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An in-depth look at the tools and techniques professionals use to address financial risks Risk and uncertainty, as Allan Malz explains in his ground-breaking new book, are two completely different concepts. Risk is a quantifiable uncertainty that can be modeled, while uncertainty defines non-quantifiable outcomes that are not always known. Part art and part science, the study of risk remains a relatively new discipline in finance and economics that continues to be refined. Financial crisis, rather than destroying the need for risk management, has given even great nuance and meaning to what…mehr

Produktbeschreibung
An in-depth look at the tools and techniques professionals use to address financial risks Risk and uncertainty, as Allan Malz explains in his ground-breaking new book, are two completely different concepts. Risk is a quantifiable uncertainty that can be modeled, while uncertainty defines non-quantifiable outcomes that are not always known. Part art and part science, the study of risk remains a relatively new discipline in finance and economics that continues to be refined. Financial crisis, rather than destroying the need for risk management, has given even great nuance and meaning to what risks exist and can be managed and controlled, and a taxonomy of new risks that need to be explored in ever more meaningful ways. This definitive guide on financial risk

- Explores all the tools and techniques needed to cope with risk

- Addresses state of the art approaches to modeling and managing risks

- Investigates stress tests in periods of heightened uncertainty, and the impact that variables such as liquidity and correlations can have on risk mitigation

- Provides practicing risk professionals with useful rules of thumb, intuitions, and insights gleaned from Malz's entire career as risk researcher, chief risk officer, and financial market regulator outside his classroom at Columbia University Informative and engaging, this book will help you understand why risk has become its own essential discipline on Wall Street and beyond.
Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today.

Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include:
Market risk, from Value-at-Risk (VaR) to risk models for options
Credit risk, from portfolio credit risk to structured credit products
Model risk and validation
Risk capital and stress testing
Liquidity risk, leverage, systemic risk, and the forms they take
Financial crises, historical and current, their causes and characteristics
Financial regulation and its evolution in the wake of the global crisis
And much more

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

"The need for sensible and realistic risk management becomes more obvious daily, and achieving it requires familiarity with both quantitative economic models and regulatory policy. Allan Malz's wide experience on Wall Street and at the Fed provides him with the perfect background for writing this important and uniquely comprehensive book."
--Emanuel Derman, Professor of Professional Practice, Columbia University's Industrial Engineering and Operations Research Department; author of My Life as a Quant: Reflections on Physics and Finance

"Finance is all about risk and reward. Investors are pretty good at measuring reward--at least after the fact--but many, including more than a few of the most 'sophisticated' are not very good at assessing risk before the fact, which is when of course it matters! There is a better way. Allan Malz provides the road map that investors need to understand the risks they take with the investment decisions they make. Malz has a unique perspective: as an academic, a central banker, and a risk manager--he has been there and done that. His book should be required reading for investors and practitioners alike."
--Richard Clarida, C. Lowell Harriss Professor of Economics, Columbia University

"It is almost cliché now to point out that the practice of risk management is as much art as it is science. For those new to the field, however, while there are excellent guides to the science and models of risk, there are none that connect the models to the markets, the economy, the banking system, and the history of all of these. Allan Malz's new book does this, providing a perspective that is critical to managing risk in the post-financial crisis world."
--Christopher Finger, Executive Director, MSCI Inc.

"Allan Malz has done a wonderful job of surveying the challenges that face those who labor in the vineyard of financial risk management. He brings a wealth of experience and insight to this work. The first chapter, which tackles the history of financial market innovation and risks, is a tour de force and may well be worth the price of the book itself."
--Galen Burghardt, Director of Research, Newedge USA; coauthor of Managed Futures for Institutional Investors: Analysis and Portfolio Construction

"This book provides a wealth of information on the theory and practice of risk management. In clearly written chapters, Malz progresses from simple asset pricing theory to complex derivatives including credit derivatives and CDO tranches. Institutional and historical description is rich and plentiful with a broad discussion of the financial crisis and new regulatory issues."
--Robert Engle, 2003 Nobel Laureate in Economics and Michael Armellino Professor of Finance, Stern School of Business, New York University
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