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

by Donald R. Van Deventer (Author), Kenji Imai (Author)

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

Product Description
Financial Risk Analytics is the first book written by experienced risk managers that is designed to explain, in comprehensive yet understandable terminology, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. Risk management experts Donald R. van Deventer and Kenji Imai show in a very practical, concrete way how the term structure models used to price interest rate derivatives can be used to hedge all common products in banking, insurance and investment management, allowing the same risk management approach for an entire institution that is normally taken for a derivatives portfolio alone.

See all Editorial Reviews

Product Details

• Hardcover: 396 pages
• Publisher: Irwin Professional Pub; Har/Dsk edition (November 1996)
• Language: English
• ISBN-10: 0786309644
• ISBN-13: 978-0786309641
• Product Dimensions: 9.8 x 6.5 x 1.5 inches
• Shipping Weight: 1.6 pounds
• Average Customer Review: 4.0 out of 5 stars See all reviews (2 customer reviews)
• Amazon.com Sales Rank: #1,193,592 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

7 of 7 people found the following review helpful:

5.0 out of 5 stars Great book, just need to have another copy !, August 1, 1997

By A Customer

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 9 people found the following review helpful:

3.0 out of 5 stars A little advanced for people without proper math training, August 11, 1999

By A Customer

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.