Book Description
Maximize your stockholders' wealth with BANK MANAGEMENT! With an emphasis on how managers can implement strategies to maximize stockholders wealth by balancing the trade-off between banking risks and returns, this finance text demonstrates how risk management decisions in different areas affect each other and the overall profitability and risk of the institution. Learn by doing with an Excel template that allows you to practice cash flow analysis and bank performance analysis.
Customer Reviews:
Lots of information, horrible presentation.......2006-09-22
I am in my last year of school and preparing to embark on a career in banking. Out of all the finance and economics (I'm a double major) textbooks I have used this is the absolute worst bar none. While the text has a very large amount of information that same information is simply thrown at you with no real presentation.
One other thing that bothers me (possible the most) is the fact that I get severe headaches when I read this text. I have never read a book before with text this small. To me this says something since I am a voracious reader and frequently am reading 3-4 novels while also studying for my classes.
TEDIOUS, REPETITIVE, BUY NYQUILL INSTEAD!!.......2003-11-19
This is likely the worst textbook I have come accross in my finance career. The writing is extremely dry and the authors do not make an effort to summarize anything. They love narrating long concepts and mixing it with dull examples that make you completely lost. The concepts in each chapter are repeated twice for absolutely no reason. This sucker will make you fall asleep as fast as NyQuill - without the good relaxing feeling.
Got exactly what I wanted!.......2003-04-07
Great Service, prompt shipment, the book was in excellent condition!
This book motivated my carreer as a banker.......2002-03-02
Professor Koch's book is excellent. I highly recommend it to anyone who is interested in banking. The book is great to read if you don't know much about the industry or if you are an expert. I studied with Professor Koch at USC at the undergrad level and decided to go into banking thanks to his class and book. The book covers liquidity management, credit management, capital management, asset and liability management (focus on interest rate risk management), balance sheet analysis and other interestig topics. I've worked in several areas of commercial banks in Ecuador, namely credit, treasury, asset and liability management and finance. The book has always come in handy. I've also used it to teach at the University level down here.
It is especially interesting how every chapter is related in some way to the ALCO (Asset and Liability Management Commitee).
The cases are also very interesting. In Ecuador we recently had a liquidity crunch in the banking system. I was very much surprised to find an anylisis of a case very similar to what was happening down here in the book. The case was on the Contintental Illinois bank failure.
In other words, I think this book is a must for anyone interested in the industry.
Revised Opinion - AVOID.......2001-01-13
This is an update of a prior review I wrote of this book, I changed my mind. I hadn't read the entire book but had been impressed with what I had read. The book does cover many aspects of commercial banking including regulations, capital and liquidity management, things of most interst to me as an analyst. However, a significant problem is that many of the examples used appear to be incorrect. For instance, the text often does not match the accompanying exhibits or tables. Perhaps the book was not edited well during an update to a new edition, and either the text or the exhibit/table was updated but not both (ie, in numerous cases they disagree). Whatever the reason, the numerous typographical errors made the book difficult to read, especially in a "self-study" situation. I'm looking elsewhere for a better guide.
Book Description
Positioning, a concept developed by the authors, has changed the way people advertise. The reason? It's the first concept to deal with the problems of communicating in an overcommunicated society. With this approach, a company creates a 'position' in the prospect's mind, one that reflects the company's own strengths and weaknesses as well as those of its competitors. Witty and fast-paced, this book spells out how to position a leader so that it gets into the mind and stays there, position a follower in a way that finds a 'hole' not occupied by the leader, and avoid the pitfalls of letting a second product ride on the coattails of an established one. Revised to reflect significant developments in the five years since its original publication, Positioning reveals the fascinating case histories and anecdotes behind the campaigns of many stunning successes and failures in the world of advertising.
Customer Reviews:
Positioning: The Battle for Your Mind, 20th Anniversary Edition (Purchased on 09/04/2007) .......2007-10-05
I still haven't received my purchase, so reviewing it will be a tad bit difficult...
Got inspired!.......2007-09-21
I've got inspired from the basics in positioning. It delivers good examples of many American companies' positioing. I got inspired so that I can get my paper done very soon.
The best book ever on marketing/advertising/brand management.......2007-09-13
I make every new employee read Positioning no matter what their job description because it is really a book about the "battle for the consumer's mind", and that battle is waged in every department of every organization.
Positioning is the rule book for marketing success and the great thing is all the examples. Yes they are somewhat dated, but they make the rules easy to understand.
This is the book nobody at Ford read before they redisigned the Taurus from number 1 in sales to a hole in the ground.
If you work in brand management or advertising you must read this book. It should be stashed in a "break-glass-get-book" thing at every exit of every ad agency.
If you are studying marketing at college, you should memorize every word in the book and major in something else, and come out with the equivalent of a double major.
The importance of perception.......2007-05-13
If there's one thing that makes Positioning a classic and something that should be on the reading list of any marketer is the fact that it highlights what is the core of any marketing- perception is reality. It doesn't matter how good your product `really' is, or how hard you try, what matters is how your target perceives you vs competition. That basic truth, and how you could occupy the most desired position in the target's mind is the crux of this book. Perhaps some of the examples could get updated, but bottom line, this is the definitive book to read for any aspiring marketer.
- Mainak Dhar, author, Brand Management 101: 101 Lessons from Real-World Marketing
outdated.......2007-03-30
Positioning makes a few basic points that are helpful for someone who is not familiar with marketing basics. However, the examples are so outdated that some now disprove the authors' arguments. The more detailed chapters make less sense in an electronic culture. This book is really only useful now for those broad, basic ideas in the first chapters.
Book Description
A step-by-step action plan to quick and lasting recovery after personal bankruptcy. Indexed.
Customer Reviews:
The Book Is Actually An Ad For His $497 Course.......2007-09-12
This book is FULL of commercials but void of any specific information you can apply to your life. His advice on everything from getting credit cards, auto loans, installment loans, mortgages, what ever, is to research everything out there and interview every loan officer, credit mangager etc out there, and find the best deal.
This book, his internet site, and his "free" seminar are all in effect teases to get you to buy his "Increase Your Credit Scores - Improve Your Lifestyle" course which costs $497. Presumably, some actually utilizable information is in that.
Bankruptcy.......2007-03-22
There is a moderate amount of useful information about life after bankruptcy. Probably half of the information can be found on the internet. However, the author should not have used the bankruptcy information as a cover for preaching his religious beliefs. I felt mislead.
Bankruptcy.......2007-01-12
This is a good book for someone who filed bankruptcy this book has given me a lot of insight on thing
Waste of money.......2006-12-23
You can find all this information on line. There is nothing new here for a post bankruptcy person. Also, he has a RELIGIOUS BENT so be careful.
light at the end.......2006-11-08
I am seeing light at the end of the bankruptcy tunnel
Book Description
The dramatic changes in the financial services industry have had a great effect on profitability, forcing financial institutions to change their management focus. Increased competitive pressures, tightening interest rates spreads and declining deposits balances have made goals even more difficult to achieve. The Financial Services Industries Consulting Practices at Ernst & Young LLP have developed this perfect guide to help readers reach those increasingly difficult goals. This reliable source of guidance has insight on asset/liability management, branch profitability and complete bank-wide performance program. It looks at all aspects of profitability, including hands-on approaches to: profitability philosophies and structures; balance sheet, revenue and expense components: transfer pricing of funds; planning and budgeting; performance measurements.
Customer Reviews:
Excellent, both on banking and project management aspects.......1998-12-03
This is the only book that covers all of the aspects of performance management in banking : 1. the analysis of performance measurement is very good even though, the coverage of financial data is overweight with respect to the rest of the book 2. the project approach is excellent and the various "pitfalls" described are so true that the people that wrote it necessarily had a good project experience, only problem is that the system architectures described did not evolve with the new edition (the word "data warehouse" is evoked once or twice) 3. As usual with this type of books, the "using the information" chapters are a bit a dry, even thought some interesting ideas are described regarding "customer information" In summary, a must read for any person trying to implement a performance indicators or Balanced Scorecard systm in its bank ("financial institutions" in the title is actually retail or commercial banking) PS : I am not an E & Y employee ... so this is not an advertising review
Book Description
The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.
Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives.
The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices.
As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication.
* Covers the latest methods in this area.
* Combines actual quantitative finance experience with analytical research rigour
* Written by both quantitative analysts and academics who work in this area
Book Description
Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment
Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including:
- Determinants of credit risk and pricing/spread implications
- Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad”
- Key determinants of loss given default, and potential links between recovery rates and probabilities of default
- Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
- A detailed review of five of today’s most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
- How credit risk is reflected in the prices and yields of individual securities
- How derivatives and securitization instruments can be used to transfer and repackage credit risk
Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.
Customer Reviews:
Must have for risk management.......2007-06-29
Yes, this is a must have. Written by S&P auther, it is the definitive guide, no question should be asked. cause they are credit king.
Many details on how to measure risk, quantitative methods in detail. Ideas and industry practice all in great detail. I could imagine some quants will use it as a cook book for their project.
overall, well written for easy read. both good for a glance at credit risk and for in depth learning of industry standard.
Most Appropriate for Basel II.......2005-09-08
If you are Banker/Banking Consultant then this book is the closest you will get to understanding Credit Risk from a Basel II perspective. Its clear & lucid style helped me understand the gamut of techniques used in Credit Risk Measurement. Unfortunately the Book does not get into the details of bulinding models so if your looking for a model building cookbook, look elsewhere.
a complete, robust and comprehensive valuable resource!.......2004-06-16
In Measuring and Managing Credit Risk, the authors provided a robust, complete and comprehensive treatment of several aspects of modern credit risk measurement and management. Written by two high talented practitioners, this book will become certainly a reference both for academics and practitioners thanks to its careful treatment of several not so known empirical issues which practitioners have to face everyday. At the same time, do not consider the book as a new recipes book for managing credit risk. Both authors already proved their deep knowledges of financial theory and establish once again, through this book, how advanced knowledges of theory combined with significant practical experience make leading researches. As a PhD candidate in Finance, actually writing on credit risk, I definitively adopted this book and higly recommend it for anyone dealing with credit risk issues either through a practical experience or through a theoritical work.
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
Learning how to
talk your way out of credit card debt is the quickest, easiest, and most efficient way to start saving money!
It's true! You can call your credit card banks to negotiate a better interest rate and have fees waived! However, it may not be as easy as picking up the phone and asking. That's because bank representatives are trained to deter you from pursuing the deals you deserve. Overcoming their tactics can be difficult when you don't know what to expect.
Scott Bilker, author of
Talk Your Way Out of Credit Card Debt, and creator of DebtSmart.com, has spent 10+ years making banks compete for his business. Now, he's sharing his personal phone calls to banks that saved more than $43,000 for himself, his family, and friends! These 52 phone calls, out of the hundreds he has made, demonstrate exactly what worked, what didn't, and why. In each call transcript, for anonymity, banks have been renamed as dog breeds and their reps as bugs.:)
In this book you will discover proven negotiation strategies, and build your confidence, while learning how to: (1) get annual fees waived; (2) lower your current interest rates; (3) shop for the best credit card deals; (4) get late-payment, overlimit, and cash-advance fees waived; (5) compare loan options and calculate savings; (6) dispute charges and get all your refunds; (7) negotiate account settlements; and much more!
Customer Reviews:
A helpful beginning.......2007-08-31
I bought this and then returned it. While I think it would be helpful for many people, it was not as focused (in my opinion) for people over their heads.
Wonderful Book.......2006-08-31
This book is simply amazing! I had previously used some of the techniques Scott teaches, but other things he tells you to do blew my mind! The things Scott talks about are easy to do AND can save you a TON of money! I would highly recommend the book to anyone with ANY amount of credit card debt, or even if you have NO credit card debt.
Real advice that works!.......2005-08-12
I am in the same field as Scott, and have recommended his book countless times to consumers. With credit card companies raising rates, fees, etc. his advice could not be more timely.
I just interviewed Scott today (8/11/05) on my EverydayWealth Radio program on [...] and he told me how he just got a 10 month old late fee waived! That's practically unheard of.
I can't recommend Scott's book highly enough. You'll easily recoup many times the price of the book if you implement his suggestions.
A valuable book from day one.......2004-05-15
I was shopping for a book that would help me with the credit card debt I have accumulated. I chose this book. It has proven to be very bemeficial to me. It contains a large amount of information your banks don't want you to know. My first night of reading the book, I got up to about page 70 and made my first phone call, with the intent of gaining information about the account and possibly getting a fee reversed. I ended up getting a $50 credit to the account, relatively easily. I cannot praise this book enough! If you need to reduce your credit card debt, this book may very well be your solution.
THE CONFIDENCE YOU NEED IS CONTAINED HEREIN..........2003-12-25
I had the same problem most of you reading this have. But after reading this book from cover to cover, I was awashed with a new vigor and confidence to launch a strategic war of words with the credit card telephone handlers. As you read thru the transcripts of the author's actual calls, picture yourself talking on the phone with the same savvy as he. Then close the book, put up your over charged, over penalized, and over interest rated bill and MAKE CALLS! Show them that you are taking CONTROL of your finances and relish the experience of sticking up for yourself.
Book Description
Ed's new trading booklet is an outstanding collection of perfectly illustrated classic chart patterns that will serve as a great reference for any trader. This booklet contains the essential techniques that Ed uses everyday in his market analysis.
Some of the topics covered include: - How to Determine Market Direction
- Basic Money Management
- Setting Profit Targets and Stop Loss Points
- The 7 Most Profitable Charts
... all condensed into just 42 pages!
After some 20 years of study including more than 100 books on technical analysis, Ed Downs has now condensed his most successful techniques into a practical, easy to read desk top reference that will help traders become experts at reading charts.
Customer Reviews:
Do not waste your money on it!.......2007-04-04
This 88 pages brochure, that includes 18 pages of advertises, does not worth anything. The author is definitely out of touch with the reality of trading. All the information in this book (and much more) one can find on internet free and in much detail from real traders. Do not waste your money on it! The book has a very impressive Contents sheet but that is all. If you want to return it, it will cost you more than the book it self.
Chart Patterns are key to a profitable trading system.......2005-04-29
Ed Downs has found the "Holy Grail" to profitable trading! If you are not using chart patterns to make your trading decisions then you are put at a disadvantage to the traders that are using chart patterns. Chart patterns "show" the psychology of the market!
Ed Downs has recently just released a software module that has automated the process of finding the 7 patterns in his book . . . this again has given me an advantage by allowing me to do a quick scan over the world of stocks and future contracts looking for the best opportunities with the least amount of risk. You can see this new 7 pattern software module at Ed's website at http://www.omnitrader.com/omnitrader/Addons/cprm.htm
****************************************************************
Here's a few lines from Ed's website-
NEW Chart Pattern Recognition Module . . . Finds and Displays the 7 Chart Patterns that Consistently Make Money.
After many man-months of development, I am thrilled to release our new Chart Pattern Recognition Module. Powered by this amazing add-on, OmniTrader 2005 quickly identifies the best patterns to trade and ranks their performance on a simple scale from 1 to 5. Now all OmniTrader users can see ALL 7 CHART PATTERNS displayed in their charts and apply the Power of Patterns to their trading!
See the 7 Chart Patterns Come Alive in OmniTrader
The significance of this new Chart Pattern Recognition Module is enormous. No other trading software does a robust and complete job of pattern recognition. Not only have our researchers solved the pattern recognition problem, the new module is tremendously affordable when purchased with the upgrade. Supercharge your trading with OmniTrader and the power of Chart Pattern Recognition!
New Focus List
Perhaps the most powerful single feature of the Chart Pattern Recognition Module is the enhancement to the Focus List. At a glance, you can tell if a given OmniTrader signal is confirmed with a Chart Pattern-You get the best of both worlds-the ability to confirm signals with patterns AND the ability to find the most powerful patterns on their own.
When the ToDo List runs through your list of symbols and finds all chart patterns in the data, it also calculates relative performance of the patterns and converts this information into a strength rating from 1 (low) to 5 (high).
The Pattern Tutor
The educational benefit offered by the Pattern Tutor is enormous - you will quickly understand why (for example) consolidations and saucers are so powerful and predictive in certain market conditions. This will in turn help you confirm your trades more quickly and lead to higher profitability in your trading.
A FABULOUS learning tool. The Pattern Tutor lets you quickly review examples of any pattern in your data. Just click the arrows to see the next example of the pattern that was selected.
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Thanks Ed for creating such a great product.
A Joke.......2004-06-22
I worked for the author. I think the most telling point is he does not trade. He sells software and writes books for you to trade but very rarely executes trades himself. That should tell you a LOT.
Simple but Sublime.......2003-07-15
I agree whole-heartedly with the writer above who stated that this book is simple but gets right to the point. These are the basics, of course you want to build on it by reading other books, but you will rarely find this much helpful imforation in so few pages. (While curious about his software (Omni-trader) I don't think I would leave Tradstation for anything else.)I've read hundreds of books on trading and sometimes I have to put everything aside and review the basics and this book is quick at hand. If you master his simple techniques and use good money management you will be a successful trader. I'm sure many traders want to feel what we do is far more sophisticated but it doesn't have to be. That's the point. Don't stray far from the basics taught here.
GAD
GAD
DANGER: AVOID.......2002-04-25
... I wasn't happy with the software design or signals, but when the data download software stopped working only months after I bought the product making it useless, they told me they didn't know how to fix it? and I would have to "upgrade" for more money, eventually they kept all the product cost without resolving the problems and ignored all my correspondence. I am a Tradestation Easy Language expert, I have been trading and investing now for over ten years including consulting with online sites, and I know for myself how important it is from the very start to cut losses, but just as importantly to cut costs, because reality check, I never found any "system" in my own exhaustive testing that works consistently well. So if I could do it all over, as Trader Vic Sperandeo points out, capital preservation is bottomline crucial for success, I would buy absolutely nothing except a few good inexpensive books with all of the core technicals and fundamentals thoroughly covered. A somewhat useful free book is Charlie Wright's "Trading as a Business" from Omega Research, customer support has always been acceptable to me, and my brother likes his Supercharts software, a relatively inexpensive way to test ideas and find out there is no "system." This "Seven Chart Patterns.." book was mailed to us free of charge by the way and I think it is worth reading for free, probably by contacting Nirvana Systems, but I will personally never do business with them again. "Piranha" Systems demonstrated to me through their business character and my bad experience just how much they support, value, and respect me the customer.
Book Description
TABLE OF CONTENTS
Chapter 1: The Basics of Risk Management This chapter introduces how banks work. It describes how they make money, how they often lose money, and how they try to manage their losses. It includes thirteen short case studies showing how banks have lost money.
Chapter 2: Risk Measurement at the Corporate Level: Economic Capital and RAROC Chapter Two discusses the meaning of capital and how the risks that a bank faces are related to the amount of capital that the bank should hold. It then describes the two fundamental building blocks of integrated risk measurement: Economic Capital and Risk Adjusted Return on Capital (RAROC).
Chapter 3: Review of Statistics Chapter Three is useful for those readers who do not have a recent working knowledge of statistics. It reviews the statistical relationships that are commonly used in risk measurement and provides reference material for the rest of the book. Examples are provided using financial loss data.
MARKET RISK SECTION
Chapter 4: Background on Traded Instruments This chapter gives an overview of the main types of traded instruments: bonds, equities and derivatives. It gives a qualitative description of the instrument, examples of calculating the instrument’s value and the basic risk metrics such as duration and the Greeks. This chapter is useful for those readers who are new to the finance industry.
Chapter 5: Market Risk Measurement This chapter describes the most common ways to measure market risks: Sensitivity analysis, Stress testing, Scenario testing, Sharpe Ratio and Value at Risk. It gives detailed examples of using each of the metrics.
Chapter 6: The Three Common Approaches for Calculating Value at Risk Value at Risk (VaR) has become the standard approach for measuring market risk. This chapter is devoted to explaining the details of the three common approaches to calculating VaR: Parametric VaR, Historical VaR and Monte Carlo VaR. We work though increasingly complex examples and compare the strengths of each approach. (Note: many readers will be particularly interested in this chapter because the name “VaR” is well known and has a certain mystery)
Chapter 7: Value at Risk Contribution The Value at Risk Contribution (VaRC) is a useful way of pinpointing the source of the portfolio’s risk. VaRC can break down the risk by instrument, trading desk or market risk factor. Examples are given for several types of VaRC.
Chapter 8: Testing VaR Results to Ensure Proper Risk Measurement This chapter discusses the procedures required by regulators to backtest VaR calculators to check that their predictions of losses are consistent with market events.
Chapter 9: Calculating Capital for Market Risk VaR is used as the basis for calculating both Regulatory Capital and Economic Capital for Market Risks. In this chapter VaR also extended to measure the risk of Asset Management operations.
Chapter 10: Overcoming VaR Limitations Although VaR is the best single metric for market risks, is has several limitations. The limitations and typical solutions are discussed in this chapter.
Chapter 11: The Management of Market Risk This chapter concludes the market risk section by describing how the results of risk measurement are used by management to identify the sources of risk. It also describes the process of setting VaR Limits. (Note: readers should be particularly interested in VaR Limits because it is difficult and an important element in controlling a bank’s risk).
ASSET/LIABILITY MANGEMENT SECTION
Chapter 12: Introduction to Asset Liability Management Asset Liability Management (ALM) is primarily concerned with the interest rate and liquidity risks that are created when commercial banks take in short term deposits from customers and give out long term loans. This chapter describes how those risks arise and the risk characteristics of different types of deposits and loans.
Chapter 13: Measurement of Interest Rate Risk for ALM This chapter discussed the primary techniques used to measure interest rate risk: Gap reports, Rate shift scenarios and Simulations
Chapter 14: Funding Liquidity Risk in ALM The measurement of liquidity risk is broken into three groups: expected, unusual and crisis events. Measurement techniques are given for each group.
Chapter 15: Funds Transfer Pricing and the Management of ALM Risks A key use of asset/liability measurement is the calculation of the fair price at which funds should be lent from one department to another within a bank. This is one of the keys to integrated risk measurement and is a critical component in measuring risk-adjusted profitability and setting prices to customers. A typical balance sheet is used to illustrate how transfer pricing works in detail.
CREDIT RISK SECTION
Chapter 16: Introduction to Credit Risk This chapter discusses the sources of credit risk and how measurement is used to manage the risks
Chapter 17: Types of Credit Structure For readers who are unfamiliar with lending operations, we discuss the ways that credit exposures are structured in commercial and retail lending. It also describes the calculation of credit exposure for derivatives trading operations and gives an overview of credit derivatives.
Chapter 18: Risk Measurement for a Single Facility This chapter shows how the Expected Loss and Unexpected Loss for a loan can be calculated from the Probability of Default, Loss In the Event of Default, Exposure at Default and the Grade Migration Matrix.
Chapter 19: Estimating Parameter Values for Single Facilities One of the main difficulties in credit risk measurement is the estimation of values for Probability of Default, Loss Given Default and Exposure at Default. This chapter discusses estimation techniques such as Discriminant Analysis and the Merton Model. It also gives parameter values that can be used as the basis for the reader’s own models. The parameter values are used in examples to demonstrate how the credit risk calculations are used.
Chapter 20: Risk Measurement For A Credit Portfolio: Part One To estimate the overall risk for a portfolio many credit instruments, we must examine the correlation between losses. This chapter describes the Covariance Credit Portfolio Model and the different approaches available for estimating default correlations. It also describes how the correlations can be used to estimate the Unexpected Loss Contribution and the Economic Capital for a single facility within a portfolio.
Chapter 21: Risk Measurement For A Credit Portfolio: Part Two This chapter describes the four other widely used approaches for estimating the risk of credit portfolios: the actuarial model, the Merton-based simulation model, the macro economic default model and the macro economic cashflow model used for structured and project finance. It concludes with a section describing how the models can be combined in a unified framework to create an integrated simulation of all the bank’s risks
Chapter 22: Risk Adjusted Performance and Pricing for Loans Knowing the economic capital for a loan, this chapter shows how to calculate the minimum price that should be charged to a loan customer. The analysis shows how to include multi-year effects such as grade migration. Illustrative examples are included. (Note: this chapter should be of interest to readers because loan pricing is another difficult and important subject that is rarely discussed in other books)
Chapter 23: Regulatory Capital for Credit Risk The Basel Committee on Banking Supervision (often called the BIS) is planning fundamental changes to the way that banks must calculate the capital that they hold. The new calculations will be very similar to the calculations described in the rest of this book for economic capital. This chapter summarizes the history of the Capital Accords then compares the different approaches that the BIS will allow. It also gives a standard plan for implementing the new Accords. (Note: this should be of interest to readers because the shift to BIS measurement is of major importance, it will be difficult for most banks, and it must be completed by 2005)
OPERATING RISK SECTION
Chapter 24: Operating risk The quantification of Operating Risks is on the frontier of the industry’s understanding of risk measurement. The risk estimation approaches can be categorized as either qualitative, structural or actuarial. These approaches are described including Key Risk Indicators and the BIS approaches.
INTEGRATED RISK SECTION
Chapter 25: Inter-risk Diversification and Bank-Level RAROC This chapter describes how all the models are linked to calculate Economic Capital and Risk Adjusted Profitability for the Bank as a whole. It concludes with of the steps normally required to implement the bank-wide measurement of Economic Capital and RAROC.pital and RAROC.
Customer Reviews:
Excellent overview of bank risk management.......2005-10-21
I really can't say enough about this book. From the perspective of a banker who wants to understand the fundamentals it is comprehensive, well organized and presented in a style that makes understanding the materials easy (or as easy as can be expected given the topic).
I recently took a copy to an Fx class I presented to the central bank staff in Azerbaijan. They liked the book so much that I was forced (not literally - maybe 'encouraged' would be a better word) to leave my copy behind. I promptly ordered another on my return.
While there are certainly more advanced texts on this same topic, I have yet to see one that does a better job of communicating the core concepts.
Great job!
Nice Overview.......2004-08-30
It was a nice overview of some existing models but it lacked the drill down needed for the next step. I did not find that it allowed you to handle actual data.
Fantastic book.......2003-05-23
Moving from academia to the real world is made much smoother with this great text by Dr. Marrison. This book integrates interest rate, liquidity and credit risk with bank management perfectly. Anyone interested in gaining a strong economic background with a quantitative degree like myself will find this book extremely useful.
One of the Best Books for Risk Management.......2002-10-23
Marrison has written an outstanding book on risk management. What is attractive about the treatment is the fact that it covers all aspects of risk management for financial institutions. Lots of books focus only on "new" techniques (VaR, portfolio credit risk models) or only on "traditional" techniques (credit analysis, ALM). Marrison treats them all, and uses capital allocation as a unifying theme.
Two previous reviews that suggest Marrison is too basic or merely repeats other authors are, in my humble opinion, dishonest. Marrison is a sophisticated book for sophisticated readers who are new to risk management. This includes MBA students taking courses on the capital markets or risk management. It also includes professionals working in their first risk management position. Marrison did not invent VaR or ALM, but authors of other books did not invent these concepts either. An author's task is to describe established concepts in a manner that is accessible to and useful for his audience. In this respect, Marrison's book is a dramatic step forward. His choice of topics, organization and writing are superb.
One of those previous reviews recommended that you read books by certain other authors instead of Marrison. Of those books, the only one that Marrison competes with is Jorion's Value-at-Risk. Marrison is an order of magnitude better than that book. The other books cover unrelated topics or are more advanced treatises on specific topics. You might graduate to such books from Marrison, but they are not alternatives to Marrison.
Finally, you can't beat the price on this book. Marrison simultaneously offers a bargain AND one of the best books available on risk management.
A great primer.......2002-09-11
Chris Marrison's book is something I have been seeking for a very long time. It is well organized and easy to read. I have spent several years in strategic financial services consulting, wherein a strong foundation in risk measurement concepts and tools is essential for consultants across experience levels. Though having studied undergraduate finance and statistics, I ended up developing my rudimentary (and incomplete) knowledge of risk measurement in a very ad-hoc, context-specific and inefficent fashion. Now an MBA student at Harvard, I come across peers also seeking to understand the business, technical and practical aspects of risk measurement, as conceptually, 'risk management' is a common idea but an abstract practice for many professionals. There is no other textbook I've come across that addresses the essentials of risk measurement in as tangible a manner. I will not hesitate to recommend this book as a great primer to fellow students. The only caveat I offer is that this book is for those truly interested in jumping into the practical applications of risk measurement - for more of an overview of risk management theory, or esoterica for that matter, you're better off looking elsewhere.
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