Book description
A top risk management practitioner addresses the essential aspects of
modern financial risk management
In the Second Edition of Financial Risk Management +
Website, market risk expert Steve Allen offers an insider's view
of this discipline and covers the strategies, principles, and
measurement techniques necessary to manage and measure financial risk.
Fully revised to reflect today's dynamic environment and the lessons
to be learned from the 2008 global financial crisis, this reliable
resource provides a comprehensive overview of the entire field of risk management.
Allen explores real-world issues such as proper mark-to-market
valuation of trading positions and determination of needed reserves
against valuation uncertainty, the structuring of limits to control
risk taking, and a review of mathematical models and how they can
contribute to risk control. Along the way, he shares valuable lessons
that will help to develop an intuitive feel for market risk
measurement and reporting.
- Presents key insights on how risks can be isolated, quantified,
and managed from a top risk management practitioner
- Offers up-to-date examples of managing market and credit risk
- Provides an overview and comparison of the various derivative
instruments and their use in risk hedging
- Companion Website contains supplementary materials that allow
you to continue to learn in a hands-on fashion long after closing
the book
Focusing on the management of those risks that can be successfully
quantified, the Second Edition of Financial Risk Management
+ Websiteis the definitive source for managing market and credit
risk.
STEVEN ALLEN is a risk management consultant, specializing in
risk measurement and valuation with a particular emphasis on illiquid
and hard-to-value assets. Until his retirement in 2004, he was
Managing Director in charge of risk methodology at JPMorgan Chase,
where he was responsible for model validation, risk capital
allocation, and the development of new measures of valuation,
reserves, and risk for both market and credit risk. Previously, he was
in charge of market risk for derivative products at Chase. He has been
a key architect of Chase's value-at-risk and stress testing systems.
Prior to his work in risk management, Allen was the head of analysis
and model building for all Chase trading activities for over ten
years. Since 1998, Allen has been associated with the Mathematics in
Finance Master's Program at New York University's Courant Institute of
Mathematical Sciences. In this program, he has served as Clinical
Associate Professor and Deputy Director and has created and taught
courses in risk management, derivatives mathematics, and interest rate
and credit models. He was a member of the board of directors of the
International Association of Financial Engineers and continues to
serve as co-chair of their Education Committee.
