Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for Risk Management measurement, objectives, and hedging techniques that apply to all types of institutions. Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.
Praise for Advanced Financial Risk Management
"Advanced Financial Risk Management is a superb presentation of current Risk Management methods, including both the HJM interest rate and credit risk models. The writing is crisp and clear. The topic coverage is relevant and comprehensive. There is no doubt that his book should be on every CEO's, CFO's, and risk manager's desk."
"The first edition of Advanced Financial Risk Management was already a valuable resource for anyone responsible for risk-based portfolios, or even just trying to understand risk analysis, in a complex modern setting. With the new material that van Deventer, Imai and Mesler have added following the financial crisis, it's become essential. The sorry history of the crisis and what caused it is replete with the mistakes key decision-makers made, in private Risk Management and the public policy arena too. With this analysis in hand, there is no excuse for repeating them."
"The book is very comprehensive in that it includes an in-depth discussion across a broad cross-section of asset classes. The use of case studies as well as drawing on the authors' own experience greatly enhances the value of the book. Lastly, the book strikes a good balance between quantitative, qualitative, and anecdotal examples."
— Edward Emmer, Retired Executive Managing Director, Standard & Poor's
"This timely volume explains risk management without shortcuts: an integrated understanding of multiple risks from multiple underlying instruments, based on careful empirical analysis rather than convenient simplifications. Despite its rigorous approach, the book is a pleasure to read and should be owned by every risk manager."