A Guide to Mathematical Foundations of Risk Measurements-Volume 2 [Softcover]

By Carol Alexander

Book Overview

As its title implies, this book is the Handbook for the Professional Risk Manager. It is for those professionals who seek to demonstrate their skills in the field of financial risk management and for... This description may be from another edition of this product.

• Format: Hardcover
• Language: English
• ISBN: 097660972X
• ISBN13: 9780976609728
• Release Date: January 2006
• Publisher: Prmia Publications
• Length: 226 Pages
• Weight: 0.31 lbs.

Customer Reviews

Thorough, practical work

I've done a masters in finance and am a level 3 CFA candidate. The PRM material plugged an important gap in my knowledge. I highly recommend it to anyone who, like me, has a general finance and accounting background but is lacking on the maths/stats side and desires to to do something more quantitative. One book in the series,'mathematical foundations of risk measurements' was a godsend to me. Topics such as calculus, matrix algebra, numerical methods for option valuation are presented in depth and with the aid of excel spreadsheet displays and instructions. This is non-trivial math (as opposed to CFA); even true quants will verify that for you (check the Wilmott forums for comments). Non-trivial explanations of forecasting volatility, VaR, expected losses on a credit portfolio etc. If you want to get into risk and quant generally, this is the most accessible series of books I've seen capable of taking you to a decent level. The fact you can get a designation out of it is a bonus. BTW if you're tossing up between doing GARP's FRM and PREMIA's PRM, PRM is newer, presently still has a smaller membership base, is growing faster, and is well recognised in the UK but seems to still lag FRM in North America for recognition. The PRM material will be far better for your education; FRM takes a more CFA approach - it doesn't equip you so well technically.

Invaluable for the Risk Management Professional

As reflects a book published by an organization dedicated to improving professionalism in a field as broad as financial risk management, the contents are both wide and deep. Contributors are all experts in their individual fields - leading academics (providing underlying theory) and experienced practitioners (providing pragmatic, practical advice). As would be expected, the contents are best when the topic is well established, such as with Credit Risk, but less so in newer disciplines, such as Operational Risk. It is a book that will be close at hand to, and well thumbed by, practicing risk managers but also one that can give non-practicing managers and students an insight into some very complex topics.