[Banking-pm] Ladybird book of Risk?

mike at wormers.net mike at wormers.net
Tue Dec 5 05:39:46 PST 2006



> Hmmm - my problem is that I need to understand the Risk on *EVERYTHING*.
> Limiting myself to just Treasury is not an option. Obviously I might
> benefit from understanding Treasury - but that is just one desk amng many
> for me :-(

See the other two books, between them, equity derivs, treasury & interest
rates you pretty much cover everything apart from Credit & Commodity.


>>  Interest Rates: 'Swaps and Other Derivatives' , Richard Flavell.
> Hmmm - I dont actually need to know how to price anything - or calculate
> risk sensitivities - but I do need to know what they are...
>

The book doesn't go into that much detail about pricing (though you have
to know something ) and does explain the risks across differen products
(which may not be universal across all products).

>
>>  (Google, Uri Ron , Bank of Canada has some good on-line papers for
>>  bootstrapping curves) e.g.
>>  ' A Practical Guide to Swap Curve Construction. '
>
>
>  Thanks!

I'd start with Nassim Taleb on equities , which should cover volatility
measures for equity derivatives. Uri Ron and Richard Flavell should cover
the interest rate side of things.




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