商品詳細

Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. The book explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the authors cover integrated interest rate risk, market risk, credit risk, value at risk, and the most accurate implementation of regulatory risk management standards and accounting standards like the International Financial Reporting Standard 9. Revised and updated with lessons from the 2007-2010 financial crisis and a database of securities prices and default probabilities spanning the last decade, Advanced Financial Risk Management outlines a framework for fully integrated risk management. This book shows how a practical implementation of multi-factor interest rate models should be integrated with macro factor models and probability models for default, prepayment, mortality and other random events.