Risk Management

Bennett W. Golub

• 14 juli 2000
• 9780471332114

Samenvatting:

STATE OF THE PRACTICE RISK MANAGEMENT TECHNIQUES

Risk management plays an increasingly important role in the life of financial institutions. Yet there have been virtually no texts to date that reconcile practical market experience and scientific discipline in an attempt to help portfolio and risk managers make better investment decisions until now.

Written by two senior risk management practitioners of a global money management and risk advisory firm, this one of a kind book utilizes an intriguing blend of finance, economics, mathematics, and common sense in applying cutting edge financial modeling techniques to managing risk in fixed income markets. With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy to understand fashion, including:
Interest rate and basis risk durations
Scenario analysis
Expected rate of return
Principal components analysis
Value at Risk
Stress testing
Portfolio and hedge optimizations

As a growing proportion of the financial system adopts rigorous risk management techniques and incorporates them in making investment decisions, chief investment officers, corporate treasurers, portfolio managers, risk managers, traders, academics, and finance students will find Risk Management an invaluable tool in navigating this exciting and increasingly challenging dimension of investing.