Bennett W. Golub, Leo M. Tilman

Risk Management

Approaches for Fixed Income Markets

• Gebundenes Buch

Produktbeschreibung

Bei Finanzinstituten spielt das Risikomanagement eine immer größere Rolle. Dieses Buch wendet die neuesten Techniken zur Erstellung von Finanzmodellen auf das Risikomanagement festverzinslicher Wertpapiere an. Geschrieben von zwei erfahrenen Experten im Bereich Risikomanagement, bietet dieser Band eine faszinierende Mischung aus Wirtschaft und Finanzen, Mathematik und gesundem Menschenverstand.

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Produktdetails

• Wiley Professional Banking and Finance Series /Wiley Frontiers in Finance
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 336
• Erscheinungstermin: 11. Juli 2000
• Englisch
• Abmessung: 235mm x 157mm x 24mm
• Gewicht: 604g
• ISBN-13: 9780471332114
• ISBN-10: 0471332119
• Artikelnr.: 09141146

Autorenporträt

BENNETT W. GOLUB is a founding partner and Managing Director of BlackRock, Inc., a global money management and risk advisory firm. Currently, he is co-head of its Risk Management and Analytics Group and is a member of its Investment Strategy Group and Management Committee. In addition to developing BlackRock's risk advisory business, Dr. Golub is actively involved in the creation of analytical tools used in measuring and managing market and credit risks of fixed income and equity portfolios. He has authored many articles on risk management and financial modeling and is a frequent lecturer at industry conferences and meetings. Dr. Golub earned an S.B. and an S.M. in Management and a Ph.D. in Applied Economics and Finance, all from the Massachusetts Institute of Technology. LEO M. TILMAN is Director in the Risk Management and Analytics Group at BlackRock, Inc. He specializes in the creation of new risk management methodologies, marketing of risk management services, financial modeling, and risk advisory work. His primary focus is solving a wide range of portfolio management, trading, asset allocation, and enterprise-wide risk management problems through the use of financial modeling techniques. Mr. Tilman has published extensively on risk management, financial modeling, applied statistics, decision-making, and expert systems. He is a frequent guest lecturer on the topics of risk management and financial modeling. Mr. Tilman received a B.A. in Mathematics and an M.A. in Statistics with a concentration in Finance, both from Columbia University.

Inhaltsangabe

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.