Financial Risk Management : A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM)

by Allen, Steve L.

• ISBN13: 9780471219774
• ISBN10: 0471219770
• Edition: 1st
• Format: Hardcover
• Copyright: 2003-02-27
• Publisher: Wiley

Summary

Financial Risk Management covers the strategies, principles, and measurement techniques necessary to measure and manage financial risk. With a focus on management perspective, this book explores real-world issues such as model validation, risk measurement, valuation methodologies, and much more. Self-contained Excel spreadsheets are included on the companion CD-ROM.

Author Biography

STEVE ALLEN is Managing Director in charge of risk methodology at JPMorgan Chase. He is responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase’s value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for all Chase trading activities for over ten years. He also serves as co-chairman of the Credit and Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed-Income Investments and Derivative Securities. Allen is Deputy Director of the Mathematics in Finance Masters’ program at New York University’s Courant Institute of Mathematical Sciences. He has taught the risk management course in this program for the last five years.

Table of Contents

Foreword.

Preface.

Acnowledgments.

Introduction.

The Contents of This Book.

The Use of Mathematics in This Book.

Overview.

Institutional Background.

Moral Hazard—Insiders and Outsiders.

Ponzi Schemes.

Adverse Selection.

The Winner’s