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.
Book Description
Editorial Reviews
Review
"...is a detailed, well-organized, practitioner-oriented compendium of models and computational procedures for valuation of fixed income securities and …" -- Olderich A. Vasicek, KMV Corporation
"fills the gaps left by dry finance textbooks with best markettested and uptodate complex bond valuation and risk measurement practices" -- David Shimko, J. P. Morgan
"fills the gaps left by dry finance textbooks with best markettested and uptodate complex bond valuation and risk measurement practices" -- David Shimko, J. P. Morgan
About the Author
Donald R. van Deventer is the Chairman and Chief Executive Officer and Founder of Kamakura Corporation in Japan. He previously held positions as Senior Vice President of Investment Banking for Shearson Lehman Hutton in Tokyo, Treasurer for First Interstate Bancorp and Vice President in Asset and Liability Management for Security Pacific.
Kenji Imai is Managing Director, Development of Kamakura Corporation. He was previously with the Global Structured Products Group at S.G. Warburg Securities (Japan), in which he was responsible for structuring tailor-made interest rate, currency and equity-linked products. Mr. Imai developed interest rate models and managed interest rate derivatives products in the Derivative Group at Sanwa Bank.
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Most Helpful Customer Reviews
6 of 6 people found the following review helpful:
5.0 out of 5 stars
Great book, just need to have another copy !,
By A Customer
This review is from: Financial Risk Analytics : A Term Structure Model Approach for Banking, Insurance & Investment Management (Hardcover)
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
4 of 7 people found the following review helpful:
3.0 out of 5 stars
A little advanced for people without proper math training,
By A Customer
This review is from: Financial Risk Analytics : A Term Structure Model Approach for Banking, Insurance & Investment Management (Hardcover)
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.
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