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Extreme Risk Management: Revolutionary Approaches to Evaluating and Measuring Risk 1st Edition

7 customer reviews
ISBN-13: 978-0071700597
ISBN-10: 0071700595
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Editorial Reviews

About the Author

Christina Ray is senior managing director for Market Intelligence at Omnis Inc. She has over 25 years experience in quantitative finance and is the author of The Bond Market and Think Like a Trader, Invest Like a Pro.
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Product Details

  • Hardcover: 304 pages
  • Publisher: McGraw-Hill Education; 1 edition (June 7, 2010)
  • Language: English
  • ISBN-10: 0071700595
  • ISBN-13: 978-0071700597
  • Product Dimensions: 6.4 x 0.9 x 9.3 inches
  • Shipping Weight: 1.4 pounds (View shipping rates and policies)
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Best Sellers Rank: #441,837 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

4 of 4 people found the following review helpful By LOV on November 4, 2010
Format: Hardcover
This is an exceptionally clear book written by an industrial expert for the general public. The book covers a lot of topics with focus on causality and extreme risk. On the other hand, it does not teach how to measure risk, how to do causal inference, etc. It only serves to introduce those concepts. The author also seemed to differentiate between statistics and causality but, in fact, a lot of the theories in causal inference are invented by statisticians, econometricians or epidemiologists (all stat-oriented professionals) - the most well-known framework may be the Rubin Causal Model (RCM)'s counter-factual or potential-outcome approach which seemed to have been missed by the author. The author appeared to favor the Pearl Causal Model (PCM) which is a more in-depth approach to causal inference through causal diagrams and the "do-calculus", and as argued by Pearl and many AI experts, epidemiologists and philosophers, is one of the best approaches. The RCM's potential-outcome approach can also be regarded as a subset of the PCM. However, the author did not describe any of the above methods. For that reason, I cannot recommend a 5-star rating. Overall, it is a wonderful book to read if you just want to learn the concepts not the techniques.
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1 of 1 people found the following review helpful By JF on October 13, 2010
Format: Hardcover
A paradigm-shattering examination of how we connect the financial and intel communities: "This alternative world is one in which plausibility rather than probability is modeled. The consequences and likelihood of events that have never before occurred but that can be reasonably anticipated (as a consequence of other events) are included in the quantitative models. Such modeling is the forte of the intelligence community and those responsible for national security, who must create metrics and construct solutions for threats that have never before occurred."

There's a good overview here as well: [...]
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1 of 1 people found the following review helpful By Drew Miller on August 16, 2010
Format: Hardcover
I've worked with Christina Ray and am familiar with some of her path-breaking work. She is a true expert in financial risk management, at the cutting edge of developing new techniques; not some academic researcher publishing a book for resume development. If your hedge fund/money manager hasn't read and mastered this book, you probably should move your investments elsewhere.
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Format: Hardcover Verified Purchase
Christina I. Ray's Extreme Risk Management: Revolutionary Approaches to Evaluating and Measuring Risk (McGraw-Hill, 2010) is a revelatory work. Ray, who specializes in the analysis of low-frequency, high-severity risks, helped create the field of MARKINT ("the systematic collection and analysis of open-source information from the global capital and commodities markets") for the mutual benefit of the financial and intelligence communities. The author sets the stage by contrasting the approaches of financial analysts, who employ quantitative models based upon statistical correlations, and intelligence analysts, who develop causal models to assess the likelihood and consequences of events that have not previously occurred. The first part of the book, presumably intended to introduce intelligence analysts to the probabilistic approach, makes for pleasant reading, but the material will be familiar to most financial risk professionals. The second part of the book, however, crucially introduces the discipline and surveys the techniques of structured causal modeling, including directed acyclic graphs, connectivism, and risk inference networks--hence its inestimable value to financial risk managers. Ray cogently advocates combining the best methodologies of both worlds: "The financial community might more explicitly include cause and effect and expert opinion in its models, while the intelligence community might likewise include more mathematical models, automated sensemaking tools, and open-source market data." This book is fascinating and important. [Note: This notice originally appeared in my Middle Office blog under "Summer Reading--Risk Management," 17 August 2011. Go to [...]
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