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Risk Management: Approaches for Fixed Income Markets | 
 enlarge | Authors: Bennett W. Golub, Leo M. Tilman
Publisher: Wiley
Category: Book
List Price: $85.00
Buy New: $43.57
You Save: $41.43 (49%)
New (15) Used (15) from $37.74
Rating:  4 reviews
Sales Rank: 395548
Media: Hardcover
Edition: 1
Pages: 312
Number Of Items: 1
Shipping Weight (lbs): 1.3
Dimensions (in): 9 x 6.2 x 1.3
ISBN: 0471332119
Dewey Decimal Number: 332.632044
EAN: 9780471332114
ASIN: 0471332119
Publication Date: June 15, 2000
Availability: Usually ships in 1-2 business days
Shipping: Expedited shipping available
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Condition: Brand New, Condition, Delivery Through Fedex/UPS/DHL With a Fedex/UPS/DHL Tracking Number: We Do not Deliver to P.O Box Address
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Product Description
RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS
"Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples."- Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association
"Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner's perspective. This text will rank among the most essential readings for both market professionals and academics." -Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"The most systematic and comprehensive overview of fixed income risk management."-Philippe Jorion, Professor of Finance, University of California-Irvine, Author, Value at Risk: The New Benchmark for Controlling Derivatives Risk
"An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended."-Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System
"Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income."-Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM).
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| Customer Reviews:
 Excellent Book March 23, 2001
Drew Saylor (Topeka , KS USA)
6 out of 8 found this review helpful
A truly excellent and useful book, although I can see why uninitiated (like Ms. Jane in the review below) won't understand it. The authors possess a wealth of practical knowledge of the fixed income markets and analytics. They rely on both theoretical models and subjective judgement, without which no investment activity can be successful. Their ideas are innovative and rigorous. I especially liked discussions on Value-at-Risk and existing parametric measures of risk. Highly recommend!
 Disappointing March 17, 2001
Jane Marsh (LA)
11 out of 21 found this review helpful
This book could be excellent. The table of contents offers an appealing mix of important topics. The writing is clear. Unfortunately, the authors don't know their subject. They are a couple of buy-side professionals who know the lingo but not the mathematics that goes behind it. They think that assets are priced based upon expectations, which is precisely the notion Black and Scholes dispensed with in 1973. In their discussion of OAS, they claim that option spreads reflect risk premiums. No, they reflect the cost of maintaining a replicating portfolio. What is really startling is their misperceptions regarding principal components. Applying PCA to yield curve modeling, they have invented a concept of "Most Representative Shock." This will make your eyes roll back into your head. I wish I could give a better review. I really had great expectations when I ordered this book, and it is clear the authors have put a lot of effort into their writing. They simply lack the expertise to make a substantive contribution.
Review July 21, 2000
Hovik Toomassian (Advanta Corp., Senior Risk Ananlyst, PA , US.)
8 out of 9 found this review helpful
A book written with an amazing transparency of thoughts and intelligence.A "must read" book for anyone who is involved in institutional risk management. ... must own before it becomes a "industry's best kept secret".
review July 19, 2000
Zvi Wiener (Jerusalem, Israel)
17 out of 17 found this review helpful
A very interesting book covering most modern issues in Fixed Income risk management. This book represents a rich experience that the authors got in finance and especially in mamanging risk of bond (and similar instruments) portfolio. I especiallly like the expalnations of partial duration and key rate versus principal components analisys. The book is technical and oriented towards people implementing modern risk management based on the P&L probability distribution. I have also learned a few interesting ways of how to communicate quantative results of risk analysis to portfolio managers. Monte Carlo methods are explained in brief and probably will not satisfy an experience user. Various option adjusted spread methods are explained very nicely. Benchmark approach is another topic that is well expalined in this book. I am going to use this book for teaching a Risk Management course (MBA).
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