From the Inside Flap
Over the past two decades, financial firms, companies, and governments have shifted greater attention to financial manipulations in which they capitalized on leverage and short-term returns. These actually resulted in an explosive and global growth in financial activity. A financial Pandora's box had been opened, and countries and blue chip corporations believing in perpetual growth and once thought too big to fail, found themselves strangled with a debt they were not able to bear.
The recent market melt-down and credit liquidity crisis created full realization that complex financial productswhen misunderstood and misusedcan have devastating effects. Risk Finance and Asset Pricing: Value, Measurements, and Markets is a comprehensive introduction to financial engineering that presents the foundations of asset pricing and risk management, while stressing real-world applications.
Written for both beginning and practicing financial engineers, author Charles Tapierothe Topfer Distinguished Professor of Financial Engineering and Technology Management at the NYU Polytechnic Instituteprovides:
A non-quantitative introduction to the business of finance, risk, and their many applications
An overview of the statistical approaches for measuring risk
An introduction to the concept of utility and financial risk management
An outline of the Arrow-Debreu framework in discrete states and time for assets and derivatives (options) pricing
An outline of credit risk, scoring, and complex structured financial products such as credit derivatives, their models, their demystification, pricing, and finally, a cursory view of technical approaches to implied pricing
Each chapter includes a summary of the techniques described, and concludes with a series of problems so readers can test what they've learned.
Financial engineering, despite its challenges and opportunities, when misunderstood, has the potential to wreak havoc on world economies and individual portfolios. Risk Finance and Asset Pricing presents a new direction in financial engineering education that combines reality and theory so that risk finance might again work as intended.
From the Back Cover
"An impressive text on financial engineering that stands out as a logical and well-written description of many of the important models in quantitative finance, providing numerous relevant examples and instructive problems that help to drill home these conceptual underpinnings. The combination is especially useful for the pedagogic delivery of materials in financial engineering courses andpractitioner applications of real-world issues. I highly recommend it to enhance student andpractitioner understanding of financial markets."
—Edward I. Altman, Max L. Heine Professor of Finance and Director of Credit and Debt Markets Research Program at the NYU Salomon Center, Stern School of Business
"Recession frequently leads both students and the general public to realize that they have given far from sufficient attention to the role and nature of risk in the arena of investment. All too often, they have been lured to their financial destruction by mysterious types of assets whose nature they did not understand. Students in the fields of finance and investment, in particular, are surely ready for guidance in the field. Here is a book that provides it very effectively. Comprehensive, rigorous, and clearly written, it will be considered indispensible by instructors, students, and thoughtful investors."
—William Baumol, Professor of Economics and Director, C.V. Starr Center for Applied Economics, NYU
"Charles Tapiero has raised masterfully both the essential problems and questions that we are confronting in a post financial crisis world and reveals the many approaches and techniques that can be used to provide answers for better financial risk management."
—Professor Alain Bensoussan, Distinguished Research Professor of Operations Management, Director of the International Center for Decision and Risk Analysis, University of Texas
"Charles Tapiero is a world-renowned scholar who has made numerous contributions in the field of risk management. His book is a timely and much needed integration of the latest developments in theory and practice. Replete with real-world examples, it is a must-read for practitioners, researchers, and students interested in the field of financial engineering and risk management."
—Lorne N. Switzer, Professor of Finance and Associate Director, Institute for Governance in Private and Public Organizations, John Molson School of Business, Concordia University
"Charles Tapiero is one of the best collaborators I ever had. He ferrets out hidden risks and reduces complexity to being tractable. He writes in a clear style without taxing the reader."
—Nassim Nicholas Taleb, Author of The Black Swan, Distinguished Professor of Risk Engineering, NYU-Polytechnic Institute