The Fundamentals of Risk Measurement

by Christopher Marrison

Book Overview

A step-by-step guidebook for understanding--and implementing--integrated financial risk measurement and management

The Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and maintaining risk management in today's volatile financial environment. This comprehensive book provides description and analysis of topics including:

Economic capital Risk adjusted...

• Format: Hardcover
• Language: English
• ISBN: 0071386270
• ISBN13: 9780071386272
• Release Date: July 2002
• Publisher: McGraw-Hill Companies
• Length: 415 Pages
• Weight: 0.05 lbs.
• Dimensions: 1.4" x 7.6" x 9.4"

Customer Reviews

Excellent overview of bank risk management

I really can't say enough about this book. From the perspective of a banker who wants to understand the fundamentals it is comprehensive, well organized and presented in a style that makes understanding the materials easy (or as easy as can be expected given the topic). I recently took a copy to an Fx class I presented to the central bank staff in Azerbaijan. They liked the book so much that I was forced (not literally - maybe 'encouraged' would be a better word) to leave my copy behind. I promptly ordered another on my return. While there are certainly more advanced texts on this same topic, I have yet to see one that does a better job of communicating the core concepts. Great job!

Fantastic book

Moving from academia to the real world is made much smoother with this great text by Dr. Marrison. This book integrates interest rate, liquidity and credit risk with bank management perfectly. Anyone interested in gaining a strong economic background with a quantitative degree like myself will find this book extremely useful.

One of the Best Books for Risk Management

Marrison has written an outstanding book on risk management. What is attractive about the treatment is the fact that it covers all aspects of risk management for financial institutions. Lots of books focus only on "new" techniques (VaR, portfolio credit risk models) or only on "traditional" techniques (credit analysis, ALM). Marrison treats them all, and uses capital allocation as a unifying theme.Two previous reviews that suggest Marrison is too basic or merely repeats other authors are, in my humble opinion, dishonest. Marrison is a sophisticated book for sophisticated readers who are new to risk management. This includes MBA students taking courses on the capital markets or risk management. It also includes professionals working in their first risk management position. Marrison did not invent VaR or ALM, but authors of other books did not invent these concepts either. An author's task is to describe established concepts in a manner that is accessible to and useful for his audience. In this respect, Marrison's book is a dramatic step forward. His choice of topics, organization and writing are superb.One of those previous reviews recommended that you read books by certain other authors instead of Marrison. Of those books, the only one that Marrison competes with is Jorion's Value-at-Risk. Marrison is an order of magnitude better than that book. The other books cover unrelated topics or are more advanced treatises on specific topics. You might graduate to such books from Marrison, but they are not alternatives to Marrison.Finally, you can't beat the price on this book. Marrison simultaneously offers a bargain AND one of the best books available on risk management.

easy and fast comprenhesion on market risk essentials

From the very beggining, the author brigthly provides with the main concepts and tips that will drive the reader to the discovery of not only the exciting world of the market risk management but of any other financial industry areas(credit risk, products management...)The author structures the book in such a way that any type of reader will understand the main concepts under the market risk management activity.Highly recommended for students and begginers and an essential in your library

An impressive textbook on the fundamentals of risk

This book is exactly what it aims to be: a textbook on the fundamentals of risk. The value of Marrison's book resides precisely in its ability to gather an enormous amount of material and present it to the reader in a clear, transparent form. It is true that other authors delve into certain aspects of risk more deeply, but no other book gathers all aspects of risk in such a comprehensible, yet hands-on work. Even if you want to spend the time and money in gathering 30 other books to cover this material, "The Fundamentals of Risk Measurement" is still a good buy: it is a practical guide to risk that encompasses every aspect of risk measurement without getting overly convoluted; an invaluable tool for the beginner and a handy reference for the experienced.