Asset & Risk Management by Louis Esch

Product Description

The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.

It is divided into five parts:

* Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.
* Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options.
* Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology.
* Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe’s simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.
* Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet.

The book is aimed both at financial professionals and at students whose studies contain a financial aspect.

"Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management."
—Harry M Markowitz, San Diego, USA
Product Details

* Amazon Sales Rank: #737099 in Books
* Published on: 2005-03-25
* Number of items: 1
* Binding: Hardcover
* 424 pages

Editorial Reviews

From the Inside Flap
This book provides a very useful teaching tool suitable for use by both undergraduates and post-graduates, who have chosen to include a financial element in their studies. There are many numbered illustrations and a CD-Rom for practical application.

The work is also aimed at professionals working in the market (private or business fund managers or pension managers, market operators and business managers), risk managers and asset and liability managers, auditors and people working generally in the field of risk management.

From the Back Cover
The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.

It is divided into five parts:

* Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.
* Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options.
* Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology.
* Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe’s simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.
* Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet.

The book is aimed both at financial professionals and at students whose studies contain a financial aspect.

"Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management."
—Harry M Markowitz, San Diego, USA

About the Author
Louis Esch Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liège.

Robert Kieffer Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training.

Thierry Lopez Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals).

Assisted by: Christian Berbé, Pascal Damel, Michel Debay, Jean-François Hannosset.

An Introduction to Market Risk Measurement (The Wiley Finance Series) by Kevin Dowd

Product Description

Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
Covers the subject without advanced or exotic material.
Product Details
Amazon Sales Rank: #1268025 in Books
Published on: 2002-10-18
Number of items: 1
Binding: Paperback
304 pages
Editorial Reviews

Download Description
"This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley

Book Info
Provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk. Supplies a toolkit of the main tools required to understand market risk measurement. Softcover. CD-ROM included.

From the Back Cover
This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002).

An Introduction to Market Risk Measurement includes coverage of:
Parametric and non-parametric risk estimation

Simulation

Numerical Methods

Liquidity Risks

Risk Decomposition and Budgeting

Backtesting

Stress Testing

Model Risk
Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement. A CD is packaged with the book, containing a MATLAB folder of risk measurement functions, in addition to some examples in Excel/VBA.

Monte Carlo Risk Analysis and Due Diligence of New Business Ventures (With CD-ROM) by James F. Wright

Product Description

When it comes to new manufacturing processes and products, many investors fail to look past the novelty of the new, putting blind faith in potentially faulty business plans. Now there's a way to accurately measure the real risks of highly complicated projects. Wright outlines a step-by-step process that shows bankers, venture capital companies, and investors how to:

* Determine if technologies are valid to ensure, for example, that pilot-plant results can be duplicated at full-scale * Use process design methods to analyze new and emerging technologies used in proposed investments * Use the author's scientific approximation to handle unsymmetrical distributions common in the evaluation of potential investments * Use Monte Carlo Analysis to quantify the uncertainty of a plan -- and determine the potential for making a profit.
Product Details
Amazon Sales Rank: #1057873 in Books
Published on: 2002-06-15
Number of items: 1
Binding: Hardcover
352 pages
Editorial Reviews

Book Info
Outlines a step by step process that shows bankers, venture capital companies, and investors how to determine if technologies are valid to ensure, for example, that pilot-plant results can be duplicated at full-scale. CD-ROM included.

About the Author

James F. Wright, Ph.D. (Odessa, TX) is a physical chemist, project director, and an experienced chemical, process, nuclear, and environmental consultant.
Customer Reviews

Uniquely quantifies the risk associated with investments.
While, for many decades, simulation has been the most commonly used technique available for risk analysis of a variety of complex systems, its meaningful popularity, outside engineering and the sciences, has only started to build. James Wright's book provides a comprehensive guide to the application of the Monte Carlo simulation tool as a means of uniquely quantifying the risk associated with any technical investment project. Even though Wright's book specifically addresses the most complex case of evaluating "technical projects" the process is readily applicable to evaluate high-tech and other investment projects.

In Part I, Wright's innovative method of presenting technical due diligence, with its step-by-step approach to building a complex system, contains several practical examples. It is an excellent introduction to the use of Monte Carlo simulation to a broader audience with common interests in venture capital. In Part II, he covers different commonly used discrete and continuous random variables with relevant examples. In this part, Wright's extensive reviews of triangular and angular random distributions, and their applications in analyzing risk for technical projects, provide a helpful approach to simplify the application of the Monte Carlo simulation in other areas. Several user-friendly computer files in an accompanying CD offer opportunities to quickly simulate different systems.

Monte Carlo Risk Analysis and Due Diligence of New Business Ventures is an excellent reference for MBA programs with a concentration in finance, entrepreneurship, and technology management.

Wright clearly explains Monte Carlo analyses of businesses.
As a VC (Venture Capitalist), I am always seeking better methods to analyze investment opportunities. Jim Wright's book takes that analysis to the next level. Monte Carlo simulation techniques have repeatedly proven their value in addressing some of the world's most complex problems. Unfortunately, the technique is inherently very compute intensive, until now placing its use beyond the reach of most business analysis. A combination of Moore's law, and Wright's very clever unsymmetrical Gaussangular DistributionsTM, now permit ordinary PC/spreadsheet users to employ this very powerful tool.

Wright has distilled his many years of field experience into an easily followed, step-by-step, approach to providing very insightful statistical evaluations of complex technical projects. Implementation is facilitated by ready-to-use software and support included on a CD with the book. Monte Carlo Risk Analysis is not only suitable for the most complex problems; it can very usefully be applied to most any business analysis. Within the context of VC investments in speculative, new technologies, Wright's book provides a very potent approach to identifying and quantifying the metrics for success. I highly recommend Wright's book to anybody analyzing business ventures.