Market Risk Analysis, Quantitative Methods in Finance 1st edition, Carol Alexander

This is the 'Elements of Style' for Quantitative Finance: compact, style-setting, purposeful, and designed for the new learner. This book shouldn't be necessary: it reviews basic material that is elsewhere covered by bookshelves (library wings?) full of larger texts on the same topics. Instead, what's amazing is that it can replace an entire bookshelf of larger texts; it is that well-crafted.

The *style* is unique and ought to become the standard against which finance texts are judged. Unlike most finance texts, it does not meander. It is written by a teacher for new learners. Clearly, the author has put great care into the choices. Also clearly, the editing is superb. Like Hering Cheng, I have read it cover to cover. Nary a page is wasted. As finance texts goes, I find it simply delicious in elegance and economy of presentation. Served like a fine dish by a master chef who sweated every detail in the kitchen. The recipe may be lasagna (been there, done that) but still...the best lasagna.

The details, for example. Keywords emphasized in italics. Carefully considered hierarchical organization (e.g., I.3.3.2. It takes time to do this right). Language precision; e.g., a footnote that distinguishes analytic from closed-form, discussion on arithmetic/geometric Brownian motion that often stumps new learners but is often ignored in texts.

The book is informed by actual teaching, as it seems to anticipate many new learning hurdles. It is the first finance text I've read where the reader is not led down any big, blind alleys. Finance texts love to occasionally abandon new learners with an abrupt, intimidating formula. Prof. Alexander cares more than that. Important ideas concepts have concrete, actionable, workable examples. From start to finish, the text supports self-study (except, maybe just maybe, the matrices/eigenvalues may ask for a bit of outside help).

Regarding the criticism for using Excel: they are silly. Excel is the only correct choice for the audience. It is the only common denominator. Otherwise, the only way to meet the audience with examples is to show every example in three or four software code version. This is not necessary for an introduction, excel is the economical choice. And, btw, unlike most finance texts, the Excel worksheets are prepared with care; e.g., the regression XLS has embedded screenshots of the necessary add-in menus. Let us celebrate the lost art of attention to detail.

In regard to topics, book contains:

* Basic calculus and linear algebra (some of the building blocks that are so necessary to understanding complex instruments). The book comfortably uses matrices to go beyond two-asset portfolio examples.
* Probability and distributions. A good selection of distributions. But please note, however, the four sampling distributions (normal, student's t, F and chi-square) that are essential in Gujarati (for the FRM candidate) are only briefly listed.
* The best introduction to extreme value theory (EVT) that I've read. I have many texts on EVT, but this is where I would point a new learner.
* Actionable review of maximum likelihood estimation (i.e., accessible examples)
* Linear regression is standard but, to distinguish itself again, the book includes prototypical examples of their application in finance (oh, this is why we do linear regression in finance!)
* Tight intro to numerical methods
* Intro to portfolio theory includes utility theory (refreshingly, with examples)

I can't wait to start Volume II!

I have studied this book cover-to-cover, and I dare to say it is the best book from which to learn or review the math foundations used in quantitative finance (financial econometrics and derivatives pricing). I only have a degree of bachelor of science in computer science, with two years of analysis-lite calculus courses plus a one-semester calculus-based probability class, from the University of Toronto back in 1999, and I was able to understand most of this book. I also have very limited amount of time to study (basically just one half hour each week day on BART ride).

For someone with a similar background and time constraint as mine, Professor Alexander succinctly presents the foundational concepts of differentiation, integration, matrix algebra, multivariate probability, statistical inference, numerical methods, and portfolio theory. I had been searching for and could not find another book that covers so much ground in a single volume. Books like Mathematics for Economists (which I also highly recommend) do cover some of the maths, but do so from the perspectives of economics, not finance. Furthermore, they do not cover probability and statistics.

Contrary to what some other reviewers say, I think the use of Excel in the book is one of its best features. The company where I work uses SAS, S-PLUS, R, Matlab and Gauss, so I do have access to these tools. However, not everyone, especially those who are not working at a financial company, is so fortunate. Even though R is open source, it would add another learning curve on top of what is already a formidable challenge. Excel can be considered as the lowest common denominator, and if an algorithm can be implemented in it, you can bet that it can be ported to any other tool. Professor Alexander's avoidance of VBA is also greatly appreciated, as it would just add another layer of unnecessary complexity.

The only thing I miss from this book is more proofs or pointers to where we can find them. Don't get me wrong, this book is both practical and mathematically rigorous, and contains proofs or derivations for many theorems. However, probably due to the lack of space, a number of theorems are stated but not proved. For example, I would love to see more substantiation on why the t distributions are used for inferences on means and why the F distributions are for variance (section I.3.3.8). The standard I use to measure the clarity and completeness (in terms of proving from first principles) of other math books is Calculus by Professor Michael Spivak and Mathematical Statistics for Economics and Business by Professor Ron Mittelhammer (both of which I highly recommend; I am only half-way through the latter though). Having said that, Professor Alexander's book is probably as complete as anyone can make it with so few pages.

There are a number of gems of distilled insight throughout the book that I have not found elsewhere, such as the difference in notations of price between discrete and continuous times (section I.1.4.1) and the difference between "estimation" and "calibration" of models (p. 201). Professor Alexander's quality of being a great teacher and mentor shines through these examples. I wish I could be her student at the ICMA. In a way, I already am.

In summary, I cannot recommend this book highly enough for anyone who is starting to venture into the world of quantitative finance. I have already bought the rest of the volumes (save for volume IV, which is still unpublished) in the series, and I truly look forward to learning from them.

Congratulations, Professor Alexander, for writing this outstanding text.

I'm a Maple and occasional Mathematica programmer. I found this book to be of limited use, in no small part because of its insistence on using Excel as the instruction coding language.

Who is the book meant for? People in finance who are quants and who have to code surely would want some language that permits intensive use. Sorry but Excel doesn't cut it. Fine for those who use spreadsheets. But the intensive math described in the book seems better suited for another language. Yes you can map 1 language into another (basically it's 1 Turing machine into another). But there's a good reason why different languages co-exist, some are better suited for a given task.

It's confusingly written, with dense manipulations whose purpose is often obscure. The pendantic pedagogy here is very tiresome, after going through several hundred pages of it.

And the book uses Excel to demo the equations?! For serious analysis, providing code examples in Matlab, Mathematica or Maple would have been more useful.

A better alternative to this text would be if you search for the Frank Fabozzi series. He has authored or edited a bunch of financial texts that are far easier and more lucid reads.

Product Details :
Hardcover: 320 pages
Publisher: Wiley; Volume I edition (May 27, 2008)
Language: English
ISBN-10: 0470998008
ISBN-13: 978-0470998007
Product Dimensions: 6.9 x 1 x 9.8 inches

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Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging 1st edition, Alexander Eydeland

The authors have written a very detailed, well structured text on the different models and developments in the power and fuel markets. It's a very complex, mathematical analysis of the different techniques being used, and the text may lose a number of readers in the overly rigorous formulations. For those involved in risk management, market modeling, or asset management, the book would be a good secondary or tertiary read after you've established a sound understanding of stochastic models and current hedging and pricing techniques in the marketplace. For the layman in the industry, the book will be far too heavy and not worth the read.

The management of risk in the context of energy or weather is quite different than in other contexts, due to the peculiarities of the data that occurs in energy prices. The high volatility of energy prices can range, as the authors of this book point out, between 50-100% for gas, to 100-500% for electricity. No doubt this kind of volatility, and other properties such as correlations and mean reversion, entails that some different mathematical strategies for modeling energy derivatives be devised. The authors give a good tour of some of these strategies, and anyone interested in energy derivatives will gain a lot of insight into their modeling when reading this book. Due to space constraints, only chapters 5 and 7, which this reviewer considered the most important of the book, will be reviewed here.

In chapter 5 the author presents techniques for energy modeling that go beyond the used of the convenience yield by using forward pricing techniques. The goal is to describe the dynamics of future contract prices that takes into account the correlations with other futures, and not on the price evolution of a single contract. Thus it is the `forward curve' that is relevant for obtaining a useable model for derivative cash flow. The HJM model is presented as one of these, with changes in the forward curve over a particular time interval represented as a linear combination of random perturbations. For energy markets, each perturbation is specified by a deterministic shape function multiplied by a Gaussian factor. The unobservability of the factors determining the forward curve evolution makes the use of historical data mandatory if the parameters are to be estimated. But lack of sufficient historical data and its nonstationarity complicate this estimation. The authors discuss the Schwartz-Smith multi-factor model as an example of a forward curve dynamics model and give some solutions. They then move on to a model that specifies the dynamics for only the contracts that are actually traded, which in the literature are called `market models.' The model they actually discuss is a multivariate geometric Brownian motion representation of the forward curve dynamics, where the volatility and drift functions are linear functions of the forward prices. The authors then derive the `discrete string models', where it is assumed that the number of factors is equal to the number of contracts, and the random factors are governed by ordinary Brownian motion. String models are represented as having the advantage of being able to directly observe the factors in the historical data. The authors apply string models to multi-commodity cases, and discuss an example for monthly forward prices. They show how to match the current forward curve, the option prices, and the correlation structure for this model.

The discussion in chapter 7 revolves around finding better models for the dynamics of power prices that capture the special properties of energy prices, such as mean reversion and seasonality, and the need for stable models. They therefore introduce `hybrid models', which they claim give a more natural representation of the dynamics of power prices, make use of nonprice forward-looking information, and can take the historical data on power prices and then extend it to information on fuel prices, outages, etc. The construction of these models is based on the use of nonlinear transformations on a collection of random variables. The random variables are essentially the system demand, natural gas and oil price, outages, emission prices, and weather at a particular time. The power price then can be written as a function of the dynamics of these factors, the latter written by the authors in terms of the corresponding tradables. Recognizing that hedging cannot be done on some of these factors, they adjust the power price formula so that the power tradables, i.e. the forwards and option prices, are exactly matched. This matching transformation is chosen so that if the forward contracts and options are priced using the adjusted formula, one recovers the exact current prices. The model, as the authors summarize it, is an attempt to explain the behavior of the tradables in terms of the evolution of the underlying factors and static adjustments to the terminal probability distribution. Historical information on the tradables and spot products is not used to calibrate the model, but it is used to validate the model. The authors distinguish between `reduced-form' hybrid models, where the transformation is calibrated from the historical prices, and `fundamental' hybrid models, where the transformation is calibrated from the market structure and is only tested on the historical prices. The authors discuss an example of a reduced-form hybrid model that is heavily parametrized, but has the advantage of using price data more efficiently. The rest of the chapter concentrates on fundamental hybrid models, with the author first discussing how power prices are formed in competitive markets. They consider a typical pool market, with the price determined via auction mechanisms. The authors then try to identify and characterize the underlying random variables that actually affect power prices. The time series for the price of power is written in terms of the demand using a `bid stack' function. The bid stack function is approximated by a `generation stack' that is found for a given time by sorting generation units by their generation costs. This approximation is checked by comparing the marginal generation costs generated by the generation stack with the distribution of power prices determined by the time series via the bid stack. There should be agreement in both approaches between the higher order moments. This comparison forms the basis of the authors' hybrid approach to modeling power prices. A transformation is found which relates the marginal generation costs to the distribution of power prices with the requirement that the prices of market instruments used for calibration are matched, and the higher moments are (approximately) preserved. The transformation is not unique, and in fact a family of transformations induced by the multiplication and stack scaling operators can be found.

Until now there were a handful of papers, precious few books, and mostly inside proprietary models and experience that dealt with the complex subject of power trading and all its flavors. This book provides a nice summary of many of the present issues. The treatment of the subject is somewhat mathematically rigorous, so the book might not be for traders as much as it is for quants or risk managers.

To me, the greatest strength of the book lies in its fairly detailed analysis of what DOESN'T work, i.e. why common models and methods from the financial and other commodity realms can not be successfully grafted onto the energy market without risking significant valuation and cash flow prediction errors. The hybrid model they formulate towards the end of the book is very similar to Skantze and Ilic (2001). The departure from most previous models is that they attempt to use the markets to formulate and calibrate the structure instead of relying too much on past historical price/load data, which without some empirical understanding of the underlying processes, is fraught with danger due to rapidly evolving nature of the power market (or at least once rapidly evolving--it seems to be a little static at the moment).

Some familiarity with the market and stochastic/statistical mathematics is assumed. References to specific topics and more in depth analysis of particular subjects are good. The authors have a grip on real-world trading, risk, and cashflow issues, which makes this a useful reference for just about anyone associated with those aspects of the power market. I recommend it.

Product Details :
Hardcover: 504 pages
Publisher: Wiley; 1 edition (December 30, 2002)
Language: English
ISBN-10: 0471104000
ISBN-13: 978-0471104001
Product Dimensions: 6.4 x 1.5 x 9.4 inches

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Stochastic Calculus and Financial Applications, Stochastic Modelling and Applied Probability, 1st edition, J. Michael Steele

MATHEMATICAL REVIEWS "…on the whole, the results are presented carefully and thoroughly, and I expect that readers will find that this combination of a careful development of stochastic calculus with many details and examples is very useful and will enable them to apply the whole theory confidently." SHORT BOOK REVIEWS "This is a world of 'lovely exercises' that are 'very good good for the soul', 'honest martingales', 'bedrock approximations', portfolios that are 'born to lose', 'intuitive but bogus arguments', and 'embarrassingly crude insights'. In short, this is a book on stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for intuition.The main results are reinforced with simple special cases, and only when the intuitive foundations are laid does the auhtor resort to the formalism of probability. The coverage is limited to the essentials but nevertheless includes topics that will catch the eye of experts (such as the wavelet construction of Brownian motion). This is one of the most interesting and easiest reads in the discipline; a gem of a book." JOURNAL OF THE AMERICAN STOCHASTIC ASSOCIATION "The book is indeed well written, with many insightful comments. I certainly would recommend it to students wishing to learn stochastic calculus and its applications to the Black-Sholes option-pricing theory…I thoroughly enjoyed reading this book. The author is to be complimented for his efforts in providing many useful insights behind the various theories. It is a superb introduction to stochastic calculus and Brownian motion…An interesting feature in this book is its coverage of partial differential equations." "It is clear that this is a fairly comprehensive introduction to the tools of (classical) mathematical finance. … the text has much to offer. … In addition, the writing style is refreshingly informal and makes a book about a rather technical subject surprisingly enjoyable to read. In short, despite the recent deluge of textbooks in this area, I know of no better book for self-study." (Christian Kleiber, Statistical Papers, Vol. 46 (2), 2005) "Steele’s book is a sophisticated introduction to stochastic calculus with applications from basic Black-Scholes theory. … I highly recommend the book. His style is wonderful, and concepts really build on one another. … it offers one of the most elegant treatments of the subject that I know of." (www.riskbook.com, May, 2006) "As is clear from the title of this book, it is concerned with applications of stochastic calculus to finance. … one naturally judges the book by three criteria: topic selection, organization, and exposition. In all three domains the book succeeds. The topics selected are rich enough … he or she will benefit from the book. … there are innovations as well … from the pedagogic standpoint." (Philip Protter, SIAM Review, Vol. 43 (4), 2001) "This book offers rich information and a mathematically honest treatment of stochastic calculus and of its use in the theory of finance … . The author gradually builds the reader’s ability to grasp stochastic concepts and techniques … . the author’s presentation of stochastic models in finance and economy is precise and extensive … . Each chapter is accompanied by a collection of rather challenging exercises … ." (EMS Newsletter, December, 2002) "The present book ‘is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance’. … the textbook … retains a lovely lecture style focusing basic ideas and not formalities and technical details of stochastic processes needed for finance. I can strongly recommend this book to students of mathematics and physics as well as non-experts in probability theory who are interested in stochastic finance." (H. –J. Girlich, Zeitschrift für Analysis und ihre Anwendungen, Vol. 21 (4), 2002) "The last few years have been a fertile period for books on stochastic calculus and its financial implications, but this one differs from the many mainstream treatments … . The style of the book creates the atmosphere of a lively lecture … . Each chapter ends with a section of carefully chosen exercises, preceded by some motivating remarks. … I really liked the book." (R. Grübel, Statistics & Decisions, Vol. 20 (4), 2002) "This book gives an introduction to stochastic calculus … with applications in mathematical finance. … As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book. … on the whole, the results are presented carefully and thoroughly … ." (Martin Schweizer, Zentralblatt MATH, Vol. 962, 2001) "This is a book on stochastic calculus of a different flavour. Intuition is not sacrificed for rigour nor rigour for intuition. The main results are reinforced with simple special cases … . This is one of the most interesting and easiest reads in the discipline; a gem of a book." (D. L. McLeish, Short Book Reviews, Vol. 21 (1), 2001)

Product Details :
Paperback: 312 pages
Publisher: Springer (December 1, 2010)
Language: English
ISBN-10: 1441928626
ISBN-13: 978-1441928627
Product Dimensions: 6.1 x 0.6 x 9.2 inches

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Brownian Motion Calculus 1st edition, Ubbo F. Wiersema

"Wiersema has written a splendid book … focusing on the core elements of the theory in a simplistic and operational manner. The reader is gently invited into the world of Ito integration and differentiation, where the material is carefully selected to highlight how the calculus functions rather than going into all theoretical details. The author provides many examples with relevance for financial applications, and each chapter ends with a good choice of exercises. The book is unique in its concise and inspiring style. This introduction to Brownian motion calculus is powerful, and highly recommended."
–Professor Fred Espen Benth, Centre of Mathematics for Applications, Department of Mathematics, University of Oslo

"Stochastic calculus fundamentals are covered with a high level of clarity in a consistent step-by-step manner. The book has the right blend of theory and practical applications allowing to develop a thorough understanding of the subject and to build a solid foundation for the future hands-on work."
–Michael Zaidel, Senior Analyst – Quantitative Analytics, Toronto Dominion Bank Financial Group

"The clear and open explanation of concepts combined with the many useful examples make this an invaluable reference both for students and professionals who need to gain an intuitive grasp and solid understanding of this vital subject. Wiersema's approachable style is sure to become a favourite amongst practitioners as it has amongst his students."
–Andrew Scourse, structured finance professional in a global bank

"Ubbo's book is an extremely clearly written introduction to the important topic of applied stochastic calculus. In particular, it contains many illustrative worked-out examples and applications. This is a very well-balanced and structured guided-tour through the subject, where every step is carefully motivated and explained. Students will love this book!"
–Thorsten Rheinlander, Reader, London School of Economics

This is an awesome book!

It follows a non-rigorous (non measure-theoretic) approach to brownian motion/SDEs, similar in that respect to the traditional calculus textbook approach. The author provides plenty of intuition behind results, plenty of drills and generally solves problems without jumping any intermediate step.

I have read most books of the kind and this one is clearly the best. It is suitable for undergraduate education, namely in engineering and in finance. It may be a bit on the light side for maths undergrads, although could be used for a light intro to these topics.

This is really the best introduction book on the subject matter I have ever read. If you are not a current student in shool or newly graduate with math training, or a math teacher, but have some general college math training then this book is the best introduction for you on this subject. Although I had read some basic abstract math starting with the set theory long time ago, it took me too much time to proceed in reading standard intro math to financial engineering. Thanks to the author's introduction, when I come back to those FE math it feels SO easy now.

i have some familiarity regarding brownian motion. Many stochastic calculus books go into deep mathematical reasoning. I really enjoyed the authors approach to the problem. This is clearly the way one should start into the subject prior to starting an MFE program. Then after reading the book, one can read the book by sean dineen etc or other stochastic calculus books which go into more rigorous detail. This book must not be missed by any chance. It will give you an edge in MFE programs knowing this material. He has written this book in the same style as many calculus books which is very helpful. Once you master this book, you can go into a move proof based subject matter.

This book is a very clear, comprehensive introduction to stochastic calculus. It is long on intuition and is particularly useful for practitioners who need to apply these concepts. Very strong in its structure, this book provides derivations, examples, exercises and a very helpful set of appendices. If only all financial engineering books were written this well!

Presentation of concepts are exceptionally clear. Explanations on nice but important points are never missed out.
The flow of the contents of the book are very well structured. The level is just right for first beginners to learn the
subject .The solutions of the exercises at the back of the book are invaluable and particularly helpful to self-study.
All in all ,this is a book which I have hoped to have for years ,having given me the momentum to study the subject ,hopefully to complete reading it seriously from start and finish ! A book highly recommended for undergraduates who
first study Brownian Motion calculus.

Product Details :
Paperback: 330 pages
Publisher: Wiley; 1 edition (December 8, 2008)
Language: English
ISBN-10: 0470021705
ISBN-13: 978-0470021705
Product Dimensions: 6.2 x 0.8 x 8.8 inches

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The Zone of Insolvency: How Nonprofits Avoid Hidden Liabilities & Build Financial Strength, 1st edition, Ron Mattocks

Recently, the CNBC "American Greed" TV series launched with a memorable episode that wounded and embarrassed nonprofits (Harvard, Penn State, and dozens of evangelical ministries) a decade ago. "The Con Man" was John Bennett. CNBC reported, "Some said he was a visionary and a godsend. His New Era Philanthropy foundation doled out $100 million nationwide. Was it too good to be true?"

Yes. Could it have been avoided? Maybe. Will it happen again? It's not likely if you follow the well-researched and documented counsel in Ron Mattock's new book. "The Zone of Insolvency," writes Mattocks, "is a period of corporate financial distress, sandwiched between solvency and total insolvency."

Mattocks puts a spotlight on the alarming number--up to 450,000--of nonprofits that are operating under financial distress, the Zone of Insolvency, and how the courts have expanded board member legal responsibilities and liabilities in these cases. It's fascinating and scary reading. He gives key lessons from the success and failure stories of 10 organizations, including: United Way of America, New Era Philanthropy, Baptist Foundation of Arizona, American Red Cross, and others. The book is organized into four parts: perspective, naming the disease, symptoms and the cure.

You'll get hooked reading the first 10 chapters (10 nonprofits in trouble) and you'll be comforted with his practical suggestions for executives and board members. He includes sample board policies for avoiding or escaping the Zone of Insolvency--and every chapter concludes with "Five Great Questions for Your Next Board Meeting."

The author says every board must ask itself, "Do we exercise a healthy dose of skepticism in carrying out our fiduciary responsibilities?" And how about this one: "If we decided today to close this organization, would we complete the close-down with net assets remaining, or net liability?"

This important book expands on the themes in my Board Bucket and Budget Bucket, two of the 20 buckets in my book, Mastering The Management Buckets: 20 Critical Competencies for Leading Your Business or Non-profit. Caution! Some board members may get cold feet and resign from your board after reading The Zone of Insolvency. That's not necessarily a bad thing.


The book is logically laid out and well indexed. The author sets the scene by briefly taking the reader through case studies of ten non-profit organizations who dealt with challenges to the solvency of the enterprise. He identifies the responsibilities of each organization's board of directors and how each either fell short or rose to the occasion.

Each chapter is presented in a bite size format, coming quickly to the main teaching point and facilitating a quick return to any portion for further thought and future reference. A check list is provided at the close of the chapter to drive home the key points and enable their customization and/or application to your particular area of responsibility.

After a thorough portrayal of the various pitfalls a non-profit can and frequently does face, the final section presents various cure scenarios covering the analysis and assessment of a non-profit structure. These include a discussion of courses of action that will, first, prevent/avoid failure (insolvency); second, enable the honest assessment of the situation to recognize that failure (bankruptcy) is possible or even probable and third, in the worst case, guide the dissolution of the organization with no further or minimal damage to its distributed assets.

This is a very valuable work that can serve as an excellent textbook and discussion guide in both academic and business seminar environments and as a desk-side reference for all who serve in any oversight capacity for a non-profit enterprise.

This is an excellent book on what the tip offs are for a non-profit that is looking like it might go belly up. After working for several non-profits as a board member, I wish I had had this in hand before some of the board meetings, as I would have had a much better way of relating what I saw to those who were so mission-oriented that they refused to see what they should have seen in the business end of a non-profit.

The book takes you through several non-profit horror stories and bad dream situations to give you a feel for how bad it can get, and what they board members may have to face. It details several bad deals, scandals, and non-profits working through difficulties to give you a flavor of what can happen. While I would have liked it to be a bit more definitive about what certain things were about, and when things will have to be dealt with, it is certainly a revelation about how mismanaged non-profits can be, and what it may take to right the ship. It also deals with the event that all 'true believer's' dread, when to close the curtain.

While a bit short on details at some junctures, it nevertheless details the hazards, and what good board members need to be aware of to prevent themselves and their organizations from falling into the Zone of Insolvency, which can become a personal liability issue as well.

What sucks is AMAZON sending me notices every 6 hours to do another review of this book!

Product Details :
Hardcover: 240 pages
Publisher: Wiley; 1 edition (April 11, 2008)
Language: English
ISBN-10: 0470245816
ISBN-13: 978-0470245811
Product Dimensions: 6.3 x 0.9 x 9.2 inches

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Accounting and Finance Policies and Procedures 1st edition, Rose Hightower

"The author provides an excellent framework for organizations to use in establishing and updating policies and procedures. This book is an excellent resource that auditors can use to steer management to as an example of a structured approach to policy and procedure development." (Auditnet.org, June 2008)

Policies and procedures represent the foundation of internal controls for organizations. It is important they be clearly written, current, and comprehensive. The author provides an excellent framework for organizations to use in establishing and updating policies and procedures. The book begins with a chapter on how to use the book. The book is structured as a final product that is supported by a Web site containing all the sample documents in Microsoft Word format. Rose explains the steps before getting started, followed by getting started with the program, developing the table of contents and a self assessment exercise. The rest of the book is devoted to sample policies and procedures. There is a continuity of structure for each document which details the scope, the policy, control/areas of responsibility, and contact and exhibit if necessary. Internal auditors are sometimes in a position where they recommend that management update policies and procedures or create them where none exist. This book is an excellent resource that auditors can use to steer management to as an example of a structured approach to policy and procedure development.

The book seems to be well laid out and covers a broad amount of information. It is relevant for business with focus around accounting and controllership to support governance and good business practices. The book does not specifically focus on non-profit organizations but the principles and content is there to assist.

Indicators that the time is right for a Policy and Procedure program
* Are you within the 99% of companies which have ineffective controls over financial reporting due to a "lack" within Accounting and Finance documentation, policies and procedures?
* Does your documentation reside within many server repositories and not easily accessible by employees?
* Do different areas use the same term or acronym to mean different things?
* Does your company work cross functionally, not in silos and as a team?
* Does the documentation undergo a review and approval cycle?
* Are policies and procedures linked to internal controls and audit checklists?

It is time for a documentation strategy refresh when there is a need for:
* A clear hierarchy of documents with...
o Policy setting the rules and principles setting the tone from the top
o Procedure classifying work phases linked to policies
o Work Instructions identifying step by step details linked to procedures
* Document ownership of the content and accountability for deployment
* Standardized templates, and process which ensures cross functional content review and approval
* A focused Program Manager to coordinate and manage the strategy, content and program

Product Details :
Paperback: 336 pages
Publisher: Wiley; 1 edition (April 9, 2008)
Language: English
ISBN-10: 0470259620
ISBN-13: 978-0470259627
Product Dimensions: 8.5 x 0.7 x 10.8 inches

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Market Risk Analysis, Practical Financial Econometrics 2nd edition, Carol Alexander

Consistent with the title, the second volume in Ms. Alexander's series covers common and practical econometric models. This is a great desk reference when you are out of practice or like in my case moving from a more segmented line of business back to a broader portfolio. I have the entire series of four and I refer to this volume and the fourth volume (VaR) quite frequently. While I still have a copy of Baltagi on my desk, Alexander's book truly is more practical because the examples are contemporary.

practical financial econometrics is a very useful book for all connected with the field of finance.

It is a real treasure. The description in the book is very practical. It successfully addresses and accommodates the issues that researcher encounters.

The efforts of the author for crafting such a master piece is highly appreciable.The book offers much more via discussion forum as well. It is really wonderful and creative idea to remain connected with the world's greatest authority in the field of risk management through the websites. I think these website have been adding the life in the book and make it an alive entity.

Like her previous book "Market Models", this book is very well written, clearly explained, and very complete. I like her style of writing because it's precise, intuitive, and goes straight to the point. Carol Alexander is a seasoned professional, and that is certainly reflected in this book. I like it a lot and recommend it highly.

This book is a "must have" for financial analysts. Carol Alexander is one of the best technical finance writers around, and has the ability to convey complex concepts in a way that practitioners can understand.

I particularly like the chapters on GARCH and copulas. She includes loads of examples that bring the subject matter to life.

Carol writes both cogently and accessibly on financial mathematics here, covering a very broad area of topics in an easily intelligible manner - a welcome break from some of the drier mathematical texts. It definitely merits space on your desk if you're a practitioner or student - however small your desk is!

Just one hint, from somebody who learned a lot from Carol - if somebody with her experience decides to invest 5 years in sharing their understanding of the world of finance, I wouldn't miss the chance to read it! The scope of the book is unparalleled, and it doesn't come at the expense of thoroughness and clarity. And what you wouldn't get from four other books on those topics, is a unified, consolidated, approach to analysing and understanding areas which traditionally have been seen in isolation. I don't need to mention what difference it makes in practice, once you have the details, to be able to take one step back and see the bigger picture.

Professor Alexander has continued the excellent benchmark standard she first set with "Market Models" some years ago with this comprehensive 4-volume set, which should be on the desk of every investment banker and structured finance practitioner. One expects a thorough grounding in the subject with her books, this volume carries on the tradition but also blends in the theory with implementation. It also covers latest developments in structured credit...as someone who has structured and closed CDO, RMBS, N-PL ABS and ABCP deals myself (both cash and synthetic) I found the treatment of credit to be very worthwhile and high quality, well worth getting for that part of the volume alone. The placing of all related topics into one handsome set is also useful, as all material is gathered in one place.

It is always gratifying to see someone who set high standards with his/her first book surpass them with later works...with this volume, Professor Alexander has written (for now!) the last word in financial market risk management. Highly recommended to practitioners and graduate students alike.

Alexander's style is well-suited to this vast topic, where she efficiently distills the material down to the fundamentals before giving various examples. To paraphrase Einstein, Alexander makes it "as simple as possible, but no simpler". Both as a student and now as a financial practitioner I appreciate when books don't waste my time.

This volume covers many topics in common with other texts - equity factor models and GARCH for example - but this is the best treatment I've seen, and Alexander's wealth of experience shines in the sections on forecasting and model evaluation. The accompanying CD opens up an additional level of interaction if you're willing to sit at your computer while studying, but the manageable format makes each of the four volumes of "Market Risk Analysis" quite portable. All four books are exceptionally well indexed and divided into meaningful sections for either study or reference, the notation is clear and consistent, the diagrams helpful and the worked examples are clear without being verbose.

I would recommend that anyone with a specific application in mind buy at least the first volume, which establishes the foundation maths and notation, along with one or more of the latter volumes. Students, or anyone interested in covering additional ground, will benefit from the whole set as one of the definitive reference works in this fascinating but rapidly evolving field.

We certainly need more accurate financial analysis. The recent bad news in the US financial markets is in part due to the inaccuracies in existing financial models that were used by Wall Street firms to value complex financial instruments.

The book explains many of these instruments. Especially the derivative securities like CDOs, where underlying primary products like mortgages were aggregated and the resultant cash flows then divvied up into multiple tranches. Each tranche having different yield and risk. So if you want to get beyond the headlines, the text gives an education into what all this means.

But with the benefit of a little hindsight, look carefully at how the book describes the risk models that were used to "understand" the instruments. In the real world, the assumptions of several failed and are failing dramatically.

Product Details :
Hardcover: 426 pages
Publisher: Wiley; Volume II edition (May 27, 2008)
Language: English
ISBN-10: 0470998016
ISBN-13: 978-0470998014
Product Dimensions: 6.9 x 1.2 x 9.9 inches

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