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Title: Risk Management by Michel Crouhy, Robert Mark, Dan Galai ISBN: 0-07-135731-9 Publisher: McGraw-Hill Companies Pub. Date: 30 October, 2000 Format: Hardcover Volumes: 1 List Price(USD): $70.00 |
Average Customer Rating: 4 (7 reviews)
Rating: 3
Summary: Vast but uneven coverage
Comment: I did like this book for its ambition to touch all the bases of risk management, and it does well on that score. It doesn't cover all the bases well, however. Once again, the kick-off is VAR, but the limitations of VAR aren't spelled out as well as they should be. Current products and their risks are not explained. There are virtually no practical examples of the strengths and weaknesses of various approaches, and that is a significant flaw for a risk book, albeit it is true of most of them.
Risks of many products such as credit derivatives cannot be adequatley measured by conventional methodology.
The subject of practical examples of risk (and hdeges) introduced by credit derivatives is comprehensively - and well- covered in "Credit Derivatives and Synthetic Securitization" by Tavakoli. Highly recommended for this subject and the treatment of ambiguity of conventional methods in general.
Rating: 5
Summary: Comprehensive and excellent
Comment: This book is the most comprehensive treatment I've seen of financial risk management, particularly from a banking perspective. It covers both the regulatory and practitioner perspectives of modern risk management -- it's a veritable encyclopedia.
It's drawn from the wealth of experience of the authors, who are well known in both the academic world and on Wall St.
I guess what I like most about the book is the inside look it provides at the various aspects of financial risks -- no other book does it better, and I found the discussion enthralling.
While mainly geared toward banks, the book also includes a fascinating chapter on risk management in regular corporations. I think the book would serve equally well as a textbook for a risk management course or a handbook for the risk management practitioner.
Rating: 2
Summary: Important stuff but hard slogging
Comment: This is an encyclopedia, and reading such things is not what most people, even when deeply interested in the subject are likely to do. It does provide a fair reference for specific topics, but this is not a subject one can really pick and choose.
VAR is the ususal starting point, and its famous authors (one of whom I hired for his skill in these matters) cover most of the bases in an interesting way.
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Title: Value at Risk: The New Benchmark for Managing Financial Risk by Philippe Jorion ISBN: 0071355022 Publisher: McGraw-Hill Companies Pub. Date: 17 August, 2000 List Price(USD): $75.00 |
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Title: Managing Credit Risk : The Next Great Financial Challenge by John B. Caouette, Edward I. Altman, Paul Narayanan ISBN: 0471111899 Publisher: Wiley Pub. Date: 09 October, 1998 List Price(USD): $85.00 |
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Title: Options, Futures, and Other Derivatives (5th Edition) by John Hull, John C. Hull ISBN: 0130090565 Publisher: Prentice Hall Pub. Date: 03 July, 2002 List Price(USD): $146.00 |
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Title: Schaum's Outline of Probability and Statistics by Murray R. Spiegel, John J. Schiller, R. Alu Srinivasan ISBN: 0071350047 Publisher: McGraw-Hill Companies Pub. Date: 17 March, 2000 List Price(USD): $16.95 |
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Title: Financial Risk Manager Handbook, Second Edition by Philippe Jorion, Philippe Jorion ISBN: 047143003X Publisher: Wiley Pub. Date: 02 May, 2003 List Price(USD): $150.00 |
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