Risk Management: Approaches for Fixed Income Markets / Edition 1

Risk Management: Approaches for Fixed Income Markets / Edition 1

ISBN-10:
0471332119
ISBN-13:
9780471332114
Pub. Date:
07/11/2000
Publisher:
Wiley

Hardcover

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Overview

Risk Management: Approaches for Fixed Income Markets / Edition 1

RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS

"Golub-Tilman will, I believe, become an absolutely essentialreference text for fixed income portfolio managers, traders,issuers, and scholars. It is comprehensive and clearly written.While rigorous, it is easy to understand because of its manypractical examples."- Richard Roll, The Allstate Chair in Financeand Insurance, The Anderson School at UCLA, Past President,American Finance Association

"Outstanding and unique! A thorough discussion of the theoreticalunderpinning of risk management combined with keen insights from apractitioner's perspective. This text will rank among the mostessential readings for both market professionals and academics."-Gregory J. Parseghian, Senior Vice President and Chief InvestmentOfficer, Freddie Mac

"The most systematic and comprehensive overview of fixed incomerisk management."-Philippe Jorion, Professor of Finance, Universityof California-Irvine, Author, Value at Risk: The New Benchmark forControlling Derivatives Risk

"An inside look at approaches to fixed income risk managementdeveloped at a leading investment firm. The rigorous presentationcovers both theoretical and practical considerations as well astheir applications to portfolio management. Very interesting andhighly recommended."-Charles W. Grant, Managing Director of FixedIncome, Virginia Retirement System

"Few, if any, financial studies have managed to reconcile practicalmarket experience and scientific discipline within such an originalapproach and with such elegance! An absolute must for anyone in theworld of fixed income."-Michele Donegani, Head of Asset Allocationand Manager Selection, European Investment Managers (EIM).

Product Details

ISBN-13: 9780471332114
Publisher: Wiley
Publication date: 07/11/2000
Series: Frontiers in Finance Series , #73
Pages: 336
Product dimensions: 6.28(w) x 9.11(h) x 1.05(d)

About the Author

BENNETT W. GOLUB is a founding partner and Managing Director ofBlackRock, Inc., a global money management and risk advisory firm.Currently, he is co-head of its Risk Management and Analytics Groupand is a member of its Investment Strategy Group and ManagementCommittee. In addition to developing BlackRock's risk advisorybusiness, Dr. Golub is actively involved in the creation ofanalytical tools used in measuring and managing market and creditrisks of fixed income and equity portfolios. He has authored manyarticles on risk management and financial modeling and is afrequent lecturer at industry conferences and meetings. Dr. Golubearned an S.B. and an S.M. in Management and a Ph.D. in AppliedEconomics and Finance, all from the Massachusetts Institute ofTechnology.
LEO M. TILMAN is Director in the Risk Management and AnalyticsGroup at BlackRock, Inc. He specializes in the creation of new riskmanagement methodologies, marketing of risk management services,financial modeling, and risk advisory work. His primary focus issolving a wide range of portfolio management, trading, assetallocation, and enterprise-wide risk management problems throughthe use of financial modeling techniques. Mr. Tilman has publishedextensively on risk management, financial modeling, appliedstatistics, decision-making, and expert systems. He is a frequentguest lecturer on the topics of risk management and financialmodeling. Mr. Tilman received a B.A. in Mathematics and an M.A. inStatistics with a concentration in Finance, both from ColumbiaUniversity.

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Table of Contents

The Art and Science of Risk Management.

Parametric Approaches to Risk Management.

Modeling Yield Curve Dynamics.

Measuring Interest Rate, Basis, and Currency Risks.

Value-At-Risk Methodological Trade-Offs.

Using Portfolio Optimization Techniques to Manage Risk.

Appendix.

Bibliography.

Index.

About the Authors.

What People are Saying About This

Richard Roll

Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples.
—(Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association)

Philippe Jorion

The most systematic and comprehensive overview of fixed income risk management.
—(Philippe Jorion, Professor of Finance, University of California-Irvine, Author, Value at Risk: The New Benchmark for Controlling Derivatives Risk)

Gregory J. Parseghian

Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner's perspective. This text will rank among the most essential readings for both market professionals and academics.
—(Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac)

Michele Donegani

Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income.
—(Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM).)

Charles W. Grant

An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended.
—(Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System)

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