Advanced financial risk management:tools and techniques for integrated credit risk and interest rate risk management
|a19050310d2005 u 1 0
|aAdvanced financial risk management|etools and techniques for integrated credit risk and interest rate risk management|fDonald R. van Deventer, Kenji Imai, Mark Mesler.|rAdvanced financial risk management
|aSingapore :|cJohn Wiley & Sons,|d2005.
|aix, 668 p. :|cill. ;|d24 cm.
|aIncludes bibliographical references (p. 661-666) and index.
This book is written by experienced risk managers, integrating interest rate risk, credit risk, FX risk and capital allocation using a consistent risk management approach. It explains, in detailed yet understandable terms, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. This book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions, and includes:
The basics of present value, forward rates and interest rate compounding American fixed income options vs. European options The wide variety of alternatives term structure models to the basic Vasicek model.