Global Asset Allocation: New Methods and Applications (Wiley Finance)

Book Description

Reveals new methodologies for asset pricing within a global asset allocation framework.
Contains cutting-edge empirical research on global markets and sectors of the global economy.
Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.

Customer Reviews:

A must read!.......2007-06-28

Global asset allocation applications are a necessary component for successful portfolio management.

This book is outstanding. I recommend the CFA Institute books as well.

A practical approach to global diversification.......2002-12-05

Financial professionals will find this book to be an invaluable tool to understanding and implementing global asset allocation strategies. The book uses a number of different pricing models and performance analyses. A highly informative read.

Book Description

Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment

Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including:

Determinants of credit risk and pricing/spread implications
Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad”
Key determinants of loss given default, and potential links between recovery rates and probabilities of default
Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
A detailed review of five of today’s most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
How credit risk is reflected in the prices and yields of individual securities
How derivatives and securitization instruments can be used to transfer and repackage credit risk

Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.

Customer Reviews:

Must have for risk management.......2007-06-29

Yes, this is a must have. Written by S&P auther, it is the definitive guide, no question should be asked. cause they are credit king.

Many details on how to measure risk, quantitative methods in detail. Ideas and industry practice all in great detail. I could imagine some quants will use it as a cook book for their project.

overall, well written for easy read. both good for a glance at credit risk and for in depth learning of industry standard.

Most Appropriate for Basel II.......2005-09-08

If you are Banker/Banking Consultant then this book is the closest you will get to understanding Credit Risk from a Basel II perspective. Its clear & lucid style helped me understand the gamut of techniques used in Credit Risk Measurement. Unfortunately the Book does not get into the details of bulinding models so if your looking for a model building cookbook, look elsewhere.

a complete, robust and comprehensive valuable resource!.......2004-06-16

In Measuring and Managing Credit Risk, the authors provided a robust, complete and comprehensive treatment of several aspects of modern credit risk measurement and management. Written by two high talented practitioners, this book will become certainly a reference both for academics and practitioners thanks to its careful treatment of several not so known empirical issues which practitioners have to face everyday. At the same time, do not consider the book as a new recipes book for managing credit risk. Both authors already proved their deep knowledges of financial theory and establish once again, through this book, how advanced knowledges of theory combined with significant practical experience make leading researches. As a PhD candidate in Finance, actually writing on credit risk, I definitively adopted this book and higly recommend it for anyone dealing with credit risk issues either through a practical experience or through a theoritical work.

Average customer rating:

Comprehensive and excellent
Important stuff but hard slogging
Good book on risk management, February 4, 2002
Don't miss it
The best risk management book

Risk Management
Michel Crouhy , Robert Mark , and Dan Galai
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

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The Essentials of Risk Management
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Options, Futures and Other Derivatives (6th Edition)
Value at Risk, 3rd Ed.

ASIN: 0071357319

Book Description

Last year's headline-grabbing stories of the notorious bailout of Long-Term Capital Management and the 1.4 billion credit loss for BankAmerica opened the eyes of the investment world. These turbulent times have meant increased awareness of risk management and have lead to late breaking developments in new research, techniques, and theories in the field. Given the high stakes in today's business world with financial dealings in the billions (e.g., derivatives), it's easy to see why risk management has become the key buzzword on Wall Street. While Jorion focuses strictly on market risk, today's financial professionals are also evaluating credit risk and operational risk. Managing Risk provides a comprehensive description and analysis of modern risk management, including the regulatory aspects, organizational issues, potential problem areas, and tools to control and manage the many different kinds of risks: market risk, credit risk, and operational risk. It also discusses: structuring and managing the risk management function in a firm; practical measurement issues in the field; risk management in both financial and non-financial institutions.

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Risk Management introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.

Customer Reviews:

Comprehensive and excellent.......2003-01-11

This book is the most comprehensive treatment I've seen of financial risk management, particularly from a banking perspective. It covers both the regulatory and practitioner perspectives of modern risk management -- it's a veritable encyclopedia.

It's drawn from the wealth of experience of the authors, who are well known in both the academic world and on Wall St.

I guess what I like most about the book is the inside look it provides at the various aspects of financial risks -- no other book does it better, and I found the discussion enthralling.

While mainly geared toward banks, the book also includes a fascinating chapter on risk management in regular corporations. I think the book would serve equally well as a textbook for a risk management course or a handbook for the risk management practitioner.

Important stuff but hard slogging.......2002-07-16

This is an encyclopedia, and reading such things is not what most people, even when deeply interested in the subject are likely to do. It does provide a fair reference for specific topics, but this is not a subject one can really pick and choose.

VAR is the ususal starting point, and its famous authors (one of whom I hired for his skill in these matters) cover most of the bases in an interesting way.

Good book on risk management, February 4, 2002.......2002-02-05

I bought this book because some readers highly recommended it. I'm a financial derivatives strategist and risk management consultant. When a reviewed the book I disappointed in five main particular points: 1) The chapter on VaR is unsatisfactory and insufficient. The authors discuss this subject in a general approach. From my view point I have a preference for Jorion's Value At Risk. 2) There is no discussion about GARCH models, which decrease the importance of this book. I recognise "Risk Management" is a great book. It's a vast encyclopaedia of risk. 3) There's a great discussion of all types of risk, but without any practical solved case. This particular point demerit the seriousness and greatness of the book. 4) The level of mathematics in the book is a little advanced and without any support en practical cases, these poor numerical exercises and calculus tools are useless. 5) Montecarlo simulation approach is bad. There is a great discussion on this subject in Hull's Options, Futures and other derivatives, where the theme is practical, objective and concise. Finally and taking into account these five particular disadvantages, I'll give my rating to this book: 3 stars.

Don't miss it.......2001-08-24

I think it the best book about Risk management I read so far. I was impressed even by the way they treat market risk although it does not seem their main interest. The chapter on VaR is much better than a whole book on it. Great!!! Everyone should have a copy...

The best risk management book.......2001-06-14

This is by far the most comprehensive and well-written book on risk management. If you were to read only on book on the subject, there is no doubt you should choose Crouhy, Galai, Mark. The book reflects not only the authors' serious academic background - all of them have been professors at top universities - but also their detailed hands-on experience.

Measuring and Controlling Interest Rate and Credit Risk

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Measuring and Controlling Interest Rate and Credit Risk
Frank J. Fabozzi , Steven V. Mann , and Moorad Choudhry
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series)
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Interest Rate Risk Modeling : The Fixed Income Valuation Course
Fixed Income Mathematics, 4E
Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM)

ASIN: 0471268062

Book Description

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.

Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.

Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale Universitys School of Management.

Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London.

Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.

Credit Risk Management: Measuring Credit Risk (Risk Management/Credit Risk Management)
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Credit Risk Management: Measuring Credit Risk (Risk Management/Credit Risk Management)
Chartered Institute of Bankers
Manufacturer: Chartered Institute of Bankers
ProductGroup: Book
Binding: Paperback

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ASIN: 0852974515

Inside the Minds: The Business of Lending: Leading CEOs on Understanding the Market, Measuring Customer Risk, and Selling the Product (Inside the Minds)
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Inside the Minds: The Business of Lending: Leading CEOs on Understanding the Market, Measuring Customer Risk, and Selling the Product (Inside the Minds)
Aspatore Books Staff
Manufacturer: Aspatore Books
ProductGroup: Book
Binding: Paperback

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ASIN: 1596222034

Product Description

The Business of Lending is an authoritative, insiders perspective on the complex issues surrounding the lending industry today, including the specialty fields of agricultural and student lending. Featuring CEOs and Presidents representing some of the nations top lending institutions, this book provides a broad, yet comprehensive overview of the major players in the industry, including their roles and types of products offered. From understanding the importance of hiring and customer service to using technology as a tool to increase profits, these authors explain the lending industry from start to finish with information useful to both consumers and those working in the industry. The different niches presented and the breadth of perspectives represented by these outstanding authors enable readers to get inside some of the great minds of today, as experts offer up their strategies for success in an increasingly regulated industry. For understanding this dynamic and ever-evolving industry, The Business of Lending is truly an indispensable resource. Chapters Include: 1. William J. Lipinski, Chief Executive Officer, First Pioneer Farm Credit, "The Past, Present, and Future of Agricultural Lending" 2. Robert D. Glendon, President, Priority Leasing, "Learning to Grow and Adapt for the Right Reasons" 3. Andrew Murstein, President, Medallion Financial Corp., "In Niches, There are Riches" 4. Douglas H. Dolton, President and Chief Executive Officer, Chela Education Financing, "A View from the Student Lending Industry" 5. Timothy J. Connolly, Chief Executive Officer, Emerge Capital Corp./Corporate Strategies Inc., "Accurately Assessing A Company's Potential" 6. John M. Robbins, Chief Executive Officer, American Mortgage Network, "Building the Foundation for the American Dream of Homeownership" 7. Miles M. Stuchin, Chief Executive Officer, Access Capital Inc., "Minds Over Money."

Measuring Credit Risk (Glenlake Risk Management)

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Measuring Credit Risk (Glenlake Risk Management)
A. Graham
Manufacturer: Routledge
ProductGroup: Book
Binding: Hardcover

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Corporate Credit Analysis: Credit Risk Management (Risk Management Series)

ASIN: 1579581048

Book Description

The Glenlake Series in Risk Management strives for simplicity, clarity, and ease of application on the complex subject of risk management. As every business academic and professional knows, risk management--whether for new products/services, transaction, interest rate, currency, cashflow, credit, or market risk--is now regarded as the most important business tool. This series involves time-tested training tools--whether for classroom application or individual study. Each title in the series makes extensive use of case studies, adapted specifically for a sophisticated international audience.

The topics covered in this title covers include: defining and measuring credit risk parameters; credit risk modeling techniques; integrating credit risk strategies to enhance overall financial goals; case studies.

Measuring financial integration via idiosyncratic risk: what effects are we really picking up?: An article from: Journal of Money, Credit & Banking
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Measuring financial integration via idiosyncratic risk: what effects are we really picking up?: An article from: Journal of Money, Credit & Banking
David C. Parsley , and Christian Schlag
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

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ASIN: B000UMZKMQ
Release Date: 2007-08-01

Book Description

This digital document is an article from Journal of Money, Credit & Banking, published by Thomson Gale on August 1, 2007. The length of the article is 2998 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: Keywords: integration, asset, market, discount, stock.

Citation Details
Title: Measuring financial integration via idiosyncratic risk: what effects are we really picking up?
Author: David C. Parsley
Publication: Journal of Money, Credit & Banking (Magazine/Journal)
Date: August 1, 2007
Publisher: Thomson Gale
Volume: 39 Issue: 5 Page: 1267(7)

Distributed by Thomson Gale

Measuring provisions for collateralised retail lending [An article from: Journal of Economics and Business]

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Measuring provisions for collateralised retail lending [An article from: Journal of Economics and Business]
C.H. Hui , C.F. Lo , T.C. Wong , and P.K. Man
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000P6NZN8

Book Description

This digital document is a journal article from Journal of Economics and Business, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper develops a simple model based on an options approach to measure provisions covering expected losses of collateralised retail lending due to default. The measurement of provisions against expected losses of retail lending secured by collateral is important for improving the capital adequacy framework for banks. The numerical results based on the model show that the loan-to-value ratio, correlation between the collateral value and the probability of default of borrowers in the pool, volatility of the collateral value, mean-reverting process of the probability of default and time horizon are the important factors for measuring provisions.

The new risk revolution: a much broader approach to measuring mortgage risk holds great promise for lenders. Risk-behavior scoring can help assess the ... An article from: Mortgage Banking

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The new risk revolution: a much broader approach to measuring mortgage risk holds great promise for lenders. Risk-behavior scoring can help assess the ... An article from: Mortgage Banking
Mark Fleming
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

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Book Description

This digital document is an article from Mortgage Banking, published by Thomson Gale on March 1, 2007. The length of the article is 3807 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: The new risk revolution: a much broader approach to measuring mortgage risk holds great promise for lenders. Risk-behavior scoring can help assess the global risk of a mortgage transaction--including collateral, third-party and borrower-related risks.(Cover Report: Technology)
Author: Mark Fleming
Publication: Mortgage Banking (Magazine/Journal)
Date: March 1, 2007
Publisher: Thomson Gale
Volume: 67 Issue: 6 Page: 86(7)

Distributed by Thomson Gale

Frameworks for measuring and managing the credit risk of credit asset portfolios: Fundamentals, new structures, credit derivatives, and insurance : March 16-18, 1998, New York City

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Frameworks for measuring and managing the credit risk of credit asset portfolios: Fundamentals, new structures, credit derivatives, and insurance : March 16-18, 1998, New York City
Edward I Altman
Manufacturer: New York University, Leonard N. Stern School of Business
ProductGroup: Book
Binding: Unknown Binding

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