But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today.
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There is a better way. Allan Malz provides the road map that investors need to understand the risks they take with the investment decisions they make. Malz has a unique perspective: as an academic, a central banker, and a risk manager he has been there and done that.
His book should be required reading for investors and practitioners alike. Lowell Harriss Professor of Economics, Columbia University "It is almost cliche now to point out that the practice of risk management is as much art as it is science. For those new to the field, however, while there are excellent guides to the science and models of risk, there are none that connect the models to the markets, the economy, the banking system, and the history of all of these.
He brings a wealth of experience and insight to this work. The first chapter, which tackles the history of financial market innovation and risks, is a tour de force and may well be worth the price of the book itself. In clearly written chapters, Malz progresses from simple asset pricing theory to complex derivatives including credit derivatives and CDO tranches.
Institutional and historical description is rich and plentiful with a broad discussion of the financial crisis and new regulatory issues.
Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader.
His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management.
Financial Risk Management