Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk, 2nd Edition

  • Published By:
  • ISBN-10: 1118231643
  • ISBN-13: 9781118231647
  • DDC: 658.15
  • Grade Level Range: College Freshman - College Senior
  • 579 Pages | eBook
  • Original Copyright 2013 | Published/Released June 2014
  • This publication's content originally published in print form: 2013

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Financial risk management as a field of study and practice continues to evolve rapidly. Despite the long list of books written about this subject, most focus on statistical risk measurement techniques. Allen offers something different: an insider's view of financial risk management, as was practiced by a market risk expert at one of the world's leading financial institutions, J.P. Morgan Chase. Allen explores real world issues such as model validation, risk measurement methodologies, valuation methodologies, and determination of reserves and measurement of counterparty credit risk for all derivative products globally. He does so with the expertise of a practitioner who was a key architect of Chase's value-at-risk and stress-testing systems. What makes Allen's exploration of the field of risk management so engaging is his ability to explore a full range of financial risk management topics with the communication skills of an academic instructor and the hands-on experience of a market practitioner.  

Table of Contents

Front Cover.
Half Title Page.
Other Frontmatter.
Title Page.
Copyright Page.
About the Author.
1: Introduction.
2: Institutional Background.
3: Operational Risk.
4: Financial Disasters.
5: The Systemic Disaster of 2007-2008.
6: Managing Financial Risk.
7: VaR and Stress Testing.
8: Model Risk.
9: Managing Spot Risk.
10: Managing Forward Risk.
11: Managing Vanilla Options Risk.
12: Managing Exotic Options Risk.
13: Credit Risk.
14: Counterparty Credit Risk.
About the Companion Website.