Risk Management: Approaches for Fixed Income Markets

by Leo M. Tilman and Bennett W. Golub

Book Overview

Bei Finanzinstituten spielt das Risikomanagement eine immer grö ere Rolle. Dieses Buch wendet die neuesten Techniken zur Erstellung von Finanzmodellen auf das Risikomanagement festverzinslicher Wertpapiere an. Geschrieben von zwei erfahrenen Experten im Bereich Risikomanagement, bietet dieser Band eine faszinierende Mischung aus Wirtschaft und Finanzen, Mathematik und gesundem Menschenverstand.

• Format: Hardcover
• Language: English
• ISBN: 0471332119
• ISBN13: 9780471332114
• Release Date: June 2000
• Publisher: Wiley
• Length: 336 Pages
• Weight: 0.90 lbs.
• Dimensions: 1.1" x 6.3" x 9.4"

Customer Reviews

Excellent Book

A truly excellent and useful book, although I can see why uninitiated (like Ms. Jane in the review below) won't understand it. The authors possess a wealth of practical knowledge of the fixed income markets and analytics. They rely on both theoretical models and subjective judgement, without which no investment activity can be successful. Their ideas are innovative and rigorous. I especially liked discussions on Value-at-Risk and existing parametric measures of risk. Highly recommend!

Review

A book written with an amazing transparency of thoughts and intelligence.A "must read" book for anyone who is involved in institutional risk management. ... must own before it becomes a "industry's best kept secret".

review

A very interesting book covering most modern issues in Fixed Income risk management. This book represents a rich experience that the authors got in finance and especially in mamanging risk of bond (and similar instruments) portfolio. I especiallly like the expalnations of partial duration and key rate versus principal components analisys. The book is technical and oriented towards people implementing modern risk management based on the P & L probability distribution. I have also learned a few interesting ways of how to communicate quantative results of risk analysis to portfolio managers.Monte Carlo methods are explained in brief and probably will not satisfy an experience user.Various option adjusted spread methods are explained very nicely. Benchmark approach is another topic that is well expalined in this book.I am going to use this book for teaching a Risk Management course (MBA).