Advanced financial risk management - Donald R. Van Deventer

"This invaluable book combines a rigorous primer on risk management and fixed income analytics with sophisticated treatment of modern financial instruments and markets. I am particularly impressed with the authors' treatment of modern credit risk management models and techniques. Any serious student of the fields of risk management and investment strategies will find this volume extremely useful." – Edward I. Altman, Director, Credit & Debt Markets Research Program, Max L. Heine Professor of FinanceNew York University, Stern School of Business "Derivatives traders in credit default swaps and collateralized debt obligations are using state of the art technology that integrates both interest rate and credit risk. In this groundbreaking book, Don van Deventer, formerly treasurer of one of the largest banks in the United States and a member of the RISK hall of fame, Kenji Imai, and Mark Mesler show why it's desirable and practical to apply these same concepts to the total balance sheet of a financial institution. This book should be on every risk manager's essential reading list." – Robert Jarrow, Ronald and Susan Lynch Professor of Investment Management, Johnson School of Business, Cornell University "Van Deventer, Imai, and Mesler utilize their incomparable academic and professional experience and their technical expertise to comprehensively express their perspectives on how integrated interest rate and credit risk management creates shareholder value. I recommend this book to banking and hedge fund professionals seeking a complete education in current interest rate and credit risk management practices." – David P. Belmont, Author of Value Added Risk Management in Financial Institutions "Successful risk management demands up–to–date knowledge of asset–liabilities management, market, credit and operational risk; and the ability to implement sound quantitative tools and techniques. This book provides an insightful overview of credit and interest rate risk, and discusses a broad treatment of the related modeling theory and methods. In particular, it discusses the pros and cons of both structural and reduced form models of credit risk. The presentation is accessible, foregoing unnecessary technical details. Written by experienced professionals, it offers both technical information and advice that can help practitioners involved in managing credit and interest rate risk." – J.R. Sobehart, VP – Senior Analyst, Credit and Operational Risk Analytics, Citigroup Risk Architecture "In clear prose, the authors show why market–based tools such as put option theory, interest rate analytics, mark–to–market thinking, and bond prices are so important to modern credit risk management. Helpful examples pepper each chapter, illustrating and developing important concepts. This reader–friendly book is both a reference manual and a teaching companion for developing risk management skills." – Drake Pike, Head of Credit Risk Management, Asia ex–Japan Lehman Brothers