects current thinking and ideas and provides a ready roadmap on new rules, regulations and governance processes for sound liquidity risk management.
Managing Energy Risk
Publication Date: 2014-09-09
Managing Energy RiskA Practical Guide for Risk Management in Power, Gas and Other Energy MarketsSecond Edition Managing Energy Risk: A Practical Guide for Risk Management in Power, Gas and Other Energy Markets, Second Edition is the essential guide to modern techniques in financial mathematics for trading energy. Following the successful first edition, it addresses the significant developments of energy markets over recent years and contains substantial new material to meet the requirements of these advances. The book covers energy markets for electricity, natural gas, coal, oil and the market for emission certificates. It also focuses on the renewable energy sector, particularly the energy economic principles, value drivers and risks related to hydro, wind, solar and bio energy. This text integrates energy economic approaches, including fundamental market models with financial engineering approaches commonly used in banks and other trading companies. This includes trading, valuation and risk management of spot products, commodity futures and swaps, structured products such as swing contracts and real options like power plants or gas storages. A multi-commodity approach is taken, covering the mutual influences of electricity, fuels and emission markets. Advantages and disadvantages of different modelling and risk management approaches for practical usage are discussed throughout. Written for researchers and professionals, Managing Energy Risk Second Edition, is an ideal reference for those from an energy economics background as well as those with experience in financial mathematics or trading. The book introduces a wide range of theoretical concepts as well as focusing on applications within the energy business.
Managing Risk and Performance
Publication Date: 2014-02-10
Discover analytical tools and practices to help improve the quality of risk management in government organizations Federal agencies increasingly recognize the importance of active risk management to help ensure that they can carry out their missions. High impact events, once thought to occur only rarely, now occur with surprising frequency. Managing Risk in Government Agencies and Programs provides insight into the increasingly critical role of effective risk management, while offering analytical tools and promising practices that can help improve the quality of risk management in government organizations. Includes chapters that contribute to the knowledge of government executives and managers who want to establish or implement risk management, and especially Enterprise Risk Management (ERM), in their agencies Features chapters written by federal risk managers, public administration practitioners, and scholars Showing government officials how to improve their organization's risk management capabilities, Managing Risk in Government Agencies and Programs meets a growing demand from federal departments and agencies that find themselves increasingly embarrassed by risky events that raise questions about their ability to carry out their missions.
Mastering Strategic Risk
Publication Date: 2014-04-28
The modern business climate demands a new risk management strategy Mastering Strategic Risk: A Framework for Leading and Transforming Organizations is a comprehensive guide to redesigning organizational systems to better manage the risks and complexities of the modern world. Based on the notion of "Create, Facilitate, and Support," the book provides a roadmap to ensuring optimum performance in even the most challenging circumstances. Whether applied to a system or an entire organization, the ideas presented can help unlock a business's potential and ensure a sustainable advantage. Modern business leaders face unprecedented challenges, and risk management has become a strategic priority. Traditional management frameworks are outdated, and cannot be re-tooled to effectively account for the demands and complexities of the 21st century. Instead of adjusting old, ineffective models, businesses are better served by implementing an entirely new model custom-built to lead organizations through today's business environment. Mastering Strategic Risk describes this brand new framework, and provides the tools and background leaders need to remain effective in this new age. Topics include: The three forces behind customer behavior, competitive advantage, and a culture of discipline New major change agents that drive complexity and intensity Tools that help identify and mitigate the biggest risks to operations A new HR model to drive peak performance and galvanize employees The book contains well-known real-world examples from Wachovia, Toyota, World-Com, and Citrix, that illustrate key concepts within the new framework and demonstrate the core elements of modern risk management. For the savvy leader looking to push an organization to the next level, Mastering Strategic Risk: A Framework for Leading and Transforming Organizations provides a brand new model for effective management.
Models at Work
Call Number: HD61 .F37 2014
Publication Date: 2014-01-03
Risk Management's greatest failure has been its inability to simplify its factual presentation and connect with board and executive team members in a language that they can understand and relate to. By using simple well established tools, Models at Work takes readers through a journey that cuts across models, frameworks, practice, data, markets, countries and case studies. A central theme of the book it is that we need sophistication in analysis, not complexity in modeling; that risk models don't work in isolation and for a risk function to be successful it needs to focus on presenting results that are understood by broader audiences, not just the mathematically inclined. Models at Work addresses these challenges and will demonstrate: • how to measure the impact of volatility using simple and incrementally complex tools. • how to translate the impact to changes in business results under stressed conditions, looking toward the distribution of volatility and Monte Carlo simulations rather than static value at risk models. • the multiple flavors of value at risk as well as additional portfolio metrics. • how to link target accounts and risk policy and examine the impact of both on designing risk systems. • Monte Carlo simulation in Excel for simulating commodity prices, projecting business P&L and analyzing hedge effectiveness. • price swaps, vanilla and exotic options in Excel. If you have been searching for market relevant, background material on risk that can be shared with board members and business line managers, with technology, implementation and audit teams, with new arrivals in the compliance function or even business school students, this book is for you. It fills in the missing context that kills conversations around risk management. How do you measure and manage risk? How do you link risk to business drivers? How does risk work outside the financial services industry? Why doesn't Value at Risk work? Using lay person language and simple tools, Models at Work answers questions raised by risk management practitioners and students around the world and will become a valuable resource for both audiences.
Multi-Asset Risk Modeling
Publication Date: 2013-12-16
Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Practical Enterprise Risk Management
Publication Date: 2014-06-28
Enterprise risk management (ERM) is a risk-based approach to running a business and strategic planning. An integrated approach to risk management, it ensures that each business function understands the various risks facing an organization and is properly managing and controlling those risks. Breaking down the theory on ERM, Practical Enterprise Risk Management helps risk managers see risk as both an opportunity and a threat and offers guidance on how to implement it. Based on ISO 31000, the international guidelines for applying current best practice, this book provides templates and examples that can be adapted for applying ERM in any industry. It provides models for Risk Adjusted Return on Capital to evaluate R.O.I and measure performance, advice on emergent risks, as well as best practice and advice on risk communication, transparency and protecting the brand. Including a comprehensive overview of risk management responsibilities for boards, Practical Enterprise Risk Management lifts the lid on the ERM process, helping managers to embed ERM into their organization, reach strategic goals and take more managed risks.
Risk Management at the Top
Publication Date: 2014-02-10
With over 30 years' experience of risk management in banks, Mark Laycock provides a comprehensive but succinct non-technical overview of risk and its governance in financial institutions. Bridging the gap between texts on governance and the increasingly technical aspects of risk management the book covers the main risk types experienced by banks - credit, market, operational and liquidity - outlines those risks before considering them from a governance perspective including the Board and Executive Management. Addressing terminology issues that can confuse dialogue, and by providing a bibliography alongside each chapter for more detailed discussion of the topic this book will ground readers with the knowledge they require to understand the unknown unknowns.
Risk Management in Trading
Publication Date: 2014-06-30
A comprehensive resource for understanding how to minimize risk and increase profits In this accessible resource, Wall Street trader and quantitative analyst Davis W. Edwards offers a definitive guide for nonprofessionals which describes the techniques and strategies seasoned traders use when making decisions. Risk Management in Trading includes an introduction to hedge fund and proprietary trading desks and offers an in-depth exploration on the topic of risk avoidance and acceptance. Throughout the book Edwards explores the finer points of financial risk management, shows how to decipher the jargon of professional risk-managers, and reveals how non-quantitative managers avoid risk management pitfalls. Avoiding risk is a strategic decision and the author shows how to adopt a consistent framework for risk that compares one type of risk to another. Edwards also stresses the fact that any trading decision that isn't based on the goal of maximizing profits is a decision that should be strongly scrutinized. He also explains that being familiar with all the details of a transaction is vital for making the right investment decision. Offers a comprehensive resource for understanding financial risk management Includes an overview of the techniques and tools professionals use to control risk Shows how to transfer risk to maximize results Written by Davis W. Edwards, a senior manager in Deloitte's Energy Derivatives Pricing Center Risk Management in Trading gives investors a hands-on guide to the strategies and techniques professionals rely on to minimize risk and maximize profits.
Advanced Credit Risk Analysis and Management
Publication Date: 2013-06-17
Credit is essential in the modern world and creates wealth, provided it is used wisely. The Global Credit Crisis during 2008/2009 has shown that sound understanding of underlying credit risk is crucial. If credit freezes, almost every activity in the economy is affected. The best way to utilize credit and get results is to understand credit risk. Advanced Credit Risk Analysis and Management helps the reader to understand the various nuances of credit risk. It discusses various techniques to measure, analyze and manage credit risk for both lenders and borrowers. The book begins by defining what credit is and its advantages and disadvantages, the causes of credit risk, a brief historical overview of credit risk analysis and the strategic importance of credit risk in institutions that rely on claims or debtors. The book then details various techniques to study the entity level credit risks, including portfolio level credit risks. Authored by a credit expert with two decades of experience in corporate finance and corporate credit risk, the book discusses the macroeconomic, industry and financial analysis for the study of credit risk. It covers credit risk grading and explains concepts including PD, EAD and LGD. It also highlights the distinction with equity risks and touches on credit risk pricing and the importance of credit risk in Basel Accords I, II and III. The two most common credit risks, project finance credit risk and working capital credit risk, are covered in detail with illustrations. The role of diversification and credit derivatives in credit portfolio management is considered. It also reflects on how the credit crisis develops in an economy by referring to the bubble formation. The book links with the 2008/2009 credit crisis and carries out an interesting discussion on how the credit crisis may have been avoided by following the fundamentals or principles of credit risk analysis and management. The book is essential for both lenders and borrowers. Containing case studies adapted from real life examples and exercises, this important text is practical, topical and challenging. It is useful for a wide spectrum of academics and practitioners in credit risk and anyone interested in commercial and corporate credit and related products.
Bank Performance, Risk and Securitisation
Publication Date: 2013-12-06
Bank Performance, Risk and Securitisation brings together the latest research on banking, financial markets, and the recent financial crisis. Written by a group of leading scholars, it offers both empirical and theoretical perspectives on topics such as Basel III and bank efficiency; microcredit securitization; asset-backed securitization and credit risk; asset management issues in sovereign wealth funds. It also examines the impact of the new structural liquidity rules on the profitability of EU banks and examines China's controlled potential property bubble and its economic slowdown. The book provides state-of-the-art scholarly research on bank performance, risk and securitisation and is essential reading for scholars, researchers, graduate students and consulting firms interested in banking and financial markets.
Bubble Value at Risk
Publication Date: 2013-04-09
Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks, Bubble Value at Risk, that is countercyclical and offers a well-tested buffer against market crashes. Describes Bubble VaR, a more macro-prudential risk measure proven to avoid the limitations of VaR and by providing a more accurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need to unlearn our existing "science" of risk measurement and discover more robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance of practical, numerical examples, most of them provided in interactive Excel spreadsheets Features numerous real-world applications, throughout, based on the author's firsthand experience as a veteran financial risk analyst
Enterprise Risk Management
Publication Date: 2014-02-10
A fully revised second edition focused on the best practices of enterprise risk management Since the first edition of Enterprise Risk Management: From Incentives to Controls was published a decade ago, much has changed in the worlds of business and finance. That's why James Lam has returned with a new edition of this essential guide. Written to reflect today's dynamic market conditions, the Second Edition of Enterprise Risk Management: From Incentives to Controls clearly puts this discipline in perspective. Engaging and informative, it skillfully examines both the art as well as the science of effective enterprise risk management practices. Along the way, it addresses the key concepts, processes, and tools underlying risk management, and lays out clear strategies to manage what is often a highly complex issue. Offers in-depth insights, practical advice, and real-world case studies that explore the various aspects of ERM Based on risk management expert James Lam's thirty years of experience in this field Discusses how a company should strive for balance between risk and return Failure to properly manage risk continues to plague corporations around the world. Don't let it hurt your organization. Pick up the Second Edition of Enterprise Risk Management: From Incentives to Controls and learn how to meet the enterprise-wide risk management challenge head on, and succeed.
The Handbook of Credit Risk Management
Publication Date: 2012-12-17
A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.
Handbook of Market Risk
Publication Date: 2013-12-04
A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial markets The historical perspective from market events and diverse mathematics to the value-at-risk Return and volatility estimates Diversification, portfolio risk, and efficient frontier The Capital Asset Pricing Model and the Arbitrage Pricing Theory The use of a fundamental multi-factors model Financial derivatives instruments Fixed income and interest rate risk Liquidity risk Alternative investments Stress testing and back testing Banks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.
Handbook on Systemic Risk
Publication Date: 2013-05-23
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Heads or Tails
Publication Date: 2013-10-24
Heads or Tails answers the central question which has arisen post-global financial crisis: what changes should financial institutions undergo in order to be able to provide reliable protection against systemic and extreme risks? This book describes practical solutions for building a robust risk management focusing on extreme risk. The framework is designed to help address the tail risk during different stages of its development. The proposed solutions do not target particular tail risk scenarios but allow mitigating extreme risk events in general, even if the event stems from 'unknown unknowns'. While the context of Dr Ivantsov's writing is financial services, the book contains an important message for specialists from any industries traditionally exposed to the extreme risks (oil/gas, energy, mining, chemical productions, transportation, etc.).
Integrity, Risk and Accountability in Capital Markets
Publication Date: 2013-09-27
The global economy is yet to recover from the aftershocks of the Global Financial Crisis (GFC). In particular many national economies are struggling to adjust to austerity programs that are a direct result of the toxic effects of the crisis. Governments, regulatory agencies, international organisations, media commentators, finance industry organisations and professionals, academics and affected citizens have offered partial explanations for what has occurred. Some of these actors have sought to introduce legislative and other regulatory initiatives to improve operational standards in capital markets. However, the exposure post-GFC of the scandal surrounding the manipulation over many years of the London Interbank Offered Rate (LIBOR) highlighted that the most important obstacles to counter the destructive potential of our global finance system are normative not technical. Regulating the culture of the finance sector is one of the greatest challenges facing contemporary society.This edited volume brings together leading professionals, regulators and academics with knowledge of how cultural forces shape integrity, risk and accountability in capital markets. The book will be of benefit not only to industry, regulatory and academic communities whose focus is upon financial markets and professionals. It is of value to any person or organisation interested in how the cultural underpinnings of the finance sector shape how capital markets actually operate and are regulated. It is a stark lesson of history that financial crises will occur. As national economies become ever more inter-connected and inter-dependent under conditions of global financial capitalism, it becomes ever more important to know how cultural and other normative forces might be adjusted to militate against the effects of future disasters.
Mathematical Methods for Finance
Publication Date: 2013-09-23
The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management-including credit risk management-and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.
Mathematics and Statistics for Financial Risk Management
Publication Date: 2013-12-31
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today's financial risk professional.
Operational Risk Management
Publication Date: 2013-10-14
A best practices guide to all of the elements of an effective operational risk framework While many organizations know how important operational risks are, they still continue to struggle with the best ways to identify and manage them. Organizations of all sizes and in all industries need best practices for identifying and managing key operational risks, if they intend on exceling in today's dynamic environment. Operational Risk Management fills this need by providing both the new and experienced operational risk professional with all of the tools and best practices needed to implement a successful operational risk framework. It also provides real-life examples of successful methods and tools you can use while facing the cultural challenges that are prevalent in this field. Contains informative post-mortems on some of the most notorious operational risk events of our time Explores the future of operational risk in the current regulatory environment Written by a recognized global expert on operational risk An effective operational risk framework is essential for today's organizations. This book will put you in a better position to develop one and use it to identify, assess, control, and mitigate any potential risks of this nature.
Practical Risk-Adjusted Performance Measurement
Publication Date: 2012-12-11
A practitioner's guide to ex-post performance measurement techniques Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. This book simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Unlike most books written on portfolio risk, which generally focus on ex-ante risk from an academic perspective using complicated language and no worked examples, this book focuses on ex-post risk from a buy side, asset management, risk practitioners perspective, including a number of practical worked examples for risk measures and their interpretation.
Risk-Based Investment Management in Practice
Publication Date: 2013-11-28
Surely managing investments is a matter of taking calculated risks to give the best chance of a decent return? But how does it work in practice? Written by a practitioner with 30 years in investment management, both as portfolio manager and as Chief Risk Officer, Risk-Based Investment Management in Practice provides a comprehensive, jargon-free account of modern investment management, with a focus on how investment risk affects the decisions of professional investment managers. The book begins with the fundamentals of fund structures, investment objectives and strategy, and then moves on to disentangle portfolio selection practices and how effective risk management adds value, sorting out: - how investment risk is different from risk in banks - how investment risk models work - and sometimes don't work - what risk reports actually tell you - and what they do not - what value derivatives can add to performance and how and why they can unravel - how to differentiate genuine skill, from outcomes that are just lucky. Written in a practical and accessible way, the book addresses the key challenges of modern risk based investment management, and will appeal to investors of all levels as a guide and reference to this important area.
The Risk in Risk Management
Publication Date: 2013-06-04
Banks take very large risks by consistently herding in the same perilous directions while believing they are safe and unique. This book presents a risk management framework to understand conformity and deviance within investment banks and other large organizations. It suggests that some groups understand the dynamics of this conformity to their advantage. This requires a deeper understanding of the risk in risk management. Fraudsters can game the system to their advantage legally and illegally; therefore risk managers must understand the interplay of multiple logics in order to govern and manage risk. Featuring short illustrative cases of massive risk mismanagement, this book walks the reader through four risk management perspectives (economic, institutional, evolutionary and contrarian) that explain why and how economic rationality is overridden by social forces. By understanding conformity and deviance, groups within organizations will be better equipped to manage risk and go against the tides of conformity to their advantage.
Strategic Risk Management
Publication Date: 2013-11-18
A comprehensive guide to the key investment decisions all investors must make and how to manage the risk that entails Since all investors seek maximize returns balanced against acceptable risks, successful investment management is all about successful risk management. Strategic Risk Management uses that reality as a starting point, showing investors how to make risk management a process rather than just another tool in the investor's kit. The book highlights and explains primary investment risks and shows readers how to manage them across the key areas of any fund, including investment objectives, asset allocation, asset class strategy, and manager selection. With a strong focus on risk management at the time of asset allocation and at the time of implementation, the book offers important guidance for managers of benefit plans, endowments, defined contribution schemes, and family trusts. Offers a thorough examination of the role of risk management in the decision-making process for asset allocation, manager selection, and other duties of fund managers Written by the current head of portfolio design for the New Zealand Superannuation Fund Addresses the fundamental importance of risk management in today's post-crisis fund management landscape Strategic Risk Management is a comprehensive and easy-to-read guide that identifies the primary risks investors face and reveals how best to manage them.