Risk Management
isk Manager Handbook is the core text for risk management training his completely updated Fifth Edition—which comes with an interactive om previous FRM exams—is one of the best ways to prepare for the
ates studying for the Global Association of Risk Professional’s (GARP) management professionals, and prepares you to assess and control risk ned risk management expert Phillipe Jorion—with the full support of dge for financial risk managers, covering such topics as:
agement
nals.
ification program—created to measure a financial risk manager’s capak managers around the world, the Financial Risk Manager Handbook, chniques and solutions that are emphasized on the test—and are also explained through tutorials so that you may prepare yourself or your ment challenges you will undoubtedly face at some point in your career.
chool of Business at the University of California at Irvine. He has also nd the University of British Columbia. He holds an MBA and a Ph.D. the University of Brussels. Dr. Jorion has authored more than ninety the topic of risk management and international finance. He is on the the Journal of Risk. His work has received several prizes for research. Manager Handbook (Wiley) as well as Financial Risk Management: vatives and Bankruptcy in Orange County, and Value at Risk; The New ector at Pacific Alternative Asset Management Company (PAAMCO),
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Sixth Edition | FINANCIAL RISK MANAGER HANDBOOK | Jorion
financial risk management
RM®) certification, as well as corporate training programs, professors, andbook for the most comprehensive and up-to-date information on
Financial Risk Manager Handbook + Test Bank Reference Materials for FRM Part I and Part II Exams
FOUNDATIONS OF BANKING RISK
FINANCIAL RISK MANAGER HANDBOOK
Philippe Jorion, GARP (Global Association of Risk Professionals)
+ TEST BANK
Filled with in-depth insights and practical advice, the Financial Risk Philippe Jorion Manager Handbook is the core text for risk management training programs worldwide. Presented in ON THE WEB a clear and consistent fashion, this Includes an interactive test completely updated Sixth Edition bank of review questions from recent FRM exams. mirrors recent updates to the new two-level Financial Risk Manager (FRM®) exam and is fully supported by GARP as the trusted way to prepare for the rigorous and renowned FRM® certification. This valuable new edition includes an exclusive collection of interactive multiplechoice questions from recent FRM® exams. Reference Materials for FRM® Part I and Part II Exams
An Overview of Banking, Banking Risks, and Risk-Based Banking Regulation GARP (Global Association of Risk Professionals)
SIXTH EDITION
Sixth Edition
Foundations of Banking Risk
AN OVERVIEW OF BANKING, BANKING RISKS AND RISK-BASED BANKING REGULATION
This comprehensive overview of banking, banking risks, and risk-based bank regulation is the first in a series of study guides for GARP’s International Certificate in Banking Risk and Regulation program. Gain an inclusive understanding of bank risks and the regulatory environment under which they operate as you focus on core banking risks: market, credit, and operational—and how international regulation, including the Basel II Accord, affect the management of these risks. RICHARD APOSTOLIK
CHRISTOPHER DONOHUE PETER WENT
Paperback 264 pp 2009 ISBN 978-0-470-44219-7 £65.00 / €76.00 / $95.00
ALSO Foundations of Energy available Risk Management An Overview of the Energy Sector and Its Physical and Financial Markets GARP Paperback 120 pp 2008 ISBN 978-0-470-42190-1 £65.00 / €76.00 / $95.00
• Offers valuable insights on managing market, credit, operational, and liquidity risk • Examines the importance of structured products, futures, options, and other derivative instruments • Contains new material on extreme value theory, techniques in operational risk management, and corporate risk management Paperback w/Test Bank 768 pp 2011 ISBN 978-0-470-90401-5 £120.00 / €140.00 / $175.00
Risk Management
Risk Management Foundations for a Changing Financial World Walter V. “Bud” Haslett Jr., CFA, Editor
When Prime Brokers Fail The Unheeded Risk to Hedge Funds, Banks, and the Financial Industry J.S. Aikman Before the credit crash, little was known about the inextricable relationship between banks and brokers, and the unheeded risks of prime finance. In this revealing book, Aikman takes a detailed look at the complex relationship between hedge funds and their brokerages, and the risks that multiply in extraordinary markets. Beyond the causes, this book lays out the steps required for managers to protect their funds and bankers to protect their brokerages. Hardcover 290 pp 2010 ISBN 978-1-57660-355-0 £33.99 / €40.00 / $49.95
• Australian Accounting Review • European Financial Management • Financial Accountability & Management • Financial Management • Financial Markets, Institutions & Instruments • Fiscal Studies
• Intelligent Systems in Accounting, Finance and Management • International Finance • International Insolvency Review • International Journal of Auditing • International Journal of Finance & Economics • International Review of Finance • Journal of Accounting Research • Journal of Applied Corporate Finance • Journal of Business, Finance & Accounting
Walter V. “Bud” Haslett Jr., Editor To fully understand how to employ meaningful risk management, investment professionals must have a solid foundation in the theory, philosophy, and evolution of the practice. Risk Management: Foundations for a Changing Financial World provides that foundation and more. • Outlines the evolution of risk management
• Includes key writings from leading risk management practitioners and academics, including Andrew Lo, Robert Merton, and John Bogle • Covers the full range of risk management issues, including firm and portfolio risk management, credit risk, and risk measurement, as well as managing the risk of derivatives, pension funds, and both international and alternative investments Hardcover 768 pp 2010 ISBN 978-0-470-90339-1 £65.00 / €76.00 / $95.00
Discover something great with Wiley-Blackwell journals... • Abacus • Accounting & Finance • Africa Research Bulletin: Economic, Financial and Technical Series
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and Director of Credit and er, Stern School of Business
ize that they have given far vestment. All too often, they s whose nature they did not ar, are surely ready for guidensive, rigorous, and clearly houghtful investors.”
of Economics and Director, or Applied Economics, NYU
and questions that we are oaches and techniques that
guished Research Professor rector of the International nalysis, University of Texas
contributions in the field of the latest developments in or practitioners, researchers, nagement.”
nce and Associate Director, and Public Organizations, iness, Concordia University
ut hidden risks and reduces the reader.”
Black Swan, Distinguished , NYU-Polytechnic Institute
Products and Applications
Comprehensive in scope and easy-to-read, this integrated presentation of theory, and its limitations in practice, gives you ultimate coverage of both utility theory and mathematical finance. Accessible enough for stock market traders, yet rigorous enough for statisticians and mathematicians. Hardcover 358 pp 2004 ISBN 978-0-470-84908-8 £75.50 / €90.60 / $130.00
CME Group, John W. Labuszewski, John E. Nyhoff, Richard Co, Paul E. Peterson Praise for The CME Group Risk Management Handbook: “This is a powerful book for its integration of futures and options markets with an understanding of the whole economy. It is an eye-opener to see how central these markets are to our economic lives.”— Robert J. Shiller, Yale Univ.; chief economist, MacroMarkets LLC
The Simple Rules of Risk Revisiting the Art of Risk Management Erik Banks Yes, managing financial risk can be simple. Here, the author maintains that by addressing qualitative issues within a robust framework. You will learn to develop and implement the key rules of risk philosophy, governance structure, identification, quantification, monitoring/ reporting, management, and infrastructure. Hardcover 156 pp 2003 ISBN 978-0-470-84774-9 £57.50 / €69.00 / $95.00
“Risk management is essential to successful investing and [this book] provides the essentials for understanding risk management. In the wake of the financial turmoil of the last few years, managing risk should be part of any investment program. . . . [It] offers a comprehensive guide for using all of these to better manage financial risks.”—David M. Blitzer, managing director and chairman of the Index Committee, S&P Indices
The CME Group Risk Management Handbook provides an accessible overview of the futures market in today’s electronic world of trading. Page by page, it outlines the various CME products currently available and explains how those products can be used to manage risk. Financial professionals around the world will find this book to be a comprehensive reference to the most widely used risk management, trading, and hedging strategies. Hardcover 606 pp 2010 ISBN 978-0-470-13771-0 £65.00 / €76.00 / $95.00
Risk Finance and Asset Pricing
Tapiero
Risk Finance AND Asset Pricing
and well-written description umerous relevant examples rpinnings. The combination al engineering courses and t to enhance student and
Charles S. Tapiero
$95.00 USA/$114.00 CAN
OValue,
Risk Finance Asset Pricing AND
VALUE, MEASUREMENTS, AND MARKETS
Measurements, and Markets
ver the past two decades, fi nancial firms, companies, and governments have shifted greater attention to financial manipulations in which they capitalized on leverage and short-term returns. These actually resulted in an explosive and global growth in financial activity. A financial Pandora’s box had been opened, and countries and blue chip corporations believing in perpetual growth and once thought too big to fail, found themselves strangled with a debt they were not able to bear.
Charles S. Tapiero
The recent market melt-down and credit liquidity crisis created full realization that complex financial products—when misunderstood and misused—can have devastating effects. Risk Finance and Asset Pricing: Value, Measurements, and Markets is a comprehensive introduction to financial engineering that presents the foundations of asset pricing and risk management, while stressing real-world applications.
Gain insight into theory from a practitioner perspective and apply it to a variety of realworld problems as you examine the cornerstone of the explosive growth in markets worldwide. Presents important financial engineering techniques to price, hedge, and manage risks in general.
Written for both beginning and practicing financial engineers, author Charles Tapiero— the Topfer Distinguished Professor of Financial Engineering and Technology Management at the NYU Polytechnic Institute—provides: • A non-quantitative introduction to the business of finance, risk, and their many applications • An overview of the statistical approaches for measuring risk • An introduction to the concept of utility and financial risk management • An outline of the Arrow-Debreu framework in discrete states and time for assets and derivatives (options) pricing
Charles S. Tapiero
• An outline of credit risk, scoring, and complex structured financial products
Against the Gods The Remarkable Story of Risk Peter L. Bernstein “Fascinating . . . this challenging volume will help you understand the uncertainties that every investor must face.”—Money
(continued on back flap)
Paperback 400 pp 1998 ISBN 978-0-471-29563-1 £11.95 / €16.00 / $19.95
Hardcover 480 pp 2010 ISBN 978-0-470-54946-9 £65.00 / €76.00 / $95.00
A Demon of Our Own Design Markets, Hedge Funds, and the Perils of Financial Innovation Richard Bookstaber “I cannot recommend this book too highly. It is a clear exposition of what the combination of derivatives, leverage, and hedge funds can do to the markets.”—Forbes.com “He understands the inner workings of financial markets. . . . A liberal sparkling of juicy stories from the trading floor . . . .”—The Economist Paperback 304 pp 2008 ISBN 978-0-470-39375-8 £11.99 / €13.60 / $16.95
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3
Risk Management
ricing
RKETS
Mathematical and Computational Methods
The CME Group Risk Management Handbook
Risk and Financial Management
Risk Management
Market Risk Analysis FOUR VOLUME SET
Carol Alexander Market Risk Analysis is a series of four interlinked volumes written by one of the most highly acclaimed authors in the field. Carol Alexander’s pedagogical approach takes readers from basics to the most advanced analysis, each step being illustrated by relevant and practical examples. The understanding of virtually every concept or formula is consolidated with a practical, numerical example or a longer, empirical case study. Nearly all are contained in interactive Excel spreadsheets on accompanying CD-ROMs, and where this is not possible, illustrative MATLAB or EView code is provided. Carol Alexander’s knowledge of the industry provides unique insight into the relevant practical challenges facing market risk analysts working in the profession. Each title is self-contained, but there are numerous cross-references to the other volumes. The four volumes together provide sufficient material for one or two years of full-time study. Volumes include Volume I: Quantitative Methods in Finance, Volume II: Practical Financial Econometrics, Volume III: Pricing, Hedging and Trading Financial Instruments, and Volume IV: Value-at-Risk Models. Four-Volume Set: Hardcover 1652 pp 2009 978-0-470-99799-4 £180.00 / €216.00 / $290.00 Volume I: Hardcover 318 pp 2008 978-0-470-99800-7 £40.00 / €48.00 / $80.00
hD Wit VD
Credit risk modeling using Excel and VBA
Second Edition
GUNTER LÖFFLER PETER N. POSCH
Credit Risk Modeling Using Excel and VBA SECOND EDITION
Gunter Loeffler and Peter N. Posch This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modeling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA.
Hardcover 360 pp 2011 978-0-470-66092-8 £60.00 / €72.00 / $95.00
Modelling Single-Name and Multi-Name Credit Derivatives Dominic O’Kane Modelling Single-Name and Multi-Name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. Hardcover 514 pp 2008 978-0-470-51928-8 £70.00 / €84.00 / $115.00
Volume II: Hardcover 426 pp 2008 978-0-470-99801-4 £50.00 / €60.00 / $100.00 Volume III: Hardcover 416 pp 2008 978-0-470-99789-5 £60.00 / €72.00 / $120.00 Volume IV: Hardcover 492 pp 2009 978-0-470-99788-8 £60.00 / €72.00 / $120.00
Credit Models and the Crisis
Credit Models
and the Crisis
A Journey into CDOs, Copulas, Correlations and Dynamic Models
DAMIANO BRIGO ANDREA PALLAVICINI ROBERTO TORRESETTI
A Journey into CDOs, Copulas, Correlations and Dynamic Models Dr. Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti Credit Models and the Crisis is a succinct but technical analysis of the key aspects of credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis.
Paper 176 pp 2010 978-0-470-66566-4 £29.00 / €36.00 / $50.00
Counterparty The new challenge for global financial markets
JON GREGORY
Wim Schoutens and Jessica Cariboni This introductory guide to using Lévy processes for credit risk modelling covers all types of credit derivatives: from the Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs), and Constant Proportion Debt Obligations (CPDOs), as well as new advanced rating models for Asset Backed Securities (ABSs). Hardcover 200 pp 2009 978-0-470-74306-5 £70.00 / €84.00 / $115.00
The Blank Swan
Counterparty Credit Risk
The End of Probability
The New Challenge for Global Financial Markets
Elie Ayache
Jon Gregory Counterparty Credit Risk explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining).
Hardcover 448 pp 2010 978-0-470-68576-1 £60.00 / €72.00 / $100.00
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Lévy Processes in Credit Risk
The Blank Swan redefines the components of the models needed to price and trade derivatives, and redefines the actual trading of derivatives and derivative pricing. It changes the way we think about options and trade volatility and establishes the missing link between quantitative modeling and the reality of the market. Hardcover 496 pp 2010 978-0-470-72522-1 £29.99 / €36.00 / $50.00
Volatility and Correlation
THIRD EDITION
The Perfect Hedger and the Fox
Joël Bessis
SECOND EDITION
Riccardo Rebonato
Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, and more, it also includes a section on subprime that discusses the crisis mechanisms and makes numerous references throughout to the recent stressed financial conditions.
Covering FX, equity and interest rate products, Volatility and Correlation is a blend of theoretical and practical material and is designed for traders, risk managers, financial professionals and students. “The second edition is even more comprehensive than the first and ideally suited to quantitatively oriented traders and risk managers. Rebonato has a knack for distilling the essence from a wide range of complex option pricing models.” —Darrell Duffie, Stanford
Paper 840 pp 2009 978-0-470-01913-9 £36.99 / €44.40 / $60.00
The
Mathematics of derivatives securities MARIO CERRATO
The Mathematics of Derivatives Securities
University, USA
“The author has greatly extended the first edition of this book, whose main merit remains its courage to deal with relevant issues for practitioners. Rather than concentrating on fictional problems stemming from the need to give financial ground to one’s favorite theories, the author moves from problems posed by the market. At times a colloquial stance is privileged over mathematical rigor and formalism, allowing a larger public to benefit from this book.” —Damiano Brigo, Head of Credit Models, Banca
Mario Cerrato This book stands apart from the competition as it covers complex analytical issues and complex financial instruments in a way that is accessible to those without a background in probability theory and finance, as well as providing detailed mathematical explanations with MATLAB code for a variety of topics and real-
IMI, author of Interest Rate Models: Theory and Practice Hardcover 864 pp 2004 978-0-470-09139-5 £85.00 / €102.00 / $140.00
world case examples.
Life Settlements and Longevity Structures
Paper 512 pp 2011 978-0-470-68369-9 £39.99 / €44.40 / $60.00
Pricing and Risk Management
The Handbook of Risk Management The
Handbook of
Risk management
Implementing a Post-Crisis Corporate Culture
PHILIPPE CARREL
Implementing a Post-Crisis Corporate Culture
Jim Aspinwall, Geoff Chaplin and Mark Venn
Philippe Carrel
This is the first book to cover life insurance products for the investment management industry. It provides in-depth coverage of the way the life insurance industry works, calculations of survival probabilities, and how to structure life settlement policies as standalone investments or as part of a structured portfolio.
This handbook shows a firm how to repurpose its risk management in order to design and implement a corporate culture which involves all business units and individuals at each level of the hierarchy, how to analyse its risk appetite, translate it into risk policies and risk targets, and distribute responsibilities and capabilities accordingly.
Hardcover 274 pp 2009 978-0-470-74194-8 £45.00 / €54.00 / $75.00
Hardcover 284 pp 2010 978-0-470-68175-6 £34.99 / €42.40 / $60.00
Red box rules are for proof stage only. Delete before final printing.
Mr. Deacon has worked as a securitisation, principal finance and derivatives specialist in the European and Asian markets and as an investor, issuer, investment banker and lawyer in London, Paris and Hong Kong. He has extensive global securitisation and principal finance experience.
Global securitisation and CDOs John Deacon Securitisation is the conversion of cash flows from underlying assets (including bonds or loans in a CDO transaction) into a smoothed repayment stream, via the issue of bonds, and can be used for a variety of purposes – to improve return on capital, to restructure balance sheets, to diversify funding sources, to increase liquidity or to improve strategic profile. In order to achieve successful transactions and accurately assess and value investments, issuers and investors both need to understand the issues involved, and to aid this understanding, the author focuses on motivation for, and structuring of, transactions, as well as identifying key areas of opportunity for the future.
FX Options and Smile Risk Mr. Deacon is qualified as a Solicitor of the Supreme Court in England and Wales, a Solicitor of the Supreme Court in Hong Kong and an ACIB and has written articles for the International Securitisation Report and for the International Securitization & Structured Finance Report.
Antonio Castagna
He has spoken at seminars and workshops for securitisation and credit derivatives industry professionals organised by Euromoney, AIC Conferences, ICC and Futures & Options World, and is a co-founder of the ThorABS asset-backed securities website (www.ThorABS.com).
Financial Risk Forecasting
Global
Finding and Harnessing Investment Skill
The coverage includes a detailed overview of global securitisation, asset-backed and CDO structures, and extensive analysis of: recent synthetic and credit derivative structures used in CDOs and other securitisations; the new Basel Capital Accord; development in worldwide accounting standards; the technology of whole business securitisations; the workings of 52 global markets ranging from the UK and Europe to the USA, Asia, Latin America and Australasia. The book is essential reading for securitisation and CDO practitioners at investment banks, commercial banks, law firms, accounting firms and rating agencies, as well as for financial and corporate issuers and investors, and includes a detailed lexicon of industry jargon and know-how.
This book is a unique guide to running an FX options book from the market maker’s perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. follow Chong for author pic style
Global securitisation and CDOs
JOHN DEACON joined UBS in 2000 as Executive Director and Head of Debt Principal Finance in London. Prior to joining UBS he was Head of Principal Finance at Greenwich NatWest. Mr. Deacon began his career at Cameron Markby Hewitt, before moving to Clifford Chance. He graduated LLB (Hons) from Exeter University.
DEACON
About the author
Financial
risk
forecasting
FINANCE/INVESTMENT
Cover images reproduced by permission of Shutterstock.com
Please visit our website at www.wileyfinance.com
JON DANIELSSON
securitisation Jon Danielsson and CDOs
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market and credit risks. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques.
“As a description of the challenges faced in seeking out the elusive alpha of active management, Charles Jackson’s book merits an alpha-plus.” – Alastair Ross Goobey, Chairman, Hermes Focus Asset Management
“Charles Jackson presents in lucid prose and elegant mathematics a concise guide to the ecology of the jungle. He describes the landscape and history of the habitat, classifies its successful predators, examines how they are themselves hunted and concludes with an acute analysis of the investment and business strategies that will shape the industry’s future.” – Colin Maltby, Chief Executive, BP Investment Management Ltd “Charles Jackson’s book is highly topical and a veritable tour de force on issues facing the fund management industry today. His discussion on portfolio managers’ skill, intuitive versus systematic investment approaches and how this impacts on portfolio manager remuneration, and ultimately industry structure, is particularly insightful.” – Andreas EF Utermann, Global Chief Investment Officer/Chief Executive Officer, Allianz Dresdner Asset Management
“Active Investment Management masterfully blends the theoretical and the practical. This is not a quick fix book with three easy lessons on actively managing your investment portfolio. Instead it carefully shows how the battle for excess returns can be fought and won.” – Daniel L White, Professor of Finance Emeritus, Georgia State University
Hardcover 400 pp 2011 978-0-470-66943-3 £45.00 / €54.00 / $75.00
Hardcover 330 pp 2009 978-0-470-75419-1 £60.00 / €72.00 / $100.00
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Risk Management
Risk Management in Banking
Risk Management
Coherent
StreSS testing A Bayesian Approach to the Analysis of Financial risk
riccArdo reBonAto
From Shipping to Agriculturals and Energy
Riccardo Rebonato
Helyette Geman
“Stress tests are essential complements to VaR models, which are inadequate for very rare events. In practice, however, scenarios can be difficult to handle because they are typically not associated with a probability. This book shows how to build subjective, yet consistent probabilities for scenarios. Highly recommended.”—Philippe Jorion, Professor, University of California at Irvine
In Coherent Stress Testing, industry expert Riccardo Rebonato presents a groundbreaking new approach to this important but often undervalued part of the risk management toolkit. Based on the author’s extensive work, research and presentations in the area, the book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgement and Bayesian networks. It constitutes a radical departure from the traditional statistical methodologies based on Economic Capital or Extreme-Value-Theory approaches. Hardcover 238 pp 2010 978-0-470-66601-2 £45.00 / €54.00 / $75.00
Bank
and insurance capital management FRANS DE WEERT
Risk Management in Commodity Markets
Coherent Stress Testing A Bayesian Approach to the Analysis of Financial Stress
Bank and Insurance Capital Management Frans de Weert Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance.
Hardcover 262 pp 2010 978-0-470-66477-3 £45.00 / €54.00 / $75.00
Bringing together some of the best authors in their fields, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new futures markets. Hardcover 320 pp 2008 978-0-470-69425-1 £80.00 / €96.00 / $130.00
The Handbook of Convertible Bonds Pricing, Strategies and Risk Management
The Handbook of Convertible Bonds
Wim Schoutens and Jan de Spiegeleer
The Handbook of Convertible Bonds is a complete guide to the pricing and risk managePricing, Strategies and Risk Management ment of convertible bond portfolios. This is a highly practical book, all products priced are WIM SCHOUTENS JAN DE SPIEGELEER real-world examples and numerical examples are not limited to hypothetical convertibles. It is a must-read for anyone wanting to safely get into this highly liquid, high return market. Hardcover 384 pp 2011 978-0-470-68968-4 £60.00 / €72.00 / $100.00
Measuring Operational and Reputational Risk A Practitioner’s Approach Aldo Soprano, Bert Crielaard, Fabio Piacenza and Daniele Ruspantini This title presents useful ways of approaching operational risk management to meet the requirements of the Basel II Accord, while the authors’ flexible approach makes its risk analysis meaningful to different types and sizes of financial institution. The title will be valuable to quantitative analysts, quantitative developers and risk managers trying to digest and integrate the new Basel requirements. Hardcover 226 pp 2009 978-0-470-51770-3 £34.99 / €42.00 / $60.00
Corporate Risk Management SECOND EDITION
Tony Merna and Faisal F. Al-Thani Fully updated from the first edition, this book compares and contrasts tools and techniques used in risk management, showing readers how to implement a generic risk management mechanism. Including up-to-date guidance on new regulations in corporate governance, updates on the Turnbull and Sarbanes-Oxley acts, the Higgs report and European legislation, it presents a model framework for analysing risk at every level. Hardcover 440 pp 2008 978-0-470-51833-5 £45.00 / €54.00 / $75.00
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Operational Risk Assessment The Commercial Imperative of a More Forensic and Transparent Approach Brendon Young and Rodney Coleman This book provides investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential. It advocates a more forensic approach towards operational risk management and promotes transparency, which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. Hardcover 456 pp 2009 978-0-470-75387-3 £65.00 / €78.00 / $105.00
Derivatives Demystified
Derivatives demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options
Handbook of Asset and Liability Management
A Step-by-Step Guide to Forwards, Futures, Swaps and Options
From Models to Optimal Return Strategies
SECOND EDITION
Andrew M. Chisholm
This book provides a step-by-step guide to the subject, enabling the reader to have a solid, ANDREW M. CHISHOLM working understanding of key derivative products. This new edition is fully revised to reflect the many changes the derivatives markets have seen over recent years. New material will include a comprehensive history of derivatives, leading up to their use and abuse in the current credit crisis. SECOND EDITION
Alexandre Adam This is a comprehensive resource for Asset and Liability Management (ALM) Professionals, providing the very latest global coverage of the topic. The accompanying CD-ROM features demonstrations of some basic ALM problems such as ALM Delta Equivalent computation, FTP computation and ALM risk indicators computation. Hardcover 576 pp 2007 978-0-470-03496-5 £62.50 / €75.00 / $100.00
Hardcover 286 pp 2010 978-0-470-74937-1 £45.00 / €54.00 / $72.00
The SABR/LIBOR Market Model
Interest Rate Swaps and Their Derivatives
Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Amir Sadr
Riccardo Rebonato, Kenneth McKay and Richard White “In this concise book, Riccardo Rebonato and his coauthors introduce a new financially motivated model combining the best features of the LIBOR Market and SABR models. The authors provide a useful road map to pricing, calibrating, and hedging interest rate derivatives in the new framework. The book will be of interest to practitioners and academics alike.” —Alexander Lipton, Managing Director, Merrill Lynch, and Visiting Professor, Imperial College
A Practitioner’s Guide Rather than focusing on exotics, Interest Rate Swaps and Their Derivatives thoroughly covers the mainstream products—swaps, flow options, Bermudans, semi-exotics—showing the common pricing techniques while also explaining how to generalize the concepts to more nuanced products. Current or future practitioners will gain a sound working knowledge in the subject. Hardcover 247 pp 2009 978-0-470-44394-1 £57.50 / €68.00 / $85.00
Hardcover 296 pp 2009 978-0-470-74005-7 £65.00 / €78.00 / $105.00
Encyclopedia of Quantitative Finance Rama Cont This major reference provides a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals. With a pool of authors comprising over 400 leading academics and professionals, it offers a balanced view of theoretical and practical aspects of quantitative modelling in finance.
Foreign exchange
Foreign Exchange Option Pricing A Practitioner’s Guide Iain J. Clark
This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know IAIN J. CLARK about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration.
option pricing A Practitioner’s Guide
Hardcover 304 pp 2010 978-0-470-68368-2 £60.00 / €72.00 / $100.00
Hardcover 2194 pp 2010 978-0-470-05756-8 £695.00 / €834.00 / $1115.00
Market Consistency Model Calibration in Imperfect Markets Malcolm Kemp In this book, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author’s experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice.
News analytics The Handbook of
The Handbook of News Analytics in Finance Gautam Mitra and Leela Mitra
The Handbook of News Analytics in Finance will be a landmark publication bringing together the latest models and applications of News Analytics for risk management and trading. It Edited by GAUTAM MITRA calls upon the expertise of academics and pracLEELA MITRA titioners who have developed these models and is supported by one of the leading providers of news analytics software and machine readable news—Ravenpack.
in finance
Hardcover 384 pp 2011 978-0-470-66679-1 £80.00 / €96.00 / $130.00
Hardcover 376 pp 2009 978-0-470-77088-7 £45.00 / €54.00 / $75.00
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7
Risk Management
Valuation T H E
#1
B E S T S E L L I N G
C O R P O R A T E
G U I D E
T O
VA L U A T I O N
VALUAT I ON Mea suring and Ma na ging the Va l u e of C o m p a n i e s and
Updated Rev ised
New Insights with into Business Strategy and Inve stor Behavior
T I M K O L L E R • M A R C G O E D H A R T • D AV I D W E S S E L S
McK I NSE Y & C OM PA N Y
Measuring and Managing the Value of Companies FIFTH EDITION
McKinsey & Company Inc., Tim Koller, Marc Goedhart, David Wessels Thoroughly revised and expanded to reflect business conditions in today’s volatile global economy, the long-awaited fifth edition provides up-to-date insights and practical advice on how to create, manage, and measure the value of an organization.
Beyond Sarbanes-Oxley Compliance Effective Enterprise Risk Management Anne M. Marchetti “This book demystifies compliance with straightforward advice that serves as a clear road map to building compliance capability, in year one and beyond.”—Francis Aquila, partner, Sullivan & Cromwell LLP Hardcover 288 pp 2005 ISBN 978-0-471-72626-5 £27.95 / €43.50 / $49.95
Features include: • PROVEN McKINSEY APPROACH gives strategies for multi-business valuation, corporate restructuring, mergers, acquisitions, and more • ALL-NEW CASE STUDIES illustrate how valuation techniques and principles are applied in real-world situations • NEW CONTENT on the strategic advantages of value-based management and advanced valuation techniques • UPDATED to reflect recent events, new developments in corporate finance, and changes in accounting rules Hardcover 811 pp 2010 ISBN 978-0-470-42465-0 £65.00 / €76.00 / $95.00
LESSONS from the FINANCIAL CRISIS Causes, Consequences, and Our Economic Future
DCF Valuation Model Download available via Download or CD-ROM. Go to wiley.com or speak to a Customer Care Representative for details.
The Flaw of Averages Why We Underestimate Risk in the Face of Uncertainty Sam L. Savage “Enterprise analysis under uncertainty has long been an academic ideal. . . . In this profound and entertaining book, Professor Savage shows how to make all this practical, practicable, and comprehensible.“—Harry Markowitz, Nobel laureate in economics Hardcover 416 pp 2009 ISBN 978-0-471-38197-6 £18.99 / €22.40 / $27.95
Lessons from the Financial Crisis Causes, Consequences, and Our Economic Future Robert W. Kolb
Leading minds in the worlds of finance and academia dissect the crisis. Divided into three comprehensive sections—The Subprime Robert W. Kolb, Crisis; The Global Financial Crisis; and Law, Regulation, the Financial Crisis, and the Future—this book puts the events that have transpired in perspective, and offers valuable insights into what we must do to avoid future missteps. Editor
KOLB SERIES IN FINANCE Essential Perspectives
Enterprise Risk Management From Incentives to Controls James Lam Stay ahead of the game and meet the enterprisewide risk management challenge head on with this practical, insightful book. Organized into four comprehensive sections, you will learn to overcome critical obstacles and lead your company into the 21st century with confidence. Hardcover 336 pp 2003 ISBN 978-0-471-43000-1 £55.00 / €75.00 / $90.00
Hardcover 667 pp 2010 ISBN 978-0-470-56177-5 £65.00 / €76.00 / $95.00
Risk Arbitrage
The Portable Financial Analyst
Guy P. Wyser-Pratte
What Practitioners Need to Know
Known as a timeless classic from the “dean of the arbitrage community,” this book delivers! Coverage includes average expected returns to corporate freeze-ins and a new chapter on “active arbitrage.” It is the must-have guide for anyone involved in investments. Paperback 304 pp 2009 ISBN 978-0-470-41571-9 £13.99 / €16.00 / $19.95
8
SECOND EDITION
Mark P. Kritzman Objective, practical, and essential, financial expert Mark Kritzman expands upon the first edition with a vitality of logic that is needed in today’s investment analysis. He touches on a variety of topics and offers much insight in this comprehensive collection. Hardcover 272 pp 2003 ISBN 978-0-471-26760-7 £33.50 / €43.50 / $49.95
The Ideal Risk, Uncertainty, and Performance Measures Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi Gain the upper hand with this groundbreaking book by extending traditional approaches of risk measurement and portfolio optimization and combining distributional models with risk or performance measures into one solid framework. Hardcover 382 pp 2008 ISBN 978-0-470-05316-4 £65.00 / €76.00 / $95.00
Covers Excel 2007 and earlier versions for XP and Vista
FINANCIAL ANALYSIS AND MODELING ® Using Excel and VBA SECOND EDITION + CD-ROM
Financial Analysis and Modeling Using Excel and VBA
“Fills the gaps with practical guidance to modeling a wide range of finance problems.”—Tim Koller, partner, McKinsey & Company, Inc.
CHANDAN SENGUPTA
Paperback w/CD-ROM 793 pp 2010 ISBN 978-0-470-27560-3 £100.00 / €120.00 / $150.00
CD-ROM INCLUDED
Includes fully working versions of all the models discussed in the book!
MODELING RISK+DVD
Praise for Modeling Risk, Second Edition: “Unavoidable for any professional . . . logical, concrete, and conclusive approach.”—Jean Louis Vaysse, Vice
DVD Contains: ROV Risk Simulator and Real Options SLS trial software plus case studies, models, and training videos
Johnathan Mun
President of Marketing, Airbus
DVD INCLUDED
Contains associated Excel spreadsheet models.
“A must-have, must-read book with practical applications of risk analysis.”—Glenn Kautt, President and Chairman, The Monitor Group, Inc.
“Clear step-by-step approach . . . latest technology in decision making for real-world business.”—Paul W. Finnegan, VP, Alexion Pharmaceuticals, Inc. Divided into nine comprehensive parts, this book provides you with a modern view of evaluating business decisions, projects, and strategies and contains important updates that reflect today’s evolving environment. The second edition includes new case studies on market and credit risk, hands-on exercises, and more. Hardcover w/DVD 986 pp 2010 ISBN 978-0-470-59221-2 £85.00 / €100.00 / $125.00
Financial Modeling with Crystal Ball and Excel
Models to Maximize Returns and Control Risk in Excel and R
John Charnes
Philip J. McDonnell
“Think you really know financial modeling? This is a must-have for power Excel users . . . make more realistic models that result in fewer surprises. Every analyst needs this credibility booster.”—James Franklin, CEO,
“This book provides a cornucopia of practical techniques with readily accessible statistical backup for maximizing returns from systematic trading.”—Victor Niederhoffer, author, The Education of
Decisioneering, Inc.
a Speculator and Practical Speculation The tools you’ll need to develop distinct models!
SECOND EDITION
Johnathan Mun
Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization
Optimal Portfolio Modeling
CD-ROM INCLUDED
Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization
SECOND EDITION
SECOND EDITION
Chandan Sengupta
Risk Management
Modeling Risk
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
Hardcover w/CD-ROM 297 pp 2008 ISBN 978-0-470-11766-8 £57.50 / €68.00 / $85.00
ON THE WEB
Get custom edition spreadsheet models and a trial version of Crystal Ball 7 !
Paperback w/Website 290 pp 2007 ISBN 978-0-471-77972-8 £55.00 / €68.00 / $85.00
®
THE FRANK J. FABOZZI SERIES
Simulation and Optimization in Finance + Website Modeling with MATLAB, @Risk, or VBA
SIMULATION AND OPTIMIZATION IN FINANCE Modeling with MATLAB, @RISK, or VBA + W E B S I T E DESSISLAVA A. PACHAMANOVA, FRANK J. FABOZZI
Dessislava Pachamanova, Frank J. Fabozzi Clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software through a review of current simulation and optimization methodology.
ON THE WEB
Includes Web-based instructions for simulation modeling with @RISK, MATLAB, and Visual Basic for Applications and code for models from the book.
Hardcover w/Website 784 pp 2010 ISBN 978-0-470-37189-3 £85.00 / €100.00 / $125.00
THE FRANK J. FABOZZI SERIES
Probability and Statistics for Finance Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, Sergio M. Focardi
PROBABILITY and STATISTICS for
FINANCE
SVETLOZAR T. RACHEV • MARKUS HÖCHSTÖTTER FRANK J. FABOZZI • SERGIO M. FOCARDI
Finally! A book that will enhance your knowledge of financial modeling and analysis. Probability and Statistics for Finance outlines an array of topics while offering detailed discussions of descriptive statistics, basic probability theory, multivariate analysis, and more.
Hardcover 672 pp 2010 ISBN 978-0-470-40093-7 £65.00 / €76.00 / $95.00
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Risk Management
Managing Credit Risk The Great Challenge for Global Financial Markets SECOND EDITION
John B. Caouette, Edward I. Altman, Paul Narayanan, Robert W.J. Nimmo “Reflecting the major changes in the past decade through the use of synthetic securities, securitization, and the application of advanced quantitative tools. I know of no other book on the subject with as comprehensive a coverage of this fast-growing field.”—Sanjiv Das, Santa Clara Univ. Hardcover 628 pp 2008 ISBN 978-0-470-11872-6 £65.00 / €76.00 / $95.00
Credit Risk
Measurement In and Out of the Financial Crisis New Approaches to Value at Risk and Other Paradigms THIRD EDITION
Credit Risk Management In and Out of the Financial Crisis New Approaches to Value at Risk and Other Paradigms THIRD EDITION
Anthony Saunders, Linda Allen
Secure your company’s future, and manage credit risk exposure, with this newly revised edition of a classic. Gain a better understanding of the latest credit risk measurement and modeling techniques and the new rules and regulations destined to change everyday activity in the finance industry. ANTHONY SAUNDERS LINDA ALLEN
Hardcover 380 pp 2010 ISBN 978-0-470-47834-9 £65.00 / €76.00 / $95.00
Dynamic Hedging
Credit Derivatives
Managing Vanilla and Exotic Options
Trading, Investing, and Risk Management
Nassim Nicholas Taleb “A tour de force. That rare find, a book of great practical and theoretical value. Taleb successfully bridges the gap between the academic and the real world. Interesting, provocative, well written. Each chapter worth a fortune to any current or prospective derivatives trader.”—Victor Niederhoffer, Chairman, Niederhoffer Investments Hardcover 528 pp 1997 ISBN 978-0-471-15280-4 £75.00 / €88.00 / $110.00
Credit
derivatives Trading, Investing, and Risk Management SECOND EDITION
GEOFF CHAPLIN
CD-ROM INCLUDED
Contains tools for credit derivatives valuation and risk management.
Risk Management
FINANCIAL SERIES
The Swaps and Financial Derivatives Library T O M A S Z
THIRD EDITION REVISED
R
.
B I E L E C K I
D A M I A N O F R E D E R I C
B R I G O
SECOND EDITION
Geoff Chaplin Increase your knowledge of the credit derivatives industry with this practical resource. Fully revised and packed with real-world examples and replete with tools and techniques, it is an indispensable guide for anyone involved in credit derivatives valuation and risk management. Hardcover w/CD-ROM 408 pp 2009 ISBN 978-0-470-68644-7 £60.00 / €72.00 / $100.00
Credit Risk Frontiers Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
P A T R A S
Satyajit Das
Tomasz Bielecki
Advance your expertise with this impressive and indispensable tome to risk management. Comprehensive in scope, it covers everything from market risk methodologies to credit risk in derivative transactions to operational aspects of derivative trading as well as documentation and legal aspects.
Credit Risk Frontiers addresses important issues exposed by the financial crisis. It covers credit derivatives from a real-world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques.
Hardcover 1200 pp 2005 ISBN 978-0-470-82165-7 £85.00 / €97.80 / $140.00
Hardcover 624 pp 2011 ISBN 978-1-57660-358-1 £42.50 / €48.00 / $60.00
Derivatives
CREDIT RISK FRONTIERS S U B P R I M E A N D
C R I S I S
H E D G I N G
R A T I N GS
,
,
A N D
,
C VA
P R I C I N G
,
M B S
,
L I Q U I D I TY
THE FRANK J. FABOZZI SERIES
Markets, Valuation, and Risk Management
Svetlozar T. Rachev, Young Shim Kim, Michele L. Bianchi, Frank J. Fabozzi
Robert E. Whaley “The definitive work on derivatives . . . comprehensive treatment of the theory, practice, and institutional detail; excellent both as a learning tool and as a reference work.”—T. Eric Kilcollin, former president and CEO, Chicago Mercantile Exchange CD-ROM INCLUDED
Features OPTVAL™ Excel add-ins and spreadsheets!
10
Hardcover w/CD-ROM 930 pp 2006 ISBN 978-0-471-78632-0 £100.00 / €130.50 / $150.00
Financial Models with Levy Processes and Volatility Clustering
FINANCIAL MODELS WITH ´ PROCESSES LEVY AND VOLATILITY CLUSTERING
In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. SVETZOLAR T. RACHEV, YOUNG SHIM KIM, MICHELE LEONARDO BIANCHI, FRANK J. FABOZZI
Hardcover 400 pp 2011 ISBN 978-0-470-48235-3 £75.00 / €88.00 / $110.00
Pricing and Risk Management Robert Kolb, James A. Overdahl, Editors Unlock the vast potential for risk management and much more with this essential guide to financial derivatives. Financial Derivatives provides a broad overview of the different types of derivatives—futures, options, swaps, and structured products—while focusing on the principles that determine market prices.
Security Analysis and Business Valuation on
SECOND EDITION
Wall Street
+Website A Comprehensive Guide to Today’s Valuation Methods
Hardcover 600 pp 2010 ISBN 978-0-470-49910-8 £65.00 / €76.00 / $95.00
JEFFREY C. HOOKE ON THE WEB
Companion Website available!
Enterprise Risk Management
ENTERPRISE RISK MANAGEMENT
Today’s Leading Research and Best Practices for Tomorrow’s Executives
Risk Management
Financial Derivatives
Security Analysis and Business Valuation on Wall Street A Comprehensive Guide to Today’s Valuation Methods SECOND EDITION
Jeffrey C. Hooke “This book is more than a textbook for anyone who wants to make a living as a valuation expert or securities analyst—it is a living, breathing ‘how to’ guide on the latest methods, with plenty of real-life examples that hit home.”—Ron Everett, Managing Partner, Business Valuation Center
Learn essential concepts and techniques associated with the dynamic field of ERM. Filled with in-depth insights and expert advice, this John Fraser and Betty J. Simkins, reliable resource offers you comprehensive coverage and addresses the what, why, and how of accomplishing successful implementation.
Completely updated to reflect the latest methodologies—and featuring a companion Website containing valuation spreadsheets—this reliable resource represents the most comprehensive look at this discipline by someone who has actually worked as an investment banker, a private equity executive, and an international institutional investor. Examine how mutual funds, private equity funds, hedge funds, institutional money managers, investment banks, business appraisers, and corporate acquirers perform their craft of security analysis and business valuation in today’s highly charged economic environment.
Hardcover 600 pp 2010 ISBN 978-0-470-49908-5 £70.00 / €80.00 / $100.00
Hardcover w/Website 408 pp 2010 ISBN 978-0-470-27734-8 £65.00 / €76.00 / $95.00
Today’s Leading Research and Best Practices for Tomorrow’s Executives
John Fraser, Betty Simkins, Editors
Editors
KOLB SERIES IN FINANCE Essential Perspectives
Frontiers in Quantitative Finance Volatility and Credit Risk Modeling Rama Cont, Editor “A collection of financial engineering research gems. Through the Petit Déjeuner de la Finance, Rama Cont has gathered authors from established and emerging leaders in the field. Their work is on the leading edge of mathematical creativity, especially with respect to credit risk modeling. I highly recommend the book!”—Darrell Duffie, Stanford Univ. Hardcover 300 pp 2008 ISBN 978-0-470-29292-1 £50.00 / €60.00 / $75.00
FIXED-IN COME SECURITIES A N D D E R I VAT I V E S HA N DB OOK A N A LY S I S A N D VA L U AT I O N
Fixed-Income Securities and Derivatives Handbook Analysis and Valuation SECOND EDITION
Moorad Choudhry
MOORAD CHOUDHRY
Plot a course through the new regulatory twists and the ever-evolving derivatives market with this new and fully updated edition of Moorad Choudhry’s bestselling guide. Written in a straightforward and accessible style, the book gives you an ideal mix of practical tips and academic theory. SECOND EDITION
Hardcover 475 pp 2010 ISBN 978-1-57660-334-5 £65.00 / €76.00 / $95.00
Equity Valuation, Risk, and Investment A Practitioner’s Roadmap Peter C. Stimes “[Makes] an original contribution to the core of investment theory. With a combination of mathematical rigor, historical perspective, and clear exposition, Peter Stimes provides invaluable insights into valuation and portfolio construction.”—Martin Fridson, publisher, Leverage World Hardcover 304 pp 2008 ISBN 978-0-470-22640-7 £57.50 / €68.00 / $85.00
The Valuation Handbook The
Valuation Handbook
VA L UAT I O N T E C H N I Q U E S F RO M T O DAY ’ S T O P P R AC T I T I O N E R S
Rawley Thomas Benton E. Gup
Valuation Techniques from Today’s Top Practitioners Rawley Thomas, Benton E. Gup “Anybody who teaches or practices valuation should definitely consider this handbook because it includes a wide range of approaches to company and stock valuation, including interesting new models as well as new insights related to widely accepted models.”—Frank K. Reilly, professor, Univ. of Notre Dame
Hardcover 630 pp 2009 ISBN 978-0-470-38579-1 £57.50 / €68.00 / $85.00
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Risk Management
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