Customer Reviews

The Fundamentals of Risk Measurement

5 star:		(6)
4 star:		(3)
3 star:		(1)
2 star:		(2)
1 star:		(0)

 

 

An earlier review suggested that the book's contents are not original and you can find the information elsewhere.

This is not a thesis, it is a text book. The purpose of a thesis is to record original ideas and demonstrate the cleverness of the author. The purpose of a text book is to bring together an existing body of knowledge so that it can be easily understood and used by the reader.

The book was written to be as clear as possible so as to remove the unnecessary mystery from risk management. It was written because most, if not all, other books on risk assume that you already have a good knowledge of the industry and its methodologies. Furthermore, most books deal with only one aspect of risk, rather than taking an integrated view.

I suggest that this book does three things well:

* It gathers information together, so that in one place you can get a good picture of the whole framework of risk measurement. If you want to delve into details later, then of course you should buy books that specialize in those corners.

* For beginners, it gives foundation chapters on banking and statistics so that everyone will be able to understand the later chapters. For example if you have a science PhD you will first want to know how banks work, the meaning of capital and the difference between a credit risk derivative and credit risk for a derivative. If you are an MBA who has not recently done matrix math and statistics, you will probably appreciate the review in Chapter 3.

* The book gives many specific examples so that you can quickly make your own risk calculations. In this respect it is more detailed than many other risk books. It minimizes the discussion of philosophy and history, to give the tools that the reader needs as quickly as possible.

I believe that this book is a good way to quickly get to the heart of risk measurement. In 400 pages it is not possible (or even desirable) to cover every aspect of risk, but you can certainly give a solid introduction and overview. As such, I suggest that The Fundamentals of Risk Measurement does a good job both for the beginner and for those who already know one area of risk, but wish to have an integrated view of risk measurement for the whole bank. Even with several years in the industry, an open minded reader should still enjoy seeing everything brought together in this book.

Marrison has written an outstanding book on risk management. What is attractive about the treatment is the fact that it covers all aspects of risk management for financial institutions. Lots of books focus only on "new" techniques (VaR, portfolio credit risk models) or only on "traditional" techniques (credit analysis, ALM). Marrison treats them all, and uses capital allocation as a unifying theme.

Two previous reviews that suggest Marrison is too basic or merely repeats other authors are, in my humble opinion, dishonest. Marrison is a sophisticated book for sophisticated readers who are new to risk management. This includes MBA students taking courses on the capital markets or risk management. It also includes professionals working in their first risk management position. Marrison did not invent VaR or ALM, but authors of other books did not invent these concepts either. An author's task is to describe established concepts in a manner that is accessible to and useful for his audience. In this respect, Marrison's book is a dramatic step forward. His choice of topics, organization and writing are superb.

One of those previous reviews recommended that you read books by certain other authors instead of Marrison. Of those books, the only one that Marrison competes with is Jorion's Value-at-Risk. Marrison is an order of magnitude better than that book. The other books cover unrelated topics or are more advanced treatises on specific topics. You might graduate to such books from Marrison, but they are not alternatives to Marrison.

Finally, you can't beat the price on this book. Marrison simultaneously offers a bargain AND one of the best books available on risk management.

Chris Marrison's book is something I have been seeking for a very long time. It is well organized and easy to read. I have spent several years in strategic financial services consulting, wherein a strong foundation in risk measurement concepts and tools is essential for consultants across experience levels. Though having studied undergraduate finance and statistics, I ended up developing my rudimentary (and incomplete) knowledge of risk measurement in a very ad-hoc, context-specific and inefficent fashion. Now an MBA student at Harvard, I come across peers also seeking to understand the business, technical and practical aspects of risk measurement, as conceptually, 'risk management' is a common idea but an abstract practice for many professionals. There is no other textbook I've come across that addresses the essentials of risk measurement in as tangible a manner. I will not hesitate to recommend this book as a great primer to fellow students. The only caveat I offer is that this book is for those truly interested in jumping into the practical applications of risk measurement - for more of an overview of risk management theory, or esoterica for that matter, you're better off looking elsewhere.

This is the best book on risk I've read. I liked the introduction to risk & capital, very "ground-up". I've read a few risk books, but finally with this one I understand the stuff. I like the way all the equations are built from first principles, very easy to follow. There are lots of sections on how to do thing, even saying what Excel functions to use. It does get a bit too detailed at some points, like the liquidity section, but I was able to skip those and still understand the rest of the book. I'll go back to them later. I would recommend this as both a good introduction to risk, and as a reference. I wish I had had this book a year ago.

Moving from academia to the real world is made much smoother with this great text by Dr. Marrison. This book integrates interest rate, liquidity and credit risk with bank management perfectly. Anyone interested in gaining a strong economic background with a quantitative degree like myself will find this book extremely useful.

This book is exactly what it aims to be: a textbook on the fundamentals of risk. The value of Marrison's book resides precisely in its ability to gather an enormous amount of material and present it to the reader in a clear, transparent form. It is true that other authors delve into certain aspects of risk more deeply, but no other book gathers all aspects of risk in such a comprehensible, yet hands-on work. Even if you want to spend the time and money in gathering 30 other books to cover this material, "The Fundamentals of Risk Measurement" is still a good buy: it is a practical guide to risk that encompasses every aspect of risk measurement without getting overly convoluted; an invaluable tool for the beginner and a handy reference for the experienced.

I really can't say enough about this book. From the perspective of a banker who wants to understand the fundamentals it is comprehensive, well organized and presented in a style that makes understanding the materials easy (or as easy as can be expected given the topic).

I recently took a copy to an Fx class I presented to the central bank staff in Azerbaijan. They liked the book so much that I was forced (not literally - maybe 'encouraged' would be a better word) to leave my copy behind. I promptly ordered another on my return.

While there are certainly more advanced texts on this same topic, I have yet to see one that does a better job of communicating the core concepts.

Great job!

From the very beggining, the author brigthly provides with the main concepts and tips that will drive the reader to the discovery of not only the exciting world of the market risk management but of any other financial industry areas(credit risk, products management...)
The author structures the book in such a way that any type of reader will understand the main concepts under the market risk management activity.
Highly recommended for students and begginers and an essential in your library

I agree, this is a very informative primer that does full justice with the basic (& some advanced ones too ) concepts in risk management. recommended as an excellent text book. market risk area from a basel-ii perspective has so far an inclination towards the VaR concept -this book starts at introducing traded instruments/ products and quickly takes the reader towards VaR approaches, VaR's contribution, calculation & then limitations.... liquidity management and interest rate risk for ALM concepts described by Christopher Marrison are enough for a practicing banker.

It was a nice overview of some existing models but it lacked the drill down needed for the next step. I did not find that it allowed you to handle actual data.