Book description
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.
DONALD R. VAN DEVENTER founded the Kamakura Corporation in
April 1990 and is currently Chairman and CEO. In 2003, he was voted
into the Risk Hall of Fame for having made a profound contribution to
the field of risk management. He has been involved in financial
advisory assignments involving both risk management and mergers and
acquisitions. Prior to founding Kamakura Corporation, he was senior
vice president of the investment banking department of Lehman
Brothers. From 1982 to 1987, he was the treasurer for First Interstate
Bancorp in Los Angeles. He holds a PhD in business economics, a joint
degree of the Harvard University Department of Economics and the
Harvard Graduate School of Business Administration.
Kenji Imai has headed Software Development for Kamakura for
sixteen years. Mr. Imai is member of the Managing Committee of
Kamakura. Prior to Kamakura, Mr. Imai worked in the derivatives
structuring/trading and risk management groups at the Sanwa Bank and
S. G. Warburg. He graduated from the University of Tokyo with a BS in
civil engineering and from the Sloan School of the Massachusetts
Institute of Technology with a MS in management, concentrating on finance.
Mark Mesler is Managing Director and heads Kamakura Risk
Information Services, Kamakura's innovative Basel II and III compliant
default probability service. Mr. Mesler is in charge of the daily
production of the KRIS Merton model, Jarrow reduced form model, and
hybrid model default probabilities. Mr. Mesler has twenty-seven years'
experience in the financial services information and systems field and
is a veteran of State Street Bank, KPMG, Oracle, and the Bank of
America. Prior to joining Kamakura Corporation, Mr. Mesler was vice
president at Askari Risk Management Solutions, at that time a
subsidiary of State Street Bank in Boston.
