Key Risk Indicators

Key Risk Indicators

Liquidity Modelling

Liquidity Modelling

Lessons from the Financial Crisis


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.

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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.

More Information
ISBN 9781782720836
Navision code MLC2
Publication date 6 Nov 2013
Size 155mmx235mm
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Arthur M. Berd

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, a global electronic research repository.

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]