Models at Work: A Practitioner's Guide to Risk Management

ISBN-13: 9781349475704 / Angielski / Miękka / 2014 / 613 str.

J. Farid

Opis

This book provides a much needed 'middle ground' for risk practitioners who need an in-depth understanding of risk management without excessive formulae or theory. Written to appeal to a broad but financially-minded audience, it provides coverage of risk management and the frameworks commonly applied in the financial services industry.

Spis treści

PART I: RISK 1. What is Risk? 2. Measuring Risk 3. Stress Testing, Bank Regulations and Risk 4. Managing Risks 5. Building Risk Systems PART II: MONTE CARLO SIMULATION 6. Monte Carlo Simulators in Excel 7. Simulation Applications PART III: FIXED INCOME AND COMMODITY MARKETS - DISSECTING PRICING 8. Identifying Drivers for Projecting Crude Oil Prices 9. Gold and the Australian Dollar 10. Relative Value and the Gold - Silver Ratio 11. Correlations: Crude Oil and Other Commodities 12. Crude Palm Oil Futures 13. Crude Oil and Inflation 14. Historical Spreads in Bond Yealds in the Indo-Pak Sub-Continent 15. Volatility Trends in Commodity Prices 16. Energy Insights PART IV: DERIVATIVE SECURITIES  17. Derivatives Terminology 18. Products and Pricing 19. Variations 20. Derivative Pricing 21. Advanced Fixed Income Securities 22. The Treasury Function 23. Advanced Products 

O autorze

Jawwad Farid has been building and implementing risk models since August 1998. Working with clients on four continents he helps bankers, board members and regulators take a market relevant approach to risk management. He is the founder of Alchemy Technologies, a risk consulting practice and writes about risk and treasury products at FinanceTrainingCourse.com.

Jawwad's expertise includes investment management, product development and risk models. He has advised multiple due diligence teams on risk assessment in banking and insurance sectors, set up FX and commodity hedging desks, built fair value models for illiquid securities for FAS 157 disclosures, helped a 3 billion US$ dollar life insurance fund on allocation and bid patterns for 20 and 30 year bonds, ALM mismatch and fixed income strategy.

He has worked with the securities and banking regulator and the Asian Development Bank on assessing the state of the corporate bond market as well as issued valuation opinions on cross currency swaps, participating forwards and contingent liabilities for Exchange Guarantee Funds in the region.

Jawwad is a Fellow Society of Actuaries (Schaumburg, IL), holds an MBA from Columbia Business School and is a computer science graduate (NUCES FAST). He is an adjunct Faculty member at the SP Jain Global School of Management in Dubai and Singapore where he teaches Risk Management, Derivative Pricing, Project Finance and Entrepreneurship.