Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance and Investment Management - Hardcover

Deventer, Donald R. Van; Imai, Kenji

 
9780786309641: Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance and Investment Management

Synopsis

Financial Risk Analytics is the first book written by experienced risk managers that is designed to explain, in comprehensive yet understandable terminology, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. Risk management experts Donald R. van Deventer and Kenji Imai show in a very practical, concrete way 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.

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About the Author

Donald R. van Deventer is the Chairman and Chief Executive Officer and Founder of Kamakura Corporation in Japan. He previously held positions as Senior Vice President of Investment Banking for Shearson Lehman Hutton in Tokyo, Treasurer for First Interstate Bancorp and Vice President in Asset and Liability Management for Security Pacific.

Kenji Imai is Managing Director, Development of Kamakura Corporation. He was previously with the Global Structured Products Group at S.G. Warburg Securities (Japan), in which he was responsible for structuring tailor-made interest rate, currency and equity-linked products. Mr. Imai developed interest rate models and managed interest rate derivatives products in the Derivative Group at Sanwa Bank.

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