Financial Risk Management: Models, History, and Institutions

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John Wiley & Sons, Sep 13, 2011 - Business & Economics - 752 pages
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Financial risk has become a focus of financial and nonfinancialfirms, individuals, and policy makers. But the study of riskremains a relatively new discipline in finance and continues to berefined. The financial market crisis that began in 2007 hashighlighted the challenges of managing financial risk. Now, inFinancial Risk Management, author Allan Malz addresses theessential issues surrounding this discipline, sharing his extensivecareer experiences as a risk researcher, risk manager, and centralbanker. The book includes standard risk measurement models as wellas alternative models that address options, structured creditrisks, and the real-world complexities or risk modeling, andprovides the institutional and historical background on financialinnovation, liquidity, leverage, and financial crises that iscrucial to practitioners and students of finance for understandingthe world today.

Financial Risk Management is equally suitable for firmrisk managers, economists, and policy makers seeking grounding inthe subject. This timely guide skillfully surveys the landscape offinancial risk and the financial developments of recent decadesthat culminated in the crisis. The book provides a comprehensiveoverview of the different types of financial risk we face, as wellas the techniques used to measure and manage them. Topics coveredinclude:

  • Market risk, from Value-at-Risk (VaR) to risk models foroptions
  • Credit risk, from portfolio credit risk to structured creditproducts
  • Model risk and validation
  • Risk capital and stress testing
  • Liquidity risk, leverage, systemic risk, and the forms theytake
  • Financial crises, historical and current, their causes andcharacteristics
  • Financial regulation and its evolution in the wake of theglobal crisis
  • And much more

Combining the more model-oriented approach of risk management-asit has evolved over the past two decades-with an economist'sapproach to the same issues, Financial Risk Management isthe essential guide to the subject for today's complex world.


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Credit and Counterparty Risk
Spread Risk and Default Intensity Models
Liquidity and Leverage
Risk Control and Mitigation
Financial Crises
Financial Regulation

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About the author (2011)

ALLAN M. MALZ is a Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has also worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management.

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