Synopsis
The ongoing credit crisis is perhaps the biggest economic calamity we have experienced since the 1930s, and has dramatically and fundamentally changed the financial, economic and social landscape of the world. Immediate reactions to the crisis lay in the identification, treatment and management of its symptoms with some strong medicine. However, like in most chronic illnesses, the suppression of symptoms may not cure the illness but rather shift it elsewhere. This book will provide the reader with analysis on the roots of the credit crisis for understanding what went wrong and what will help avoid repeating this in the future.
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Review
"This very useful book makes two important contributions. First, it will deepen the reader's understanding of how problems in certain derivatives markets contributed to the crisis. Second, it will inform the reader about how practitioners are now adapting their analysis tools to address pricing and risk measurement issues that were highlighted by the crisis. This volume is made even more useful and satisfying by being didactic while avoiding polemics." Barry Schachter, Founder, GloriaMundi.org "An extensive, rigorous book about the financial crisis, written by a star cast of quants. This collection of research articles digs deep into the origins of the crisis, and provides an analytical road map for a better financial system." Sanjiv R. Das, Professor of Finance, Santa Clara University "This book has an extraordinary range of well organized chapters from highly distinguished financial academics and practitioners. Given the poor historical record of learning from financial crises, this book provides an invaluable opportunity to gain multiple important perspectives from people in a position to share substantial wisdom that should not be missed." Bennett W. Golub, Chief Risk Officer, BlackRock, Inc. "A by-quants, for-quants reflection on the financial crisis. Eschewing a monolithic 'big story' interpretation of the crisis, this book explores the multiple causes and consequences of the crisis. Most importantly, it extracts lessons for model-building, risk management and regulation." Michael Gordy, Risk Magazine Quant of the Year 2004 "This detailed study in 21 lessons grouped in 6 chapters gives a perfect overview. Distinguished financial experts from the academic as well as from the practitioner's side deepen the understanding of markets as well as models and model-building and regulation. An excellent book for all involved in the financial industry." Dr. Wolfgang Ettl "I have not finished reading it all but, so far, it is THE Reference to have on the Financial Crisis. The more I read, the more I want to read. ... it's true when they say that knowledge is priceless: Initially I thought I bought a book, but in reality I have acquired knowledge. It's truly unfair to use price as a decisive criterion in your decision to get this book. ... Thank you Risk Books for sharing it with the rest of us." Mohammad Fheili
About the Author
Arthur M. Berd is the Head of Macro Volatility Strategies at Capital Fund Management (CFM), a hedge fund specializing in systematic investment management, headquartered in Paris. He is a well known industry expert in credit modeling, quantitative investment strategies, and portfolio and risk management. Prior to joining CFM, Arthur was the Head of Quantitative Market Strategies at BlueMountain Capital Management, a leading credit hedge fund in New York. Prior to that, he was a Senior Vice President at Lehman Brothers where he was responsible for a variety of quantitative credit models and strategies across corporate bonds and credit derivatives, and was instrumental in portfolio and risk advisory activities for the Firm's largest clients. Before joining Lehman Brothers in 2001, he was a Vice President at Goldman Sachs Asset Management, focusing on risk management and quantitative portfolio analysis. Arthur holds a Ph.D. in physics from Stanford University. He is an author of more than 30 publications in refereed journals and industry publications, and a frequently invited speaker at major industry conferences. He is a member of the editorial board of the Journal of Credit Risk, and the coordinator of the quantitative finance (q-fin) section in www.arXiv.org, a global electronic research repository.
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