Customer Reviews

Financial Risk Analytics : A Term Structure Model Approach for Banking, Insurance & Investment Management

5 star:		(1)
4 star:		(0)
3 star:		(1)
2 star:		(0)
1 star:		(0)

 

 

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

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.