Financial Risk Management
Product details
- ISBN 9780470481806
- Weight: 1116g
- Dimensions: 163 x 236mm
- Publication Date: 03 Nov 2011
- Publisher: John Wiley & Sons Inc
- Publication City/Country: US
- Product Form: Hardback
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Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include:
- Market risk, from Value-at-Risk (VaR) to risk models for options
- Credit risk, from portfolio credit risk to structured credit products
- Model risk and validation
- Risk capital and stress testing
- Liquidity risk, leverage, systemic risk, and the forms they take
- Financial crises, historical and current, their causes and characteristics
- Financial regulation and its evolution in the wake of the global crisis
- And much more
Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.
ALLAN M. MALZ is a Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has also worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management.
