Advanced Financial Risk Management - Comprehensive Credit Risk and Interest Rate Risk Management Tools and Techniques

Author: David L. Daves
Publisher:
Publish Date: 2006-10-01
Features: Credit risk, market risk, asset and liability management, and performance evaluation are the most important parts of financial institution management. They were traditionally considered separate disciplines, but the development of new financial theories and computer science has enabled us to analyze these risks comprehensively and effectively through quantitative methods, thereby improving management efficiency. Donald R. Van Daves, Kenji Imai, and later Mark Mersky, renowned risk management experts, expand on the concepts they introduced in CreditRiskModelsandTheBaselAccords in this book and update the relevant content from their 1996 publication, FinancialRiskAnalysis. The authors provide measurement methods, objectives, and comprehensive hedging strategies widely applicable to various institutions. The book also presents a better performance evaluation method, which significantly outperforms traditional capital allocation techniques in measuring risk-adjusted shareholder value. More importantly, it supplements the comprehensive risk management strategy with step-by-step tools and techniques. This book serves as a must-read textbook and teaching reference for faculty, graduate, and doctoral students in finance and financial studies at universities nationwide; commercial banks can use it as a training manual for senior management on advanced financial risk management knowledge; financial doctoral students and experts in the global financial system can refer to it as high-quality research material. It is also suitable for other professional graduate students, finance industry practitioners, and anyone interested in global financial risk management.