This book edited by industry expert Michael Ong explores how capital is measured and managed by banks and other financial institutions and how current techniques should be improved to address the issues highlighted in the recent crisis.

The first part covers the issues of capital management, allocation, risk attribution and performance determination. The second part focuses on the measurement of
capital. The book is essential for all who witnessed the devastating effects of the crisis, due fundamentally to undercapitalisation.

In A Quantitative Framework to Assess the Risk-Reward Profile of Non-Equity Products, bestselling author and Head of the Quantitative Analysis Unit at Italian regulator CONSOB, Marcello Minenna sets out a new method for achieving this for non-equity investment products.
By combining techniques commonly used in markets in a consistent and transferable format, Minenna provides the reader with a toolkit to produce the core information that the investors need to make their investment decisions.
This innovative, practical guide offers a way for financial institutions, investors, regulators, issuers and academics to better assess, understand and describe products and make a meaningful comparison between them.

Official Book presentation at the 50th meeting of the Euro Working Group for Financial Modelling on May 4th 2012 guested by the Universities of Rome La Sapienza and TRE, with a key-note address from Prof. Rita L. D’Ecclesia.
For further information please email to - ewgfm50@uniroma1.it

Credit Risk Modelling gives you a framework to understand how credit risk is measured, priced and managed.

The importance of accurately modelling and managing credit risk is continuously growing, regulatory changes and evolving risk management practices have led to Banks looking a lot more closely at credit risk.

Variable Annuities provides an overview of all the relevant aspects of variable annuity (VA) products from an insurers perspective. It is a collection of contributions from several authors, co-ordinated in such a way that it covers all relevant areas with minimal overlap and a consistent level of detail. The market is of huge interest for US, European and Japanese insurers.

This book by industry leader Vincent Kaminski provides an exhaustive description of the energy markets, covering both the fundamentals of the production, transportation, storage and distribution processes, as well as market design and linkages between different markets. The book also describes the most important types of transactions and instruments used in these markets.

Portfolio Construction and Risk Budgeting reflects how things have changed since the financial crisis. Containing the basics of portfolio theory with cutting-edge investment management research, Bernd Scherer provides a critical review of a range of portfolio management techniques highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.

Building on the solid foundation of the previous bestselling editions, this significantly extended fourth edition updates content and incorporates a more practical approach than previous editions.

The Solvency II Handbook brings together some of the best known and most renowned experts in insurance risk management to provide a detailed examination of the main requirements and impacts of Solvency II to insurers and reinsurers.

Marcelo Cruz brings together highly regarded practitioners and academics working in the Solvency II area to provide a practical guide for implementing internal models – the focus of Pillar I and the area demanding greater attention in preparing for Solvency II. The book also gives practical examples for the key areas outlined throughout the three pillars of Solvency II, taking a close look at insurance risk, market risk, credit risk, liquidity risk and operational risk.

Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.

This is the only book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.

This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.

Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.

Lessons from the Financial Crisis is an essential and comprehensive resource for market participants, researchers, regulators, academics and governments worldwide.

Containing both academic analysis and practical insights from renowned researchers and leading authorities such as John Hull and Stuart Turnbull, all aspects of the crisis which has defined a generation will be rigorously examined.

“This book has an extraordinary range of well organized chapters from highly distinguished financial academics and practitioners. Given the poor historical record of learning “lessons” from financial crises, this book provides an invaluable opportunity to gain multiple important perspectives from people in a position to share substantial wisdom that should not be missed.”

Bennett W. Golub, Chief Risk Officer, BlackRock, Inc.

This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks.

With the recent steep rise and many changes in the field of volatility in the capital markets, exchanges across the world are planning to increase volatility trading. Volatility as an Asset Class brings together the best techniques from both academics and practitioners at an important time.

Theory and Practice of Shipping Freight Derivatives provides practical coverage of shipping freight rate derivatives, detailed by leading expert practitioners in the field, offering best practices from divergent and different points of view.

This book is an essential purchase for all members of the shipping and financial communities. The book will also be required reading for academics and students of maritime or transportation-related university programs.