Book Description
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.
Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.
This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.
Download Description
Analysis of Financial Time Series, Second Edition provides a comprehensive and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods.
Customer Reviews:
Excellent and detailed reference.......2007-05-03
The coverage of the topic is broad and deep. It is one of the few introductory books that devotes some space to transfer function modeling and does so intelligibly.
A must have for the novice as well as those more familiar with the topic that need a solid reference.
The best for Masters level, great all-around.......2007-02-12
This text is absolutely perfect for Masters students learning financial econometrics. There is a little theory, clear explanations, and quite a few real world examples. (I don't think any text would tell the reader what model to use when, because that's application-specific.) It assumes some knowledge of finance and basic econometrics/statistics, which is fair enough. To get more theory, Hamilton (1994) remains the authority, and Campbell, Lo, MacKinlay (1997) is a great introduction for PhD students, and generally an ideal companion volume to this one.
Excellent reference!.......2006-11-05
This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
Broad coverage, but not for the faint-hearted.......2006-07-05
Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
Best textbook I have ever read .......2005-09-19
First of all, it is well written in a very practical point of view. The whole book is aimed fullly to real financial data(appended in the author's web). People can gain not only the well-explained theories but the hand-on experience with data analysis using SPLUS or any other package.
Secondly, the author is a real expert in this field and has been publishing lots of nice work. All models in the book are clearly illustrated and commented.
Thirdly, it covers a lot of topics in analysis of FT. Reader can learn almost all the valuable things in this field from this book.
If anyone wanna truly learn this book, she/he has to sit down and plays some real data on computer. I think this is the best way and the only way to use this book.
Book Description
Inside markets, innovation, and risk
Why do markets keep crashing and why are financial crises greater than ever before? As the risk manager to some of the leading firms on Wall Street–from Morgan Stanley to Salomon and Citigroup–and a member of some of the world’s largest hedge funds, from Moore Capital to Ziff Brothers and FrontPoint Partners, Rick Bookstaber has seen the ghost inside the machine and vividly shows us a world that is even riskier than we think. The very things done to make markets safer, have, in fact, created a world that is far more dangerous. From the 1987 crash to Citigroup closing the Salomon Arb unit, from staggering losses at UBS to the demise of Long-Term Capital Management, Bookstaber gives readers a front row seat to the management decisions made by some of the most powerful financial figures in the world that led to catastrophe, and describes the impact of his own activities on markets and market crashes. Much of the innovation of the last 30 years has wreaked havoc on the markets and cost trillions of dollars. A Demon of Our Own Design tells the story of man’s attempt to manage market risk and what it has wrought. In the process of showing what we have done, Bookstaber shines a light on what the future holds for a world where capital and power have moved from Wall Street institutions to elite and highly leveraged hedge funds.
Customer Reviews:
Spectacular info... but ah what to do, what to do.......2007-09-22
This book is very well layed out and is an excellent primer on what is going on behind the scenes in the financial markets.
The end is a bit disappointing in that the issues are clearly explicated but the solution seems a bit murky and maybe impossible. The author does acknowledge the difficulty of implementing a truly workable solution.
Great risk insights, and lots of useful reminders on liquidity mechanics .......2007-09-21
A finance-related book like this one is always something I open with a fear of "deja vu". To Bookstaber's credit, his numerous insights quickly got me over this. It is a constant reminder to risk practitioners and traders that liquidity supply is a serious matter. It does indeed move mountains. For new comers into risk management and trading, it explains the sources of the LTCM debacle, and its learnings. By all standards, I recommend this book to any finance graduate, experienced trader, or risk manager. A very useful read.
The Wisdom of the Cockroach.......2007-09-14
In recounting his time as risk manager at a number of prominent houses (Morgan Stanley, Salomon Brothers, Citigroup etc.), Bookstaber completes the i-banking trifecta. First there was the Michael Lewis classic, Liar's Poker, detailing the juvenile bravado and macho antics of the trading floor. Then Jonathan Knee gave an intimate portrait of the i-banker deal making culture with The Accidental Investment Banker.
And now, in A Demon of Our Own Design, we get a glimpse at the risk management side of things... a sort of master plumber's walking tour through the bowels of the system, with technical descriptions of exactly what happens when pipes burst and boilers explode. (Some will find Bookstabers' level of detail intolerably dull; others will find it quite fascinating. I was in the fascinated camp.)
Nature of the beast
In describing the finer points of risk arbitrage, Bookstaber explains why it's normal -- expected even -- for trading desks to take a good whack every so often. The nature of the beast is to make relatively steady profits, month in and month out, and then give back a chunk of those profits when something goes haywire. (That's how you move huge sums on an arb desk; grind out small bets that are almost guaranteed to work, juice up the returns with leverage, and try not to be in the vicinity when the rare position goes kablooey.)
In light of this general modus operandi, perhaps it isn't surprising that the "quant" funds recently took a major hit (as of September 2007). They had been minting money for an extraordinarily long period, had the leverage to show for it, and now, after the recent "oops," seem to be generally back in business.
In fact it appears natural for much of Wall Street to work in this "make a little, lose a lot" fashion... the key idea being that all the little updrafts make up for the once-in-a-blue-moon downdrafts. (Such calculus works better for the fee collectors than the fee payers, but that's a different kettle of fish.)
Bookstaber's detail-rich description of the various trades that investment houses put on, many of them lasting years, is also enlightening. The details seem to confirm that, by and large, Wall Street is a gigantic, slow moving, conventional-returns type machine. (And what else could it be, really, with such an ocean of capital to allocate and so many jobs to fill? There is only so much creativity and contrarianism to go round.)
A dangerous combination
Risk manager war stories aside, Bookstaber's goal is to hammer home a key philosophical point regarding risk. He wants readers to understand that financial markets are inherently unstable, and this reality places limits on how far we (or anyone) should go in pursuit of outsized returns.
To make his point, Bookstaber uses various analogies to describe how the market is a highly complex, tightly coupled system... and to explain why the combination of high complexity and tight coupling is particularly dangerous.
The counterexample Bookstaber gives of a highly complex, loosely coupled system is the US Postal Service. The USPS has countless potential points of failure and myriad moving parts, but there are no catastrophic linkages involved. A lost package does not set off a disastrous daisy chain of events in which millions of packages are lost.
In contrast, the classic example of a highly complex, tightly coupled system is a nuclear reactor. The reactor is tightly coupled because any point of failure can lead to a knock-on chain reaction; one small thing going wrong can set the entire mechanism on a path to disaster. Being a highly complex, tightly coupled system, the market is less like the postal service and more like the nuclear reactor, in that the combination of aggressive leverage, complex methodologies and heavily interlocking parts leads to significant potential for catastrophe.
Exquisitely adapted
Another serious problem is Wall Street's deeply ingrained tendency to push the envelope. (Richard Lowenstein put it exceptionally well in his book Origins of the Crash: "Finance has its own Peter Principle, by which a successful model will be adapted to progressively riskier causes until it fails.")
In this habit of fighting for every inch of profit, Wall Street is like a self-evolving animal overquick to embrace the particulars of its immediate environment. The more precisely an animal is attuned to a particular "fitness landscape," the better that animal can thrive... in the short term at least, as long as everything stays just so. To be exquisitely adapted (as opposed to robustly adapted) is to be vulnerable to the slightest change.
Thus when the fitness landscape DOES change -- as it inevitably will -- the heavily specialized competitors tend to get crushed (if not go extinct). If a strategy-gone-sour broadsides a large enough group of market participants, the entire financial ecosystem can be thrown into turmoil. When the turmoil from this upheaval spills into the broader economy, wreaking havoc in its wake, the "demon" spoken of in the book's title is unleashed. (As this reviewer interprets it anyway.)
Wisdom of the cockroach
So the problem, in sum, is Wall Street's tendency to `overadapt' to every appealing landscape it encounters, building up complexity and leverage to dangerous levels in doing so.
Bookstaber's suggestion is to heed the wisdom of the cockroach.
The cockroach has survived a longer time span, and a wider variety of harsh environments, than humans could ever match. It is one of the creatures man cannot wipe out no matter how hard he tries. And yet, the cockroach's key risk management strategy is embarrassingly simple... simpler, even, than putting in a stop loss. The deeper point is that simple equals robust; by refusing to get fancy, and sticking with the tried-and-true, the cockroach ensures its reign as champion survivor.
Bookstaber uses the cockroach (and other examples from nature) to argue that we, too, should consider cutting back on our excessively specialized ways. The cost of a rough-edged strategy is forgoing excess profits in accomodative environments... but the benefit is increased likelihood of survival in a much wider range of environments, including the truly harsh ones. (As Jim Grant likes to joke, if so many of these credit-driven vehicles can barely handle prosperity, how are they supposed to fare when adversity hits?)
Harrumphs all round
Bookstaber's finger-wagging solution (be less fancy; take less risk) has the ring of common sense to it, especially in the way it frustrates all those market participants determined to have their cake and eat it too.
For those who seek to wring every last nickel out of the market (as LTCM used to brag of doing), Bookstaber argues persuasively that flying too close to the sun will always be perilous. The commitment to leveraging every edge on a broad scale inevitably leads to disaster-prone configurations, no matter how smart the players.
For those who think the answer is greater regulation of markets, i.e. more rules, Bookstaber shows how extra layers of bureaucracy can actually bring about the exact opposite of the intended affect. Perversely, layers of red tape can (and often do) make a situation more risky, by increasing confusion and complacency simultaneously.
Nor is greater information disclosure the answer. If the market's traditional liquidity providers (traders, market makers, speculators etc.) are forced to disclose their positions to the world in real time, they will react in the manner of poker players forced to play their hands face-up. To the extent that disclosure resolves uncertainty, it also drives market participants from the game. And because "liquidity is a coward" as the old saying goes, always running away when you need it most, strict disclosure rules would likely make bad market conditions worse at the least opportune times.
Some left smiling
Two groups in particular may be left smiling at the end of this book -- value investors and trend followers. In both the theory and practice of their normal operations, value investors and trend followers intuitively embraced Bookstaber's message a long long time ago, favoring longevity and robusticity over the temptations of adjusting to the moment.
It is perhaps not surprising, then, that value investors and trend followers are arguably the most profitable market participants by far on an absolute-dollar basis, hauling in hundreds of billions in profit over the course of many decades. They are champion survivors too... with a touch more class than the cockroach.
A MUST READ for all financial markets professionals.......2007-09-13
This is an excellent book. I cannot say enough good things about it. Unquestionably one of the best books on financial markets of the hundreds that I have read. This book provides a ringside view of how the major banks and hedge funds work and why financial risks have become more magnified than before.
Derivatives, trading and hedge funds are here to stay. They perform a valuable service to the financial markets, though Warren Buffet will disagree with me. Nevertheless, it is the mis-use of derivatives and the excessive use of leverage that leads to financial disasters. This book provides an excellent insight into why we witness financial turmoil in some of the most liquid markets.
I strongly recommend it to all MBA finance students as well as to financial markets professionals at hedge funds, prop trading desks, risk managers, quants, bankers, pension fund managers.
Demon.......2007-09-12
I found this book very interesting and full of information I haven't seen elsewhere. A Wall Street "quant" insider's perspective, focused on what can and does go wrong. The author also ties his analysis of famous Wall Street tailspins to other notable failures, including Chernobyl and the Challenger, and finds common themes.
Book Description
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.
Customer Reviews:
Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19
I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.
In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.
Incoherent.......2007-01-18
Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.
Insufficient and disappointing. Not even a good introductury text........2006-05-15
As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.
Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.
Great Book for Undergrad Quants.......2005-08-29
Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.
The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.
Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.
I gave it four stars, because it has room for impovement.
Joining the chorus.......2005-08-03
I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!
Average customer rating:
- Great for the novice Risk Manager
- This book is a must read for all mid-level and executive level managers
- Remarkably Succinct Coverage of a Hot New Topic
- A well written and thought out book on Risk Management
- A Must Read for Risk Management
|
Enterprise Risk Management: From Incentives to Controls
James Lam
Manufacturer: Wiley
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ASIN: 0471430005 |
Book Description
Enterprise risk management is a complex yet critical issue that all companies must deal with as they head into the twenty-first century. It empowers you to balance risks with rewards as well as people with processes. But to master the numerous aspects of enterprise risk management, you must first realize that this approach is not only driven by sound theory but also by sound practice. No one knows this better than risk management expert James Lam. In Enterprise Risk Management: From Incentives to Controls, Lam distills twenty years' worth of experience in this field to give you a clear understanding of both the art and science of enterprise risk management.
Organized into four comprehensive sections, Enterprise Risk Management offers in-depth insights, practical advice, and real world case studies that explore every aspect of this important field.
- Section I: Risk Management in Context lays a solid foundation for understanding the role of enterprise risk management in today’s business environment.
- Section II: The Enterprise Risk Management Framework offers an executive education on the business rationale for integrating risk management processes.
- Section III: Risk Management Applications discusses the applications of risk management in two dimensions–functions and industries.
- Section IV: A Look to the Future rounds out this comprehensive discussion of enterprise risk management by examining emerging topics in risk management with respect to people and technology.
JAMES LAM is President of James Lam & Associates, an independent risk advisory firm. Before starting his own firm, Lam was founder and president of ERisk and partner of Oliver, Wyman & Company. In 1997, as chief risk officer at Fidelity Investments, he was named the first-ever Financial Risk Manager of the Year by the Global Association of Risk Professionals. Prior to Fidelity, he was chief risk officer of Capital Markets Services, Inc., a GE Capital Company. Lam graduated with honors from Baruch College and received his MBA from UCLA. He is also currently an Adjunct Professor of Finance at Babson College.
Customer Reviews:
Great for the novice Risk Manager.......2006-07-27
If you are a budding Risk Manager/ Officer or are considering a career move towards Risk Management, this book is a good high-level illustration of what the major sleeves of Risk Management has to offer.
For the experienced risk professional, this is a bit too fundamental.
This book is a must read for all mid-level and executive level managers.......2005-09-21
James Lam has written a remarkably clear and relevant portrayal of how [enterprise] risk management can be used to deliver real value in any business.
During the past year, I developed a course for the Executive MBA program at Villanova University. After reviewing several books on the subject, I chose this one because of its clear and comprehensive coverage of the subject matter.
I would highly recommend this book to anyone with a serious interest in understanding risk management from a holistic perspective. This includes risk professionals as well as those involved in line and staff functions.
Remarkably Succinct Coverage of a Hot New Topic.......2005-02-04
You bought Jorion, Pearson, and Hull; you slammed headfirst into the quantitative quagmire of risk management, and you may even have passed the Financial Risk Manager exam, sponsored by the Global Association of Risk Professionals, but are you prepared to become your company's "Risk Champion?" Can you explain to laymen why loss distributions are not normal? Can you illustrate the "sweet spot" in the profit/risk tradeoff? If you aren't quite there yet, pick up James Lam's new book, Enterprise Risk Management, From Incentives to Controls. It's a book you can read on the five hour flight from New York to Los Angeles, and its melodies will linger in your memory. This book has changed the way I communicate with people both in and outside the risk management profession. Read it with a highlighter in your hand, and keep the book within easy reach.
A well written and thought out book on Risk Management.......2004-10-05
This book provides practical and insightful look at risk management and how it can benefit companies. Reading and understanding this book should be a pre-requisite for any person going to take on management position.
A Must Read for Risk Management.......2004-08-23
This book is not only about the theory of enterprise risk management, but also a summary of the author¡¯s experience in practicing risk management for more than twenty years. And what is more, there are several case studies that are deeply analyzed in the book. It is because of this that I think it is an excellent work on enterprise risk management. In addition, it is interesting that the Balance of the Yin and Yang in the Chinese traditional philosophy is applied as Lesson 7 by the author. It is a must read for all business managers and students who want to pursue a career in risk management.
Book Description
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
Customer Reviews:
Very shallow.......2005-03-11
You can google in 10 minutes more relevant information than this book is able to provide. It's OK if you need to pick up some terminology and get a rough idea of what it all means before an interview. Totally useless if you need it for work.
Comprehensive, lack in depth and poor organization.......2005-01-23
For a starter, this book does offer a broad spectrum of subjects, volatility/variance measurement, PCAs, Factor Models, Time Series analysis, high frequency data modeling, etc, at the expense of rigor and depth.
Desipite the academic pedigree the author enjoys and the educational career she had, the book is rather poorly organized from a pedagogical point of view. She seems to have a tendency to refer to expressions, notions, ideas, data which appear much later than where the reference takes place. This makes first-timers cringe as they go through the chapters as they are laid out. It reads much like some published papers got dumbed down, and bundled together.
If you are looking for comprehensive introduction, without the gory details of mathematical mumblejumble, this book might be of help. But it may not be used as a reference book, for its organization and for its lack of rigor.
Worth the money.......2003-08-28
If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Book Description
Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include:
An increased emphasis on operational risk
Using VAR for integrated risk management and to measure economic capital
Applications of VAR to risk budgeting in investment management
Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas
Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book
A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students.
Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems.
The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Customer Reviews:
Marx from Australia.......2007-03-15
This is a good book for risk/quantitative analyst in market risk. Lots of information and reference for risk management.
New, Revised , Updated and Expanded Third Edition.......2006-11-02
It is an old axiom that investments with higher risk should pay a higher return. But how do you measure that risk to know what an appropriate return would be? Value at Risk (VAR) is a statistical method used to summarize the worst loss over a target horizon that will not be exceeded with a given level of confidence.
Over the past 15 or 20 years since VAR began to be used the financial world has changed. This includes changes in the kinds of risk being assumed, the new risk-management techniques have been developed, and new laws have come into effect, the expanded use of VAR in other areas beyond the financial areas, among other changes. These changes have been reflected in this new, third edition of this classic volume on the subject. It is a new book (published October 19, 2006), extensively revised and expanded from about 540 pages to 600.
This book is rapidly becoming (if it hasn't already become) the standard by which other books are compared. It is used by the Global Association of Risk Professionals as the main text for it's Financial Risk Manager examination.
Average customer rating:
- Against The Gods, a highly recommended book for MBA
- So Close to Wonderful
- Unpretentious and pleasant
- Are you risk-seeker or risk-averse?
- A remarkable rational attitude against rational Gods
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Against the Gods: The Remarkable Story of Risk
Peter L. Bernstein
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover
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ASIN: 0471121045 |
Amazon.com
With the stock market breaking records almost daily, leaving longtime market analysts shaking their heads and revising their forecasts, a study of the concept of risk seems quite timely. Peter Bernstein has written a comprehensive history of man's efforts to understand risk and probability, beginning with early gamblers in ancient Greece, continuing through the 17th-century French mathematicians Pascal and Fermat and up to modern chaos theory. Along the way he demonstrates that understanding risk underlies everything from game theory to bridge-building to winemaking.
Book Description
A Business Week, New York Times Business, and USA Today Bestseller
"Ambitious and readable . . . an engaging introduction to the oddsmakers, whom Bernstein regards as true humanists helping to release mankind from the choke holds of superstition and fatalism." -The New York Times
"An extraordinarily entertaining and informative book." -The Wall Street Journal
"A lively panoramic book . . . Against the Gods sets up an ambitious premise and then delivers on it." -Business Week
"Deserves to be, and surely will be, widely read." -The Economist
"[A] challenging book, one that may change forever the way people think about the world." -Worth
"No one else could have written a book of such central importance with so much charm and excitement." -Robert Heilbroner author, The Worldly Philosophers
"With his wonderful knowledge of the history and current manifestations of risk, Peter Bernstein brings us Against the Gods. Nothing like it will come out of the financial world this year or ever. I speak carefully: no one should miss it." -John Kenneth Galbraith Professor of Economics Emeritus, Harvard University
In this unique exploration of the role of risk in our society, Peter Bernstein argues that the notion of bringing risk under control is one of the central ideas that distinguishes modern times from the distant past. Against the Gods chronicles the remarkable intellectual adventure that liberated humanity from oracles and soothsayers by means of the powerful tools of risk management that are available to us today.
"An extremely readable history of risk." -Barron's
"Fascinating . . . this challenging volume will help you understand the uncertainties that every investor must face." -Money
"A singular achievement." -Times Literary Supplement
"There's a growing market for savants who can render the recondite intelligibly-witness Stephen Jay Gould (natural history), Oliver Sacks (disease), Richard Dawkins (heredity), James Gleick (physics), Paul Krugman (economics)-and Bernstein would mingle well in their company." -The Australian
Customer Reviews:
Against The Gods, a highly recommended book for MBA.......2007-09-18
The reason that I bought this book was because it was highly recommended by the teachers at my MBA class.
They were not kidding, from head to toe its very good and kept my attention till the end. It has been of great help to me. Aside the history content it helps you to think on how to mitigate risk and how improve the opportunities.
So Close to Wonderful.......2007-08-14
Bernstein does an adequate job bringing the concepts together, but this is not a page-turner. I found myself reading on for the promise of insight, and he offers some, but the writing is a bit dull.
Unpretentious and pleasant.......2007-07-10
Bernstein is an interesting writer since he is the consummate finance insider- a practioner, regulator and academic. This range helps and harms the book - in his efforts to render the history of risk, he delves into anecdotal caricatures while amusing definitely smack of basis risk with the underlying ideas that are provocative enough! I found the behavioural finance and derivatives section to be rather basic but then realised the book was written in 1996. It's a pleasant read but a more pragmatic introduction to probability is the infinitely witty Cartoon Guide to Statistics.
Are you risk-seeker or risk-averse?.......2007-07-01
According to this book you are both, it only depends on the point of view that is presented. I enjoy the book from the beginning to end, especially the last three chapters. The history and analysis of rational behavior is enlightening, to anyone who has ever thought about the process of decision.
A remarkable rational attitude against rational Gods.......2007-05-16
2 crucial ponits in this book:
1.Sociological: Bernstein describes how risk was first imagined as an essentially modern cultural form and significantly operationalized in early mercantile capitalist shipping, where individual losses in rapidly expanding global trade become large enough to encourage their socialization in insurance arranegemnts. This book implies some viable if crude forms measurement and scaling of risk. In his narrative, risk was there waiting to be discovered, carrying its own intrinsic meaning, which the visionaries, through their heroic powers of access to msteries of Nature, were able to reveal to men of commerce and others who could then drive the economic, cultural and technological revolution of modernity. We can note from this account of risk how an implicit normative framework`and a claim of control are advanced as defining features of this new state`of enlightenment. It is this scientific risk discourse which gives total control`of `the future at the service of the present', the implication being that risk`analysis identifies and domesticates all significant future consequences of the`relevant actions. In this way ignorance and unanticipated consequences - lack`of control - lying beyond the reach of existing scientific knowledge, thus`potentially embarrassing in future to risk assessment, are seamlessly deleted.`Risk is thus assumed to define the full sphere of conceivable meaning for considering`new technologies and their implications, and science reveals this`independent meaning. (Reference, Wynne:Reflexivity inside out?)
2. Historical: While it is apparent to historians that both Khayyam and Kharazmi were Persian thinkers, the author in keen to be selective inattentive to this fact such that he argues the system of numbers were imported from Arab world to West whereas it was firstly introduced to Arabs at the time Persia was invaded by them. Hence the author's historic mind-set starts from 12th Century while long before which is 500 B.C. risk used to be engineered among Persians. (Reference, Channel History-Engineering an Empire: Persia)
Book Description
In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
Customer Reviews:
read this before going for it.......2007-04-23
Well first off I would like to tell anyone who doesn't have a solid working knowledge of calculus (including multivariate) to avoid this book as it requires multiple integrals and infinite series and sequences. Now onto the good and the bad:
THE GOOD:
This text explains concepts very well and is FULL of examples. I mean literally 3/4 of the book, maybe more, is examples. Every chapter also has a section of problems that have partial solutions, which can come in very handy. This is pretty much all that is good about this text, but keep in mind that explaination is the most important part of any textbook.
THE BAD:
The proofs skip plenty of steps. And I mean plenty, so much that a proof in the book would take 5 lines but when my professor proved it in class it would take him nearly 15. Also while there are tonnes of examples, too many are theoretical and very hard. The book costs a hefty amount of change and is suprisingly small, Author couldl have given few more examples to make it interesting. However the worst thing about this book is how the author leaves important things in with the text often. However most these things are small, and overall the text is a good intro to probability theory.
a very good book.......2006-10-31
The authors wanted to write the book that they themselves would have liked to read before starting a profession in risk management. I am working for a treasury consultancy firm. This book was the best of the five I bought. The text is very clear yet does not assume too much prior knowledge. It covers theory as well as industry practice. The book contains much advanced statistics and readers must have some background in order to handle this. The authors keep it simple but not too simple. Their approach is pragmatic throughout. I am really happy to have read this book when I started doing work in credit risk management.
good combination of math and finance.......2006-02-22
As indicated on the back of the book, the authors are aiming at audience who have some knowledge in both math and finance but may be weak in one and strong in another. Either way, this is a good book to read on credit risk.
Clear and comprehensive.......2005-10-27
This book clearly articulates basic concepts of credit risk modeling. At the same time it is mathematically rigorous. This book enables non mathematician with some (basic) knowledge in probability statistic to better understand and develop his risk management skills.
A good read!.......2004-08-19
Easy to understand with not a tremendous amount of complicated math to dicipher. Just what the doctor ordered.
Book Description
This book is comprised of 45 articles written by top researchers and theorists in finance. The text is meant to bridge the gap between financial theory and practice. It gives instructors a way to introduce students to academic articles edited to eliminate the methodological content. The articles were originally edited for practitioners, so they are perfect for the MBA student. This reader is the perfect packaging option for any of our Corporate Finance texts.
Customer Reviews:
Review from MBA / GE student.......2005-07-22
This book is excellent reading. Foremost, it discusses clearly all of the major issues today in corporate finance - capital structure, "what investors want", incentives and performance measurement via Accounting versus Economic Value Added models, corporate architecture, etc. The author is extremely engaging, and I must admit, this is the first "text book" I've had that I wanted to keep reading. The author is sarcastic, opinionated, but objective all in one. An excellent purchase for a course or just if you're interested in understanding the way markets and corporate finance truly function.
A good book of ARTICLES but too academic........2004-04-27
Chew's New Corporate Finance is a quite decent book on journal articles on finance issues from a corporate standpoint. Other than your professor's own choice of favourite articles, Chew's may be the next best thing you can get. I won't give it a higher rating (4 or 5 star) because it lacks ground-breaking yet still easy-to-read articles from the less technical journals like Harvard Business Review, etc.
Most of the articles are too academic coming from more or less the same journals. Moreover, the more technical ones have difficult formulas and number-crunching statistics which are more appropriate for MBA and MSc in Finance students, or those in researchers in "high-level derivative work".
I have the second edition (1999) of this book and used it sparingly for my MBA in Finance. And I've browsed through this new edition - what I found was there were not many changes made, only a few new articles have been added. Perhaps inclusion of some non-American articles would do justice to this book. Chew still keeps the classic ones though, which are always relevant. The roundtable discussion on EVA is interesting but Chew does not include criticisms on EVA shortfalls or problems.
On the whole, this text should be a reasonable introduction to high-level Finance and also a good supplementary reading for those doing MBA in Finance. But the editor's selection between technical and easy-to-read-but-important articles still leaves much to be desired.....
practical as well as academic.......2000-05-31
This book challenges you about what you really understand on finance. Before I read this I didn't like finance at all because it seemed too simplified. This book shows how the real world and people think. Especially, its chapter on risk is of a great help. Now I'm interested in some fields of finance such as internal corporate governance, real option, more refined and practical concepts than EVA, etc.
A good reference for motivated MBAs and practitioners.......2000-05-15
As the title of the book clearly indicates, the text advances corporate finance beyond the theory presented in texts like Brealy and Myers. Thus, the text is geared towards a more sophisticated reading audience. In a collection of articles, academics and finance practitioners discuss the real world impact of capital budgeting, dividend/share repurchase policy, financial innovations (e.g. convertibles, commodity-linked bonds, derivatives, etc.), and bankruptcy on firms. Do not be scared off by the "academic" nature of this text. Unlike academic journals, the long-winded discussions on hypothesis testing and experimentation are abandoned (along with the high-level mathematics). The articles are very readable and any empirical evidence is presented in relatively friendly charts and graphs, which do a great job at providing the proper intuition. More importantly, the authors usually include real world anecdotal evidence to support the conclusions, as well.
Excellent summary of various aspects of corporate finance.......1999-09-30
An excellent compilation of articles by top academicians in the field of corporate finance. The articles are ideal for a person who wants to get a good grasp of any area of Corporate Finance. Warning: This is definitely not for the beginners. It is ideal for practitioners who are interested in learning more.
Book Description
Financial experts agree: Asset allocation is the key strategies for maintaining a consistent yet superior rate of investment return. Now, Roger Gibson's Asset Allocation - the bestselling reference book on this popular subject for a decade has been updated to keep pace with the latest developments and findings. This Third Edition provides step-by-step strategies for implementing asset allocation in a high return/low risk portfolio, educating financial planning clients on the solid logic behind asset allocation, and more.
Customer Reviews:
Asset Allocation: Balancing Financial Risk.......2007-07-11
Good overview. Perhaps a little technical. Graph oriented. Author does a good job of explaining his view point and backing it up with historical data.
asset allocation by gibson.......2007-05-24
The book was in excellent condition and was received in about five days.
Most solid advice on asset allocation ever.......2007-01-28
I had to read this book when I was taking a course to get a CIMA designation. I thought the book would be dullsville. But to the contrary, his strategies when tested are nothing short of amazing. To move away from the simple stock bond mix that every other book pimps out, is brave, but more importantly, he is right. Since reading the book I have obtained as many of his writings as possible. If you take the advice in this book and implement it, it will create a low stress, high return strategy. Good near term and long term advice. I will look to by more of this book to give to others. BEST BOOK ON ASSET ALLOCATION I HAVE EVER READ.
Gibson's Asset Allocation.......2006-08-23
Among the many books on this subject, this is one of the best. Unlike most of the other authors, Gibson does not limit himself to list the different asset classes and then provide recommended allocations. He goes one step further and describes in very practical terms the different issues that one faces when developing a portfolio and how to resolve them. In my view, Gibson ranks next to Bernstein and Malkiel. A good buy!
Asset allocation practically eliminates all risk while increasing returns........2005-07-01
This book informs the current political struggle to reform the Social Security program. In the case of a foreign invasion or some other calamity, it's true that one's private investments would be insecure, but so would one's "investments" in government bonds, so such cases are irrelevant.
In all relevant circumstances, private investments, if one adheres to even a primitive asset allocation strategy, are 100-percent safe. Mr. Gibson explains why.
He also cites studies concluding that the most significant variable in differences among institutional investor performance is emphasis on stock-picking and market-timing versus asset allocation. Those who emphasize asset allocation perform better than those who emphasize stock-picking and market-timing. A good companion to this book is "A Random Walk Down Wall Street", by Burton G. Malkiel.
Of course, Mr. Gibson introduces the reader to the theory and methods of asset allocation.
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