Risk Management: Approaches for Fixed Income Markets

ISBN-13: 9780471332114 / Angielski / Twarda / 2000 / 336 str.

Bennett W. Golub; Leo M. Tilman; Leo M. Tilman

Opis

Risk management plays an important role in the life of a financial institution. Aimed at both the asset management industry and academia, this book applies financial modelling techniques to the challenges of managing risk in fixed income markets. Written by two senior practitioners supporting the risk management function of a global money management firm, it blends finance, economics, mathematics, and common sense.

Spis treści

The Art and Science of Risk Management.

Parametric Approaches to Risk Management.

Modeling Yield Curve Dynamics.

Measuring Interest Rate, Basis, and Currency Risks.

Value–At–Risk Methodological Trade–Offs.

Using Portfolio Optimization Techniques to Manage Risk.

Appendix.

Bibliography.

Index.

About the Authors.

O autorze

BENNETT W. GOLUB is a founding partner and Managing Director of BlackRock, Inc., a global money management and risk advisory firm. Currently, he is co–head of its Risk Management and Analytics Group and is a member of its Investment Strategy Group and Management Committee. In addition to developing BlackRock′s risk advisory business, Dr. Golub is actively involved in the creation of analytical tools used in measuring and managing market and credit risks of fixed income and equity portfolios. He has authored many articles on risk management and financial modeling and is a frequent lecturer at industry conferences and meetings. Dr. Golub earned an S.B. and an S.M. in Management and a Ph.D. in Applied Economics and Finance, all from the Massachusetts Institute of Technology.
LEO M. TILMAN is Director in the Risk Management and Analytics Group at BlackRock, Inc. He specializes in the creation of new risk management methodologies, marketing of risk management services, financial modeling, and risk advisory work. His primary focus is solving a wide range of portfolio management, trading, asset allocation, and enterprise–wide risk management problems through the use of financial modeling techniques. Mr. Tilman has published extensively on risk management, financial modeling, applied statistics, decision–making, and expert systems. He is a frequent guest lecturer on the topics of risk management and financial modeling. Mr. Tilman received a B.A. in Mathematics and an M.A. in Statistics with a concentration in Finance, both from Columbia University.

Blurb

RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS

"Golub–Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples."– Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association

"Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner′s perspective. This text will rank among the most essential readings for both market professionals and academics." –Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac

"The most systematic and comprehensive overview of fixed income risk management."–Philippe Jorion, Professor of Finance, University of California–Irvine, Author, Value at Risk: The New Benchmark for Controlling Derivatives Risk

"An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended."–Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System

"Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income."–Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM).