• Book Name: Financial Risk Management 2nd Edition by Steve L Allen
  • Author: Steve L Allen
  • Pages: 657
  • Size: 6 MB

Financial Risk Management by Steve L Allen PDF

financial risk management by steve l allen pdf

Contents of Financial Risk Management by Steve L Allen PDF

  • Chapter 1: Introduction
  • Chapter 2: Institutional Background
  • Chapter 3: Operational Risk
  • Chapter 4: Financial Disasters
  • Chapter 5: The Systemic Disaster of 2007–2008
  • Chapter 6: Managing Financial Risk
  • Chapter 7: VaR and Stress Testing
  • Chapter 8: Model Risk
  • Chapter 9: Managing Spot Risk
  • Chapter 10: Managing Forward Risk
  • Chapter 11: Managing Vanilla Options Risk
  • Chapter 12: Managing Exotic Options Risk
  • Chapter 13: Credit Risk
  • Chapter 14: Counterparty Credit Risk

Preface of Financial Risk Management by Steve L Allen PDF

This book offers a detailed introduction to the field of risk management as performed at large investment and commercial banks, with an emphasis on the practices of specialist market risk and credit risk departments as well as trading desks.

A large portion of these practices is also applicable to smaller institutions that engage in trading or asset management. The aftermath of the financial crisis of 2007–2008 leaves a good deal of uncertainty as to exactly what the structure of the financial industry will look like going forward.

Some of the business currently performed in investment and commercial banks, such as proprietary trading, may move to other institutions, at least in some countries, based on new legislation and new regulations. But in whatever institutional setting this business is conducted, the risk management issues will be similar to those encountered in the past.

This book focuses on general lessons as to how the risk of financial institutions can be managed rather than on the specifics of particular regulations. My aim in this book is to be comprehensive in looking at the activities of risk management specialists as well as trading desks, at the realm of mathematical finance as well as that of the statistical techniques, and, most important, at how these different approaches interact in an integrated risk management process.

This second edition reflects lessons that have been learned from the recent financial crisis of 2007–2008 (for more detail, see Chapters 1 and 5), as well as many new books, articles, and ideas that have appeared since the publication of the first edition in 2003. Chapter 6 on managing market risk, Chapter 7 on value at risk (VaR) and stress testing, Chapter 8 on model risk, and Chapter 13 on credit risk are almost completely rewritten and expanded from the first edition, and a new Chapter 14 on counterparty credit risk is an extensive expansion of a section of the credit risk chapter in the first edition.

The website for this book (www.wiley.com/go/frm2e ) will be used to provide both supplementary materials to the text and continuous updates. Supplementary materials will include spreadsheets and computer code that illustrate computations discussed in the text. In addition, there will be classroom aids available only to professors on the Wiley Higher Education website. Updates will include an updated electronic version of the References section, to allow easy cut-and-paste linking to referenced material on the web.

Updates will also include discussion of new developments. For example, at the time this book went to press, there is not yet enough public information about the causes of the large trading losses at JPMorgan’s London investment office to allow a discussion of risk management lessons; as more information becomes available, I will place an analysis of risk management lessons from these losses on the website.

Financial risk management by steve l allen pdf.

Categories: Finance

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