Financial Risk Analytics : A Term Structure Model Approach for Banking, Insurance Investment Management | 
| Authors: Donald R. Van Deventer, Kenji Imai
Publisher: Irwin Professional Pub
Category: Book
Buy New: $441.99
New (2) Used (6) from $100.00
Avg. Customer Rating:  2 reviews
Sales Rank: 2136353
Media: Hardcover
Edition: Har/Dsk
Number Of Items: 1
Pages: 396
Shipping Weight (lbs): 1.6
Dimensions (in): 9.8 x 6.5 x 1.5
ISBN: 0786309644
Dewey Decimal Number: 332.10681
EAN: 9780786309641
ASIN: 0786309644
Publication Date: November 1996
Availability: Usually ships in 1-2 business days
Shipping: International shipping available
Condition: Book is brand new, and has never been opened. Thousands of satisfied customers!
|
| Editorial Reviews:
Product Description
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.
|
| Customer Reviews:
 A little advanced for people without proper math training August 11, 1999
4 out of 9 found this review helpful
The authors claim that some intro Calculus and Probablity is all that you'll to follow this book, but I disagree. The authors go into the derivation of the Vasicek model, et al, and if you want to follow along, you'd better know something about PDE and Ito's Lemma. Even having Calc I and Calc II under your belt won't be enough. I hate books that tell you you'll only need some rudimentary math skills, and the proceed to blow you way with concepts not covered by the level of math they think is necessary to grasp their book. Certain chapters can be read without extensive math knowledge, but to get the full value from this book you'll need more. That's why I gave it only 3 stars.
 Great book, just need to have another copy ! August 2, 1997
7 out of 7 found this review helpful
Although not easy reading this book should be a must for any banker or banker to be.The authors' approach to a term structure model is the most solid analysis of profitability planning in the banking industry. In bringing this approach van Deventer Imai present a well written primer that leads the reader through fixed income mathematics, yield curve smoothing, duration, convexity, term structure models, risk-neutral instruments, derivatives, advanced hedging risk measument techniques.This book requires some quantitative skills or great perseverance. Being past this hurdle any reader will find the authors approach an excellent contribution to the banking industry on its march towards Risk-adjusted Return on Capital
|
|
|
