Risk Management

Approaches for Fixed Income Markets

Bennett W. Golub, Leo M. Tilman

312 pages, parution le 01/07/2000

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Résumé

Risk management plays an increasingly important role in the life of financial institutions. Yet there have been virtually no texts to date that reconcile practical market experience and scientific discipline in an attempt to help portfolio and risk managers make better investment decisions-until now.

Written by two senior risk management practitioners of a global money management and risk advisory firm, this one-of-a-kind book utilizes an intriguing blend of finance, economics, mathematics, and common sense in applying cutting-edge financial modeling techniques to managing risk in fixed income markets. With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including:

Interest rate and basis risk durations
Scenario analysis
Expected rate of return
Principal components analysis
Value-at-Risk
Stress testing
Portfolio and hedge optimizations

As a growing proportion of the financial system adopts rigorous risk management techniques and incorporates them in making investment decisions, chief investment officers, corporate treasurers, portfolio managers, risk managers, traders, academics, and finance students will find Risk Management an invaluable tool in navigating this exciting and increasingly challenging dimension of investing.

L'auteur - Bennett W. Golub

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.

L'auteur - Leo M. Tilman

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.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Bennett W. Golub, Leo M. Tilman
Parution	01/07/2000
Nb. de pages	312
Format	16 x 23,5
Couverture	Relié
Poids	595g
Intérieur	Noir et Blanc
EAN13	9780471332114
ISBN13	978-0-471-33211-4