Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance, & Investment Management - Hardcover

Van Deventer, Donald R.; Imai, Kenji

Hardcover

ISBN 10: 0786309644 ISBN 13: 9780786309641

Publisher: Irwin Professional Publishing, 1996

Synopsis

This is the book I wish I had written.''--Robert D. Selvaggio, PhD., Director, FixedIncome and Mortgage Research, The Chase Manhattan Bank, N.A. Financial Risk Analytics is the first book written by experienced risk managers that integrates interest rate risk, credit risk, FX risk and capital allocation using a consistent risk management approach. It explains, in detailed yet understandable terms, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. This book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions, and includes: The basics of present value, forward rates and interest rate compounding; American fixed income options vs. European options; The wide variety of alternatives term structure models to the basic Vasicek model.

About this title

Synopsis

Designed specifically for the analysis of market risk, this guide covers critical areas of risk management. Adopting a format geared towards bank portfolio management, the guide combines introductory and advanced discussion on portfolio risk.

About the Author

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

Edition details

• Publisher: Irwin Professional Publishing
• Publication date: 1996
• ISBN 10: 0786309644
• ISBN 13: 9780786309641
• Binding: Hardcover
• Language: English
• Number of pages: 396