Financial Risk Analytics is designed to explain the analytics of interest rate risk, credit risk, foreign exchange risk, and capital allocation, from A to Z. Written in a comprehensive, yet concrete way, this book shows how the term structure models used to price interest rate derivatives can be used to hedge all common products in banking, insurance, and investment management, allowing the same risk management approach for an entire institution that is normally taken for a derivatives portfolio alone.
Praise for Financial Risk Analytics
— Oldrich A. Vasicek, KMV Corporation
— David Shimko, J. P. Morgan