Book Description
“Bernstein has become a guru to a peculiarly ’90s group: well-educated, Internet-powered people intent on investing well—and with minimal ‘help’ from professional Wall Street.”--Robert Barker, BusinessWeek
William Bernstein is one of today’s most unlikely financial heroes. A practicing neurologist, he used his self-taught investment knowledge and research to build a popular investor’s website. Now, in the plain-spoken The Intelligent Asset Allocator, he shows independent investors how to build a diversified portfolio—without the help of a financial advisor. A breath of fresh air for investors tired of overly technical investment tomes, this book will help investors:
• Learn the risk/reward characteristics of various investment types
• Understand and apply portfolio theory for an improved risk/reward ratio
• Sharpen their focus, and take control of their investment programs William Bernstein (North Bend, OR) runs a website—www.efficientfrontier.com—known for its quarterly journal of asset allocation and portfolio theory, Efficient Frontier.
Customer Reviews:
A classic book on investing.......2007-07-07
Anyone who is serious about investing in marketable securities should read this book and keep it handy as a reference guide.The author is a brillant student of the market and passive investing techniques.All of the supporting data in the book has been developed by the author and his assistant. I would recommend this book for the investor.
Another book for the beginner and the experienced invesror as well How to Make Money in the Stock Market-Buy 2,500 Different Stocks-Pay no Commission
Jewel for long term contrarian investing from a US perspective.......2007-04-19
This book is for investors with a time scale of decades. So think about saving for a comfortable retirement. It argues from a point of view of an US American investor (types of asset classes and their behavior in time, all in US dollars, US tax laws, US investing instruments) but the described principles are general and also well suited for residents of other countries.
Bernstein has the ability of a very clear and down to the earth way of thinking. Even more important his prose is as clear as his thoughts. He takes you by the hand and leads you through quite difficult terrain. But as long as you hold his hand everything is clear and makes a simple impression.
His advice is solid and can be employed easily in practical investing. He even has advice for somebody with only thirty minutes of time for investments a year (Put it into the four asset types: domestic small caps, domestic large caps, foreign stocks and bonds of up to five years of duration. Split your assets in equal proportion to those types. Try to aggressively save fees maybe with Vanguard funds. Adjust the portions of those four asset types once a year to their original proportions.) Clearly this is good advice. If you read this book you also learn a lot of why this is effective. But if you do not know more than this advice: Will you follow it through thick and thin? Just imagine one asset type gets out of favor and loses a lot of value for a few years in a row. Then you have to pour yearly a lot of fresh and good money in exactly that asset type (Bernstein is a moderate contrarian). It is hard to believe that anyone has that strength without a well developed own opinion on that matter. Yes it is exactly the opposite of a stop loss. It is buy more of the losing types and sell the winning ones. The hope is to buy low and sell high.
So enjoy the ease of reading and Bernstein's brilliant simplicity, but don't be fooled by it. You will have to work hard to gain your own standpoint. And you have to invest actual money for a few years to get to know yourself.
For further reading this book has an excellent bibliography and the author runs a great website. I highly do recommend this book.
Fianance........2007-04-01
This is a great book. Don't make it your 1st finance book, but a great follow up to a "Random walk down Wall Street"
Clearly explains the theory, its background, and use........2007-03-26
This is one of 3 books that I have on the subject .... and it complements those books each of which has its own particular bias.
The book is well worth buying, reading (with a few different color highlighters), and keeping it on the shelf for reference (.. in other words to keep one going back onto "track").
There is a bias towards using index funds; and this bias does use all the conventional wisdom -- wisdom that everyone else will be trying to employ. Therefore, there is a lack of ways to "jump-start" a portfolio -- ways that must be obtained from other books and newsletters.
Efficient Frontier - Now I understand.......2007-01-31
This book can "turn on the lightbulb" for all types about what the Efficient Frontier really means! This is the best investment book I have read that attempts to focus the individual on risk - the most important facet of investing.
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.
Book Description
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.
Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.
Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.
All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Comprehension is supported by a large number of figures and examples, as well as real trading and asset management case studies.
At symmys.com the reader will find freely downloadable complementary materials: the Exercise Book; a set of thoroughly documented MATLAB
® applications; and the Technical Appendices with all the proofs. More materials and complete reviews can also be found at symmys.com.
Customer Reviews:
Not for the faint-hearted.......2007-01-31
A great book if you have a strong mathematical background. But the question of asset allocation is bedevilled by mathematics which is too strong to support the weak data supplied by the markets in which we invest.
Unless this weak data is properly integrated into the asset allocation process, an area which Meucci spends too little time on, then the users of quantitative procedures will continue to be disappointed.
Book Description
Managing Bank Capital explains proven techniques available in the management of bank capital that will help maximize shareholder value. This second edition has been fully updated to incorporate significant developments, such as the modeling of credit risk, and includes new sections with more technical information and advanced analysis.
Customer Reviews:
Excellent overview and detail on economic capital for banks.......2006-09-06
I bought this book hoping it would quickly bring me up to speed on key concepts in Economic Capital in the financial institutions industry. This book was simple enough for a relative novice to follow, and went into enough detail that I think most people would get something out of it. I also thought the book was well organized-- each section had a summary chapter that explained what the subsequent chapters in that section would cover so you could quickly skim or deep dive on various topics. The book was a bit dated in the sections on Basel, since it was written before Basel II was completed. Overall, an excellent introduction to Economic Capital and I was happy with my purchase.
Helpful Concepts, Lacking Implementatin Steps.......2002-07-30
With all the attention paid to bank capital management, this book is helpful in describing the concepts. However, it is not quantitative enough. The step-by-step of capital allocation for a given asset class of varying risk levels is lacking. For example, how should the bank treat the sub-prime portion of its credit card or auto loans in the capital allocation? I wish it were more specific. Could Providian or Capital One have directed the capital away from high risk loans, had they followed the advice of the book?
A Must-Read Book for Shareholder Value Management.......1999-06-05
Chris Matten provides a comprehensive guide to applications of RAROC and shareholder value for managing bank capital and compensating bank executives and traders. The author provides particularly good sections on how EVA, shareholder value, and other earnings based measures can be manipulated and abused. This is not the sort of book which the corporate finance shareholder value crowd would likely read, but is one which they need to read.
Excellent only book on the economic allocation of capital........1998-04-26
Mr. Matten's insightful work highlights how rigid appliction of the Basle Accords can lead to capital misallocation. He then provides insightful suggestions, with good examples, on how to better allocate bank capital by discriminating between borrowers on the basis of risk, all the while remaining within the basle guidelines. Mr. Matten points to the need for sophisticated mathematical-statistical analysis but does not dwell on the technicalities, making the book accessible to non-rocket scientists. All in all, a highly recommended book.
Great book, but watch out for typos.......1997-12-16
For a comprehensive approach that brings the reader from Cooke through RAROC, this book is very good and has no competition . What basic explanations of statistics theory you need in order to follow the main 'story' is included discreetly, so advanced readers shouldn't be bothered by them. This being said, beware the errors -- they exist throughout: for the price that Wiley Press is able to get in light of the lack of competition from another good RAROC capital allocation book ($69 last year, $95 now), it hopefully has caught and corrected them. Caveat emptor.
Book Description
With this book learn how to avoid the active management scam that can cost plenty and eat into the retirement nest egg. Ross counsels on giving up on all those beat-the-market strategies pushed by Wall Street whiz kids. This book will set the reader on the safe road to investment efficiency and enhanced financial peace of mind.
Customer Reviews:
A Comprehensive "Survey" of The Full Scope of The Literature of EMT.......2005-12-31
My career as a retail stockbroker for six years, then for twenty-seven years as an institutional stockbroker selling portfolio analytics and investment research to professional asset managers (pension plan managers, mutual fund managers, and hedge fund managers) has provided me with the opportunity to explore modern portfolio theory, market efficiency, and the investment returns of active managers. I have read many of the books and academic papers Professor Ross uses as resources in this very coherent and thorough explanation of why the attempt to "beat the market" is futile, and fraught with risk.
Professor Ross uses his deep understanding of statistics, economics, and behavioral finance to explain market efficiency. He weaves a tight, coherent, and entertaining explanation of why the statistical evidence (manager performance databases) demonstrate most active managers cannot sustain above market performance for any significant time period. And he explains the risks of believing that the few active managers who have "outperformed" will continue to do so.
Professor Ross' book is the drawstring that pulls the elements of the Efficient Market Theory into a focused, concise, entertaining, and very readable format. I give Professor Ross' book my highest recommendation.
Intelligent Investing for Retirement.......2005-03-03
This is the best book I have seen regarding investing for retirement. Don't waste your time or money trying to beat the market, just understand Dr. Ross' basic principles for dealing with a volatile market. Forget the "get rich quick" models and come down to earth and use common sense and indexing. The first 2 chapters alone are worth the price of the book.
Contentful and serious, yet understandable.......2004-07-12
This book is an excellent and easily understood survey of the arguments in favor of the Efficient Market Hypothesis. Material is compellingly presented, abstract ideas are made easy to understand, and strong arguments are put forth in favor of passive funds (ie Index Funds) as against actively managed funds.
This book is one of few business books directed toward the general public that isn't trendy, insulting, ridiculous, or trite. I intend to buy this book for the next friend of mine that starts "day trading" or doing anything similar.
WAKE UP AND READ THIS BOOK!.......2004-06-11
I just finished this book and it has completely changed what I think about the stock market. The author starts off with background information on basic economics which is then used throughout the book to prove why and to what degree the stock market is impossible to beat. Before reading this book I was an avid technical analyst and despite my horrific returns, I felt that beating the market just took some more talent, skill, and a bit of luck. After reading this book--and realizing how sensible each of the author's arguments are--I've decided to face the facts and hang up my trendlines for good. Although the book is quite frankly disheartening, I am glad that I read it before I wasted any more of my hard earned money trying to find hot stocks.
The only thing that I felt should have been more thoroughly covered in the book was the effect that emotion plays in the stock market. Clearly the market isn't quite as efficent as the author believes when we see stocks such as amazon and yahoo get bid up to such astronomical levels in the late 90s. And it would be tough to explain how efficient stock prices are to those who were smart enough to short those stocks in 2000.
All in all though, this is an amazing and eye-opening book to say the least. Anyone who tries to beat the market through actively managed mutual funds or through trading NEEDS to read this book. Well written, easy to understand, and convincing as hell. Take the commission fee from your next trade and use it to buy this book instead.
Highly useful!.......2003-12-09
Correctly understanding the securities markets and how the financial industry ticks is critical to one's financial health. No other book I know does a better job in wading through the patently false, unscientific nonsense that banks, brokerages, the financial media and nine out of ten book authors typically disseminate. Why to they do that? Simple. It maximises their commissions or circulations at the expense of investors' net returns. Why is it simple? Because a large number of investors believe the rubbish that Wall Street and the media yells at them since it sounds somehow plausible and sophisticated. Other "eductated" investors allow their greed and "overconfidence" to get the better of them and hence fall for the same hogwash. This book explains it all and it is surprisingly entertaining. Strong buy!!
Book Description
This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory.
Customer Reviews:
Comprehensive and Lucid.......2005-11-15
It is seldom that a book of this nature covers the terrain in such a lucid and erudite fashion, which can be appreciated by a broader audience. There are weaknesses though. I have a Ph.D on the topic, namely portfolio optimisation and this book, although published just prior to my final thesis, seemed to miss my radar, which is unfortunate. There is a wealth of information contained in the book, although referencing is a little thin, for example the monte carlo technique used to resample data inputs has been patented by Michaud, of which there is substantial referral. This makes the implementation of such a technique impossible without paying the ridiculous royalties for a fairly straightforward mathematical process. Furthermore, more could have been said about investment time horisons and mean reversion characteristics. The shorter the investment time horison the more volatile the returns, which tends to push the monte carlo portfolio towards a naive portfolio. This technique is more stable the longer the investment horison, and is recommended by me. Furthermore the technique is computationally laborious, and perhaps the number of iterations could be increased, to reduce computational tediousness, thereby reducing the number of outliers which may not have as large an impact on resultant portfolios. In other words there could be an inverse relationship between assets and iterations. Anyway let me not get ahead of myself. The book is expensive, perhaps not a good buy for a layperson. Anybody seriously considering quantitative investment management should add the book to their collection. The other would be "Efficient Asset Management" by Richard Michaud.
Highly recommended.......2003-06-29
If you are looking for a comprehensive book that explains and analyses quantitative portfolio optimisation and asset allocation, then this is probably the one for you. The author has clearly taken a lot of time to lay out the subject in a logical and easily understandable way, despite the fact that the subject matter is very complex. Having read this book, you'll be able to apply quantitative portfolio analysis and optimisation techniques yourself, and the book's final part on risk management - which includes chapters on active risk management, monte carlo simulations and extreme value thery - is a must for anyone in need of more adcanced risk management skills. Only draw back is its somewhat technical nature, but since the most technical stuff is in the appendices, the reader can skip it without major problems. An excellent and very accesible book.
Great practical guide.......2003-06-29
Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.
Average customer rating:
|
Return Targets and Shortfall Risk: Studies in Strategic Asset Allocation
Martin L. Leibowitz ,
Lawrence N. Bader , and
Stanley Kogelman
Manufacturer: Irwin Professional Publishing
ProductGroup: Book
Binding: Hardcover
 Public Finance
| Economics
| Business & Investing
| Subjects
| Books
General
| Business & Investing
| Subjects
| Books
General
| Investing
| Business & Investing
| Subjects
| Books
General
| Finance
| Accounting & Finance
| Professional & Technical
| Subjects
| Books
Look Inside Business Books
| Trip
| Specialty Stores
| Books
Look Inside Nonfiction Books
| Trip
| Specialty Stores
| Books
ASIN: 1557389160 |
Book Description
Return Targets and Shortfall Risks explores how to maintain a consistent risk/reward posture as interest rates and other fundamental market conditions change. It covers several critical investment issues, from hedging to yield curve positioning and many others.
Book Description
This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.
Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes:
* Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more
* formulae for risk-adjusted loan pricing and risk-adjusted performance measurement
* extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv
* a complete, up-to-date introduction to Basel II
* focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics
Book Description
The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities. It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset-backed commercial paper. The book then proposes a single replacement paradigm capable of granular, dynamic results. It offers extensive guidance on using numerical methods in cash flow modeling, as well as a groundbreaking section on trigger optimization. Casework on applying the method to automobile ABS, CDOs-of-ABS and aircraft-lease securitizations is also presented. This book is essential reading for practitioners who seek higher precision, efficiency and control in managing their structured exposures.
Customer Reviews:
a comprehensive structured finance.......2006-07-04
This book is suitable for who has quantitative background, the authors have hands-on experiences in both Rating agency and in investment -bank, This book unveil the secret of how rating agency rate structured finance and how should originator to better control their risk and in what dimention.
An effective introduction.......2005-11-19
Written for financial engineers, this book nevertheless can also be read profitably by anyone interested in mathematical modeling or mathematical finance. The authors discuss in fair detail the science of structured securities, which are financial products that are becoming more important as investors and financial firms continue to find more intricate ways of dealing with risk. For non-experts (such as this reviewer) in the field of structured finance, the book requires careful reading and attention to detail. Readers are expected to have an understanding of various mathematical topics such as Markov chains, linear algebra, Monte Carlo simulation, and probability and statistics.
As an investment strategy, the authors describe structured securities as performing best in "controlled" environments. This involves the use of `transaction documents', which are used to keep their performance within an expected range, and also `macro-level' controls to assist in dealing with event shocks. The basic idea of a structured security is to assemble a credit or investment package from a variety of sources and allow them to be administered by third parties. This entails that the sources (the transferors) be completely decoupled from the transferee, the latter of which is called a `special purpose entity' (SPE), and which has an extremely low likelihood of becoming insolvent by its own activities. The SPE is an analogue of the obligor, and is also shielded from the consequences of the insolvency of a related party. Its assets are thus `perfected' against the claims of the transferor.
Early in the book the authors describe what they consider to be the two types of structured securities. The first, called the `long-term transaction model' applies to asset-backed, mortgage-backed, and collateralized debt issues with maturity at least one year. The second, called the `short-term transaction model' applies to asset-backed commercial paper markets.
If structured securities are to be used as an investment strategy, their value must be assessed in as fine a detail as possible. This assessment is of course the main goal behind the authors' book, and they therefore spend a fair amount of time in explaining why the usual credit rating strategies are inadequate for structured securities. One of those discussed is `benchmark pool analysis' which does not require a large volume of data and uses a microeconomic model of the obligors in a collateral pool to simulate the financial impact of economic shocks. Others discussed include the actuarial method, used for asset-backed and mortgage-backed transactions, and the default method, which is used for collateralized debt obligations.
The most interesting discussions take place when the authors attempt to formulate a more exact, analytical notion of rating for structured securities than what is available with the usual corporate rating model. Essentially the authors are advocating a "unification" of credit and market risk in structured finance in their attempt to replace the alphanumeric scale of the usual corporate credit rating by a numerical scale (they motivate this interestingly by discussion involving the `continuum hypothesis' from set theory). Most important in their approach is to view the pricing of structured securities as a nonlinear problem: rating and pricing are entangled with each other, in that to obtain the rating the promised yield must be known; but to find the yield, the rating must be known. There is of course a paucity of exact solutions to nonlinear problems, and so numerical techniques must be used. The authors spend a fair amount of time discussing these techniques in the book, and in formulating the problem of structured pools as one involving (Markovian and non-stationary) stochastic processes.
As a warm-up to the complications of asset behavior, the authors first discuss the modeling of liabilities. The collection and distribution of cash to various parties is contained in the `pooling and servicing agreement' (P&S), which is a legally binding document that contains a collection of payment instructions called a `waterfall' or `structure.' A waterfall codifies the payment prioritization taken from the funds that are available. Examples are given that illustrate their analysis.
For those not familiar with Markov chains, the authors give a short review, and argue that they are important to structured finance due to their ability to eliminate long-term static pool data requirements. The Markov chains used in structured finance are finite-state Markov chains, where the states correspond to recognized delinquency states of an issuer in some asset class. The transition matrices of the associated asset pools represent the credit dynamics of structured securities. The authors give three very detailed examples of their formalism, the first one of these, dealing with automobile receivable securitizations, should be familiar to most readers.
The last chapter of the book deals with `triggers', which generalizes the earlier discussion on liability modeling. The authors describe triggers as being the most `intricate' aspect of the analysis of structured securities. If one views them in terms of their physics analogy as control structures, they are fairly straightforward to understand. `Cash flow triggers' which allow a reallocation of cash but it does so without being too disruptive or expensive, are the only types considered in this chapter. The cash reallocation is obtained through the use of a `trigger index', which is usually dependent on transaction variables such as delinquencies or tranche principal balances. A trigger is `breached' if its trigger index is higher than a pre-selected threshold on any determination date.
The authors discuss four basic types of triggers, all of which are defined mathematically in terms of the proportion P(x(t)) of excess spread to be reallocated and some variable function x(t) of the trigger index: `binary', in which all excess cash is reallocated to the spread account when there is a breach at time t; `proportional', which allows a kind of "ramping up" of the triggering; `differential', where the excess spread is proportional to the first derivative of x(t); and `integral', where P(x(t)) is proportional to the integral of x(t) over a time interval with lower bound the breaching time and the upper bound the current time. Monte Carlo simulations are used to optimize trigger mechanisms.
Mandatory reading for those interested in structured finance.......2005-08-17
Prof Raynes, who is a well known practitioner in this field has distilled his knowledge and insight to publish this book. I am a student in the class that he teaches at Baruch College, CUNY and the classnotes which are so well written have been incorporated in the book. Prof Raynes emphasizes why structured finance is so different from corporate finance and that realization is critical to understand the flaw in the methodology followed by rating agencies while rating structured securities. The book also has considerable and necessary numerical procedures required in the analysis. My only comment that while the book is invaluable as a reference, it would be more useful as a textbook if future versions include end of chapter exercises.
An integrated, optimizing way to evaluate ABS's.......2004-07-22
I became aware of the authors through a colleague who was taking one of their classes at NYU. The homework assignments (on which I ?uh- consulted) were interesting, comprehensive, and touched on a number of important subjects, so I bought their book.
The Analysis of Structured Securities - Precise Risk Measurement and Capital Allocation provides reference and background material on a number of quantitative ABS analytic tools, some of which I was familiar with and some which I should have been. Matrix math, eigenvalues and eigenvectors, Markov chains, Cholesky decomposition, Tchebychev polynomials, covariance and correlation and numerous other statistical techniques are addressed as ABS analytical techniques and not as mathematically rarefied numerical analysis procedures.
But what I found most valuable was the focus on reduction-in-yield as the benchmark metric for ABS credit quality. Rather than credit ratings being an ex ante, handed-down-from-on-high, assumed-to-be-valid-within-a-notch-or-two inputs (which, I blush to admit, is how I too often think of them), the book points out how credit ratings should be thought of as a continuous, dynamic variable, interacting with the coupon, yield, prepayment vector, default vector, and triggers. The interactions are determined by cash flow modeling and Monte Carlo simulations, using the techniques mentioned above.
Given this framework and tools, the book discusses how to efficiently optimize the structured security. I have had ABS issuers ask if there were not a way to optimize securitizations beyond what they suspiciously perceived as Wall Street cookie cutter structures. Previously, I have just shrugged. Now I know how to help them.
Good overview of structured finance field.......2004-02-24
I liked this book because it's useful for people with various levels of structured finance knowledge. The first few chapters explain the thought process behind the rating process and provide an introduction into the structured finance world of thinking. The second half goes into more depth about actual rating processes. The third part addresses asset specific issues (auto, airlines, etc...) While the last few chapters of the book review more advanced methods of analysis.
For people with little or no knowledge of the structured finance field, the first half of the book will provide a good understanding of the subject, the 2nd half of the book will probably required more time and effort to fully appreciate its value.
Average customer rating:
|
Fixed Income Solutions: New Techniques for Managing Market Risks
Manufacturer: Irwin Professional Pub
ProductGroup: Book
Binding: Hardcover
Strategy & Competition
| Management & Leadership
| Business & Investing
| Subjects
| Books
General
| Popular Economics
| Business & Investing
| Subjects
| Books
Public Finance
| Economics
| Business & Investing
| Subjects
| Books
General
| Business & Investing
| Subjects
| Books
Investing
| Business & Investing
| Subjects
| Books
| Bonds
| Commodities
| Futures
| General
| Introduction
| Mutual Funds
| Options
| Real Estate
| Stocks
ASIN: 078630846X |
Book Description
To remain in step with coninuous changes in the fixed income market, you must gather the input of today's global investment leaders. In Fixed Income Solutions, respected fixed income authority Thomas S.Y. Ho has assembled a prestigious group of today's top experts, including Robert Reitano and Duen-Ki Lao to discuss risk management in the global fixed income market.
Books:
- The No Asshole Rule: Building a Civilized Workplace and Surviving One That Isn't
- The Only Investment Guide You'll Ever Need
- The PDMA Handbook of New Product Development, Second Edition
- The Pre-Foreclosure Property Investor's Kit: How to Make Money Buying Distressed Real Estate -- Before the Public Auction
- The Psychology of Trading: Tools and Techniques for Minding the Markets
- The Social Amplification of Risk
- The Sources of Innovation
- The Strategy-Focused Organization: How Balanced Scorecard Companies Thrive in the New Business Environment
- The Toyota Way
- The Toyota Way
Books Index
Books Home
Recommended Books
- History: Fiction or Science
- Blood Diamonds
- The Computer Based CPA Examination: An Introduction to the Computerized CPA Exam
- The Truth About Forever
- Web Design in a Nutshell: A Desktop Quick Reference
- American Corrections
- A History of Greece
- Aicpa Audit and Accounting Manual: Nonauthoritative Practice AIDS : As of August 1, 2001
- Too Sensational: On the Choice of Exchange Rate Regimes
- Tilting at Windmills: A Novel of Cervantes and the Errant Knight
The Four Pillars of Investing: Lessons for Building a Winning Portfolio
All About Asset Allocation
Asset Allocation: Balancing Financial Risk
A Random Walk Down Wall Street: Completely Revised and Updated Edition
Unconventional Success: A Fundamental Approach to Personal Investment
