Risk Management: Approaches for Fixed Income Markets
Author: Bennett W. Golub, Leo M. Tilman
List Price: $75.00
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ISBN: 0471332119
Publisher: John Wiley & Sons (15 June, 2000)
Sales Rank: 121,388
Average Customer Rating: 4 out of 5
Customer Reviews
Rating: 5 out of 5
Excellent Book
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!
Rating: 2 out of 5
Disappointing
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.
Rating: 5 out of 5
Review
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". Similar Products
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