Average Reviews:
(More customer reviews)Although not easy reading this book should be a must for any banker or banker to be.The authors' approach to a term structure model is the most solid analysis of profitability planning in the banking industry. In bringing this approach van Deventer & Imai present a well written primer that leads the reader through fixed income mathematics, yield curve smoothing, duration, convexity, term structure models, risk-neutral instruments, derivatives, advanced hedging & risk measument techniques.This book requires some quantitative skills or great perseverance. Being past this hurdle any reader will find the authors approach an excellent contribution to the banking industry on its march towards Risk-adjusted Return on Capital
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Financial Risk Analytics is the first book written by experienced risk managers that is designed to explain, in comprehensive yet understandable terminology, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. Risk management experts Donald R. van Deventer and Kenji Imai show in a very practical, concrete way how the term structure models used to price interest rate derivatives can be used to hedge all common products in banking, insurance and investment management, allowing the same risk management approach for an entire institution that is normally taken for a derivatives portfolio alone.
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