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Fundamentals of Risk Measurement

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ISBN-10: 0071386270

ISBN-13: 9780071386272

Edition: 2002

Authors: Christopher Marrison

List price: $55.00
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As evidenced by well-publicized debacles at Long Term Capital Management, Barings Bank, and others, trading risk management and measurement is both complex and critical. Fundamentals of Risk Measurement provides a uniquely straightforward approach to the subject, relying on bulletted text and commonsense analysis. Valuable as either a quick, complete introduciton to risk or as a handy review, it allows easy access to key points--and provides tremendous value for everyone from members of trading operations to key executives above the trading floor.
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Book details

List price: $55.00
Copyright year: 2002
Publisher: McGraw-Hill Education
Publication date: 7/18/2002
Binding: Hardcover
Pages: 415
Size: 7.80" wide x 9.60" long x 1.10" tall
Weight: 2.046
Language: English

Chris Marrison, Ph.D., is a veteran risk management consultant with experience in trading risk, credit risk, business control, asset/liability management, emerging markets, and project finance. A former managing principal with The Capital Markets Company and senior engagement officer with Oliver Wyman & Co., Dr. Marrison has been a Royal Air Force officer and a technical consultant on major engineering projects in the United States, Bulgaria, and Brazil, and has given risk management advice to banks and governments throughout North America, Europe, Asia, and Africa.

The Basics of Risk Management
Risk Measurement at the Corporate Level: Economic Capital and RAROC
Review of Statistics
Market Risk Section
Background on Traded Instruments
Market Risk Measurement
The Three Common Approaches for Calculating Value at Risk
Value at Risk Contribution
Testing VaR Results to Ensure Proper Risk Measurement
Calculating Capital for Market Risk
Overcoming VaR Limitations
The Management of Market Risk
Asset/Liability Mangement Section
Introduction to Asset Liability Management
Measurement of Interest Rate Risk for ALM
Funding Liquidity Risk in ALM
Funds Transfer Pricing and the Management of ALM Risks
Credit Risk Section
Introduction to Credit Risk
Types of Credit Structure
Risk Measurement for a Single Facility
Estimating Parameter Values for Single Facilities
Risk Measurement For A Credit Portfolio Part 1
Risk Measurement For A Credit Portfolio Part 2
Risk Adjusted Performance and Pricing for Loans
Regulatory Capital for Credit Risk
Operating Risk Section
Operating risk Integrated Risk Section
Inter-risk Diversification and Bank-Level RAROC