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Book - Lessons from the Financial Crisis 2nd Impression

Edited By Arthur M. Berd

Overview

Now with a fully updated Preface that details how the lessons, insight and wisdom provided in the first impression of this book are still as relevant today as they were on the day of original publication. Some even more so.

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 are 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.

Special offer of £58 available whilst initial print run stocks last - save 60% on the full price of £145 (limited availability)

Publish date: 6 Nov 2013

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Book description

The ongoing credit crisis is perhaps the biggest economic calamity we have experienced since the 1930s, and has dramatically and fundamentally changed the financial, economic and social landscape of the world.

Immediate reactions to the crisis lay in the identification, treatment and management of its symptoms with some strong medicine. However, like in most chronic illnesses, the suppression of symptoms may not cure the illness but rather shift it elsewhere. This book will provide the reader with analysis on the roots of the credit crisis for understanding what went wrong and what will help avoid repeating this in the future.

Now with a fully up-to-date Preface from the Editor and 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 are rigorously examined. The book’s six sections focus on:

* The Roots of the Crisis

* The Impact on the Markets

* Risk Management and Regulation

* Quantitative Modelling

* Market Efficiency and Stability

* Lessons for Investors

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

Book details

ISBN
9781782720836
Publish date
6 Nov 2013
Format
Paperback
Size
155mm x 235mm

Editor biography

Arthur M. Berd

Arthur M. Berd is the Head of Macro Volatility Strategies at Capital Fund Management (CFM), a hedge fund specializing in systematic investment management, headquartered in Paris. He is a well known industry expert in credit modeling, quantitative investment strategies, and portfolio and risk management.

Prior to joining CFM, Arthur was the Head of Quantitative Market Strategies at BlueMountain Capital Management, a leading credit hedge fund in New York. Prior to that, he was a Senior Vice President at Lehman Brothers where he was responsible for a variety of quantitative credit models and strategies across corporate bonds and credit derivatives, and was instrumental in portfolio and risk advisory activities for the Firm’s largest clients. Before joining Lehman Brothers in 2001, he was a Vice President at Goldman Sachs Asset Management, focusing on risk management and quantitative portfolio analysis.

Arthur holds a Ph.D. in physics from Stanford University. He is an author of more than 30 publications in refereed journals and industry publications, and a frequently invited speaker at major industry conferences. He is a member of the editorial board of the Journal of Credit Risk, and the coordinator of the quantitative finance (q-fin) section in www.arXiv.org, a global electronic research repository.

Table of contents

Introduction

Arthur M. Berd

Preface

Arthur M. Berd

The Roots of the Crisis

1. The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can be Learned?

John C. Hull [University of Toronto]

2. Underwriting versus Economy: A New Approach to Decomposing Mortgage Losses

Ashish Das, Roger M. Stein [Moody’s Research Labs]

3. Credit Expansion, Leverage and the Shadow Banking System

Paul McCulley [PIMCO]

4. The Collapse of the Icelandic Banking System

David Lando, Rene Kallestrup [Copenhagen Business School]

5. The Quant Crunch Experience and the Future of Quantitative Investing

Robert Litterman [GSAM, retired]

The Impact on the Markets

6. The Impact of the Crisis on the OTC Derivatives Markets

Jeff Rosenberg [Bank of America Merrill Lynch]

7. The Re-Emergence of Distressed Exchanges in Corporate Restructurings

Edward I. Altman, Brenda Karlin [NYU]

Risk Management and Regulation

8. Modeling Systemic and Sovereign Risks

Dale F. Gray, Andreas A. Jobst [IMF]

9. Measuring and Managing Risk in Innovative Financial Instruments

Stuart M. Turnbull [University of Houston]

10. Forecasting Extreme Risk of Equity Portfolios with Fundamental Factors

Vladislav Dubikovsky, Michael Y. Hayes, Lisa R. Goldberg, Ming Liu [MSCI Barra]

Quantitative Modelling

11. Limits of Implied Credit Correlation Metrics Before and During the Crisis

Damiano Brigo [King’s College], Andrea Pallavicini [Banca Leonardo], Roberto Torre-setti [QCM]

12. Another View on the Pricing of MBS, CMOs, CDOs of ABS

Jean-David Fermanian [CREST-ENSAE]

13. Pricing of Credit Derivatives with or without Counterparty and Collateral Adjustments

Alexander Lipton, David Shelton [Bank of America Merrill Lynch]

14. A Practical Guide to Monte Carlo CVA

Alexander Sokol [CompatibL]

Market Efficiency and (In)Stability

15. The Endogenous Dynamics of Markets: Price Impact, Feedback Loops and Instabilities

Jean-Philippe Bouchaud [CFM]

16. Market Panics: Correlation Dynamics, Dispersion, and Tails

Lisa Borland [Evnine and Assoc.]

17. Financial Complexity and Systemic Stability in Trading Markets

Matteo Marsili, Kartik Anand [ICTP]

18. The Martingale Theory of Bubbles: Implication for the Valuation of Derivatives and Detecting Bubbles

Robert A. Jarrow, Philip Protter [Cornell University]

Lessons for Investors

19. Managing through a Crisis: Practical Insights and Lessons Learned for Quantitatively Managed Equity Portfolios

Peter J. Zangari [GSAM]

20. Active Risk Management: a Credit Investor’s Perspective

Vineer Bhansali [PIMCO]

21. Investment Strategy Returns: Volatility, Asymmetry, Fat Tails and the Nature of Alpha

Arthur M. Berd [CFM]

Testimonials

"This very useful book makes two important contributions. First, it will deepen the reader's understanding of how problems in certain derivatives markets contributed to the crisis. Second, it will inform the reader about how practitioners are now adapting their analysis tools to address pricing and risk measurement issues that were highlighted by the crisis. This volume is made even more useful and satisfying by being didactic while avoiding polemics."

Barry Schachter, Founder, GloriaMundi.org

"An extensive, rigorous book about the financial crisis, written by a star cast of quants. This collection of research articles digs deep into the origins of the crisis, and provides an analytical road map for a better financial system."

Sanjiv R. Das, Professor of Finance, Santa Clara University

"This book has an extraordinary range of well organized chapters from highly distinguished financial academics and practitioners.  Given the poor historical record of learning 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.

"A by-quants, for-quants reflection on the financial crisis.  Eschewing a monolithic 'big story' interpretation of the crisis, this book explores the multiple causes and consequences of the crisis. Most importantly, it extracts lessons for model-building, risk management and regulation."

Michael Gordy, Risk Magazine Quant of the Year 2004

Customer Reviews

Average customer reviews for Book - Lessons from the Financial Crisis 2nd Impression

Excellent survey in 21 lessons

This detailed study in 21 lessons grouped in 6 chapters gives a perfect overview. Distinguished financial experts from the academic as well as from the practitioner's side deepen the understanding of markets as well as models and model-building and regulation. An excellent book for all involved in the financial industry.
Review by Dr. Wolfgang Ettl , 29/05/2014

Lessons from the Financial Crisis 2nd Impression

I have not finished reading it all but, so far, it is THE Reference to have on the Financial Crisis. The more I read, the more I want to read. ... it's true when they say that knowledge is priceless: Initially I thought I bought a book, but in reality I have acquired knowledge. It's truly unfair to use price as a decisive criterion in your decision to get this book. ... Thank you Risk Books for sharing it with the rest of us.
Review by Mohammad Fheili , 24/04/2014

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