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Contents

- Introduction
- Time-of-Flight
- Geometric-Based Techniques
- Interferometry ... Read more

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TABLE OF CONTENTS

Chapter 1:The Basics of Risk ManagementThis chapter introduces how banks work.It describes how they make money, how they often lose money, and how they try to manage their losses.It includes thirteen short case studies showing how banks have lost money.

Chapter 2: Risk Measurement at the Corporate Level: Economic Capital and RAROCChapter Two discusses the meaning of capital and how the risks that a bank faces are related to the amount of capital that the bank should hold.It then describes the two fundamental building blocks of integrated risk measurement: Economic Capital and Risk Adjusted Return on Capital (RAROC).

Chapter 3: Review of StatisticsChapter Three is useful for those readers who do not have a recent working knowledge of statistics.It reviews the statistical relationships that are commonly used in risk measurement and provides reference material for the rest of the book.Examples are provided using financial loss data.

MARKET RISK SECTION

Chapter 4: Background on Traded InstrumentsThis chapter gives an overview of the main types of traded instruments: bonds, equities and derivatives.It gives a qualitative description of the instrument, examples of calculating the instrument's value and the basic risk metrics such as duration and the Greeks.This chapter is useful for those readers who are new to the finance industry.

Chapter 5: Market Risk MeasurementThis chapter describes the most common ways to measure market risks: Sensitivity analysis, Stress testing, Scenario testing, Sharpe Ratio and Value at Risk.It gives detailed examples of using each of the metrics.

Chapter 6: The Three Common Approaches for Calculating Value at RiskValue at Risk (VaR) has become the standard approach for measuring market risk.This chapter is devoted to explaining the details of the three common approaches to calculating VaR: Parametric VaR, Historical VaR and Monte Carlo VaR.We work though increasingly complex examples and compare the strengths of each approach.(Note: many readers will be particularly interested in this chapter because the name VaR is well known and has a certain mystery)

Chapter 7: Value at Risk ContributionThe Value at Risk Contribution (VaRC) is a useful way of pinpointing the source of the portfolio's risk.VaRC can break down the risk by instrument, trading desk or market risk factor.Examples are given for several types of VaRC.

Chapter 8: Testing VaR Results to Ensure Proper Risk MeasurementThis chapter discusses the procedures required by regulators to backtest VaR calculators to check that their predictions of losses are consistent with market events.

Chapter 9: Calculating Capital for Market RiskVaR is used as the basis for calculating both Regulatory Capital and Economic Capital for Market Risks.In this chapter VaR also extended to measure the risk of Asset Management operations.

Chapter 10: Overcoming VaR LimitationsAlthough VaR is the best single metric for market risks, is has several limitations.The limitations and typical solutions are discussed in this chapter.

Chapter 11: The Management of Market Risk This chapter concludes the market risk section by describing how the results of risk measurement are used by management to identify the sources of risk.It also describes the process of setting VaR Limits.(Note: readers should be particularly interested in VaR Limits because it is difficult and an important element in controlling a bank's risk).

ASSET/LIABILITY MANGEMENT SECTION

Chapter 12: Introduction to Asset Liability ManagementAsset Liability Management (ALM) is primarily concerned with the interest rate and liquidity risks that are created when commercial banks take in short term deposits from customers and give out long term loans.This chapter describes how those risks arise and the risk characteristics of different types of deposits and loans.

Chapter 13: Measurement of Interest Rate Risk for ALMThis chapter discussed the primary techniques used to measure interest rate risk: Gap reports, Rate shift scenarios and Simulations

Chapter 14: Funding Liquidity Risk in ALMThe measurement of liquidity risk is broken into three groups: expected, unusual and crisis events.Measurement techniques are given for each group.

Chapter 15: Funds Transfer Pricing and the Management of ALM RisksA key use of asset/liability measurement is the calculation of the fair price at which funds should be lent from one department to another within a bank.This is one of the keys to integrated risk measurement and is a critical component in measuring risk-adjusted profitability and setting prices to customers.A typical balance sheet is used to illustrate how transfer pricing works in detail.

CREDIT RISK SECTION

Chapter 16: Introduction to Credit RiskThis chapter discusses the sources of credit risk and how measurement is used to manage the risks

Chapter 17: Types of Credit StructureFor readers who are unfamiliar with lending operations, we discuss the ways that credit exposures are structured in commercial and retail lending.It also describes the calculation of credit exposure for derivatives trading operations and gives an overview of credit derivatives.

Chapter 18: Risk Measurement for a Single FacilityThis chapter shows how the Expected Loss and Unexpected Loss for a loan can be calculated from the Probability of Default, Loss In the Event of Default, Exposure at Default and the Grade Migration Matrix.

Chapter 19: Estimating Parameter Values for Single FacilitiesOne of the main difficulties in credit risk measurement is the estimation of values for Probability of Default, Loss Given Default and Exposure at Default.This chapter discusses estimation techniques such as Discriminant Analysis and the Merton Model.It also gives parameter values that can be used as the basis for the reader's own models.The parameter values are used in examples to demonstrate how the credit risk calculations are used.

Chapter 20: Risk Measurement For A Credit Portfolio: Part OneTo estimate the overall risk for a portfolio many credit instruments, we must examine the correlation between losses.This chapter describes the Covariance Credit Portfolio Model and the different approaches available for estimating default correlations.It also describes how the correlations can be used to estimate the Unexpected Loss Contribution and the Economic Capital for a single facility within a portfolio.

Chapter 21: Risk Measurement For A Credit Portfolio: Part TwoThis chapter describes the four other widely used approaches for estimating the risk of credit portfolios: the actuarial model, the Merton-based simulation model, the macro economic default model and the macro economic cashflow model used for structured and project finance.It concludes with a section describing how the models can be combined in a unified framework to create an integrated simulation of all the bank's risks

Chapter 22: Risk Adjusted Performance and Pricing for LoansKnowing the economic capital for a loan, this chapter shows how to calculate the minimum price that should be charged to a loan customer.The analysis shows how to include multi-year effects such as grade migration.Illustrative examples are included.(Note: this chapter should be of interest to readers because loan pricing is another difficult and important subject that is rarely discussed in other books)

Chapter 23: Regulatory Capital for Credit RiskThe Basel Committee on Banking Supervision (often called the BIS) is planning fundamental changes to the way that banks must calculate the capital that they hold.The new calculations will be very similar to the calculations described in the rest of this book for economic capital.This chapter summarizes the history of the Capital Accords then compares the different approaches that the BIS will allow.It also gives a standard plan for implementing the new Accords.(Note: this should be of interest to readers because the shift to BIS measurement is of major importance, it will be difficult for most banks, and it must be completed by 2005)

OPERATING RISK SECTION

Chapter 24: Operating riskThe quantification of Operating Risks is on the frontier of the industry's understanding of risk measurement. The risk estimation approaches can be categorized as either qualitative, structural or actuarial.These approaches are described including Key Risk Indicators and the BIS approaches.

INTEGRATED RISK SECTION

Chapter 25: Inter-risk Diversification and Bank-Level RAROCThis chapter describes how all the models are linked to calculate Economic Capital and Risk Adjusted Profitability for the Bank as a whole.It concludes with of the steps normally required to implement the bank-wide measurement of Economic Capital and RAROC.pital and RAROC. ... Read more

Customer Reviews (12)

doing justice with the basics in market risk......
I agree, this is a very informative primer that does full justice with the basic (& some advanced ones too ) concepts in risk management. recommended as an excellent text book. market risk area from a basel-ii perspective has so far an inclination towards the VaR concept -this book starts at introducing traded instruments/ products and quickly takes the reader towards VaR approaches, VaR's contribution, calculation & then limitations.... liquidity management and interest rate risk for ALM concepts described by Christopher Marrison are enough for a practicing banker.

Excellent overview of bank risk management
I really can't say enough about this book.From the perspective of a banker who wants to understand the fundamentals it is comprehensive, well organized and presented in a style that makes understanding the materials easy (or as easy as can be expected given the topic).

I recently took a copy to an Fx class I presented to the central bank staff in Azerbaijan.They liked the book so much that I was forced (not literally - maybe 'encouraged' would be a better word) to leave my copy behind.I promptly ordered another on my return.

While there are certainly more advanced texts on this same topic, I have yet to see one that does a better job of communicating the core concepts.

Great job!

Nice Overview
It was a nice overview of some existing models but it lacked the drill down needed for the next step.I did not find that it allowed you to handle actual data.

Fantastic book
Moving from academia to the real world is made much smoother with this great text by Dr. Marrison.This book integrates interest rate, liquidity and credit risk with bank management perfectly.Anyone interested in gaining a strong economic background with a quantitative degree like myself will find this book extremely useful.

One of the Best Books for Risk Management
Marrison has written an outstanding book on risk management. What is attractive about the treatment is the fact that it covers all aspects of risk management for financial institutions. Lots of books focus only on "new" techniques (VaR, portfolio credit risk models) or only on "traditional" techniques (credit analysis, ALM). Marrison treats them all, and uses capital allocation as a unifying theme.

Two previous reviews that suggest Marrison is too basic or merely repeats other authors are, in my humble opinion, dishonest. Marrison is a sophisticated book for sophisticated readers who are new to risk management. This includes MBA students taking courses on the capital markets or risk management. It also includes professionals working in their first risk management position. Marrison did not invent VaR or ALM, but authors of other books did not invent these concepts either. An author's task is to describe established concepts in a manner that is accessible to and useful for his audience. In this respect, Marrison's book is a dramatic step forward. His choice of topics, organization and writing are superb.

One of those previous reviews recommended that you read books by certain other authors instead of Marrison. Of those books, the only one that Marrison competes with is Jorion's Value-at-Risk. Marrison is an order of magnitude better than that book. The other books cover unrelated topics or are more advanced treatises on specific topics. You might graduate to such books from Marrison, but they are not alternatives to Marrison.

Finally, you can't beat the price on this book. Marrison simultaneously offers a bargain AND one of the best books available on risk management. ... Read more

Product Description
In this valuable resource, authors Raaum and Morgan present original performance audit concepts and practice aids as well as those being applied in leading audit organizations. While the discussion is focused on performance audits in governmental environments, the content is applicable to auditing in any private sector organization or public sector agency.

Developed for the practitioner and trainer, Performance Auditing: A Measurement Approach, 2nd Edition, emphasizes the use of measurement and comparison in performance assessment. It provides auditors with practical guidance for conducting performance audits in accordance with the Government Auditing Standards. It also includes guidance for passing the Certified Government Auditing Professional (CGAP) exam.

This unique publication provides practical, in-depth guidance that applies to practitioners at every level and is perfect for use as a guide in planning performance audit assignments, doing fieldwork, and writing reports. The easy-to-follow structure of the individual chapters makes this book ready for use in a training course or as reference material. ... Read more

Product Description
Customer Equity can help management: · allocate marketing spending for long-term profitability, · understand the connection between budgets, metrics and financial performance, · provide a customer focused approach for measuring firm value, · improve the productivity of CRM platforms by providing frameworks, tools and metrics Customer Equity reviews current models, offers a typology, and examines the fundamental question of whether a customer equity orientation can put a firm in a competitive advantage to other firms. The authors review models that can increase customer equity by optimizing each of its drivers - customer acquisition, customer retention, and add-on selling. Customer Equity is important reading for marketing managers, marketing researchers, scholars and students. ... Read more

Product Description
Includes extensive information on I.E. and work measurement software. Focuses on the MTM material that has been refined for more than three decades. Provides accurate answers to all questions regarding MTM-1 found in the MTM Association for Standards and Research MTM-1 Examinations. Covers the minimum work measurement background essential to all who must understand and apply MTM-1. ... Read more

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Product Description
The measurement practice section illustrates the application of objective measurement methods to personality psychology, a sociological study of school environment, personnel management, pain research, motor performance, and curriculum development. It emphasizes practice over theory, showing how measurement practice contributes valuable perspectives on substantive theory. The measurement theory section describes the development of new measurement models that extend objective measurement into learning contexts, rank-ordered data, and multidimensional profiles composed of subtests. These are complemented by a study of the use of objective measurement to examine the construct validity of items, and an exploration of the impact of text anxiety and item order on measurements. The final section examines recent developments in mathematical programming techniques applied to test assembly, parameter estimation and generalizability theory. ... Read more

Product Description
A complete guide to measuring both current optical networks and those on the horizon. Teaches how to characterize all three basic components of a fiber optic communication system: the optical transmitter, fiber medium, and optical receiver. DLC: Optical communications - Testing. ... Read more

Customer Reviews (7)

Not for Physicists
The book covers alot of material, but often repeats itself in later chapters.

The index is dreadful - making it exceedingly difficult to find what you want in a hurry. I normally ended up using the contents and hoping for the best.

The book is written for engineers rather than Physicists, as it does little in the way of Physical justifcation for the principles it presents.

There is however, not other book {to my knowledge} that covers this material, thus making the book a worthwhile purchase.

Test and Measurement Bible
This books stands heads and shoulders above anything else written so far on the test and measurement of fiber optic systems and components. The other reviewers have given details about the books content, so I'll say why I liked the book.

Two main reasons: 1) The authors go into detail regarding how different instruments work from physical principles. Such an understanding is useful in understanding a device's (and measurement's) accuracy and validity.

2) The practical tips and explanations on how to make measurement alone make this an essential reference. This book neatly compliments theoretical books and papers by explaining how the typical measurements you may read about in a journal article are made and the underlying issues that contribute/take away from a measurement's efficacy/accuracy.

Some of my colleagues say that because this book was written by HP people and the examples shown involve HP instruments, this book loses some value. If so, this loss is miniscule.

Most photonic test instruments, HP or not, work on more or less the same principles. Whether or not you own HP instruments, you will find this book an invaluable reference.

Essential Test and Measurement Book
This text is essential for anyone who wishes to test or measure optical sub-components, components, systems, or devices. Dennis lays out the fundamentals of each measurement in an easy to understand format. This is especially useful because this field is growing tremendously and often utilizes people from other fields who lack familiarity with these measurements. This book provides as easy to understand tutorial for people who need to learn these techniques. If you can't measure what you have very well, you don't know what you sent to your customer; and if they can't measure what you sent them, they don't know what they have.

Best book on Fiber Optic Testing
I have known the test and measuring work performed by HP people since1989, specially the written work from Dr. Christian Hentschel (one of theauthors of the book) on lightwave standards and test procedures. Afterworking all these years in the fiber optic and optoelectronics field, Ihave found this precisious book, and I highly recommend it to every one whoneeds to work on fiber optic communications. For sure, this book will easlybe a first reference on the field.

Best Book For Everyone in Fiber Telecommunication
I am an engineer in fiber telecommunication. I found this book is the best one for everyone in fiber optics industry. Not just theory, it gives you lots of real view how they test in HP. If you want to read this book, logonHP websit as a reference. If you are in optical industry, email me. I wantto make more friends in this field. ... Read more

Product Description
Longitudinal research is a broad field in which substantial advances have been made over the past decade.Unlike many of the existing books that only address the analysis of information.The Handbook of Longitudinal Research covers design and measurement as well as the data analysis.

Designed for use by a wide-ranging audience, this Handbook not only includes perspective on the methodological and data analysis problems in longitudinal research but it also includes contributors' data sets that enable readers who lack sophisticated statistics skills to move from theories about longitudinal data into practice.

As the comprehensive reference, this Handbook has no direct competition as most books in this subject area are more narrowly specialized and are pitched at a high mathematical level.

*Contributors and subject areas are interdisciplinary to reach the broadest possible audience (i.e., psychology, epidemiology, and economics research fields)
*Summary material will be included for less sohisticated readers
*Extensive coverage is provided of traditional advanced topics ... Read more

Customer Reviews (3)

Not for the casually interested
This is book for other clinical scientists that has many inscrutable charts and visual displays of data within the text. There is very little in the way of inspirational conclusions. This is a good book for readers who have the fortitude to work their through.

Dynamics and History of Electro Magnetic Field (EMF) Discoveries

For those interested in EMF, and this should be just about everyone interested in the dynamics of life processes, this is the bible of electrodynamic theory and the history of EMF discoveries, the main original researchers (Harold S. Burr- 1889-1973,Dr. Leonard J. Ravitz, and F.S.C. Northrop- 1893-1992) and a in-depth catalog of EMF applications. "Life is organized around electricity" and this is the focus of the research and discoveries.

The studies showed that EMF affects all living entities with influences stretching all the way from Earth and into the far reaches of the solar system and with EMF detection devices, weather can be forecasted: earthquakes, hurricanes, rain, etc., andas accurately as animals can "feel" their approach along with detectable influences of the moon and sun and beyond; women's monthly cycles and ovulation; cancer detection; agricultural crops, esp., seeds can be analyzed for their vitality, etc.

These studies have influenced research in just about all disciplines: the EMF influence and it's importance cannot be understated. In their book, "The Secret Life of Plants", authors Peter Tompkins and Christopher Bird, used data from the original EMF studies and cited Ravitz's work.

The book is technical but approachable to those familiar with EMF studies. One won't loose anything by passing over some of the more dense language, the importance of EMF phenomenon is easily harvested and digestible.

Fascinating Theory
What a fascinating theory:that electrodynamic fields can indicate moods and other psychological characteristics.A most interesting application of this theory was for birth control:the data showed that, through non-instrusive methods, one can determine exact moments of ovulation.

Why hasn't anybody followed up on this theory?I'd love to see data developed by more recent experiments using the most modern equipment. ... Read more

Product Description
The control of individual quantum systems promises a new technology for the 21st century - quantum technology. This book is the first comprehensive treatment of modern quantum measurement and measurement-based quantum control, which are vital elements for realizing quantum technology. Readers are introduced to key experiments and technologies through dozens of recent experiments in cavity QED, quantum optics, mesoscopic electronics, and trapped particles several of which are analyzed in detail. Nearly 300 exercises help build understanding, and prepare readers for research in these exciting areas. This important book will interest graduate students and researchers in quantum information, quantum metrology, quantum control and related fields. Novel topics covered include adaptive measurement; realistic detector models; mesoscopic current detection; Markovian, state-based and optimal feedback; and applications to quantum information processing. ... Read more

Product Description
Fiber Optic Measurement Techniques is an indispensable collection of key optical measurement techniques essential for developing and characterizing today's photonic devices and fiber optic systems. The book gives comprehensive and systematic descriptions of various fiber optic measurement methods with the emphasis on the understanding of optoelectronic signal processing methodologies, helping the reader to weigh up the pros and cons of each technique and establish their suitability for the task at hand.

Carefully balancing descriptions of principle, operations and optoelectronic circuit implementation, this indispensable resource will enable the engineer to:

. Understand the implications of various measurement results and system performance qualifications
. Characterize modern optical systems and devices
. Select optical devices and subsystems in optical network design and implementation
. Design innovative instrumentations for fiber optic systems

This book brings together in one volume the fundamental principles with the latest techniques, making it a complete resource for the optical and communications engineer developing future optical devices and fiber optic systems.

"Optical fiber communication systems and networks constitute the core of the telecom infrastructure of the information society worldwide. Accurate knowledge of the properties of the contituent components, and of the performance of the subsystems and systems must be obtained in order to ensure reliable transmission, distribution, and delivery of information. This book is an authoritative and comprehensive treatment of fiber-optic measurement techniques, including not only fundamental principles and methodologies but also various instrumentations and practical implementations. It is an excellent up-to-date resource and reference for the academic and industrial researcher as well as the field engineer in manufacturing and network operations." - Dr. Tingye Li, AT&T Labs (retired)

Rongqing Hui received his PhD in Electrical Engineering from Politecnico di Torino, Italy in 1993. He is currently a tenured professor in the department of Electrical Engineering and Computer Science at the University of Kansas. He has published more than 90 refereed technical papers in the area of fiber-optic communications and holds 13 patents. Dr. Hui currently serves as an Associate Editor of IEEE Transactions on Communications.

Maurice O'Sullivan has worked for Nortel for a score of years, at first in the optical cable business, developing factory-tailored metrology for optical fiber, but, in the main, in the optical transmission business developing, modeling and verifying physical layer designs & performance of Nortel's line and highest rate transmission product including OC-192, MOR, MOR+, LH1600G, eDCO and eDC40G. He holds a Ph.D. in physics (high resolution spectroscopy) from the University of Toronto, is a Nortel Fellow and has been granted more than 30 patents.

* The only book to combine explanations of the basic principles with latest techniques to enable the engineer to develop photonic systems of the future
* Careful and systematic presentation of measurement methods to help engineers to choose the most appropriate for their application
* The latest methods covered, such as real-time optical monitoring and phase coded systems and subsystems, making this the most up-to-date guide to fiber optic measurement on the market ... Read more

Customer Reviews (1)

A must for an optical engineer
This book is an excellent reference in optical measurement.
Actually there are not so many books combining theory and practical needs in the filed. The first one of such a book was Fiber Optic test and Measurement written by Derickson
but updated.
It is intended to be used by a practising engineer or scientist. Theoratical details are given only as much as necessary.
... Read more

Product Description
Written in a conversational style for principals who are not statisticians, this book will help you use measurement and evaluation to propel your school towards educational excellence. ... Read more

Customer Reviews (2)

ABook On The Topic of Measurement Process
The book offersa lot of evidence that the process behaviour chart ( a.k.a. control chart ) is versatile and quite a useful statistical tool in understanding any processes especially measurement processes . It expose the other side of the issue of not meeting the requirements required by the "Big 3" on the allowable percentage of measurement error. This Book is a must to Buyand use as a cookbook and reference!

Student Review
This book was a big help for learning advanced statistics. The text on each topic is descriptive without being too longwinded. The examples given in the text apply to many different situations. I highly reccomend it as a statistics cookbook. ... Read more

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Natural Gas is becoming an increasingly important component of our world’s energy supply as more and more countries turn to natural gas as one of their main sources of energy. Along with it’s companion from Gulf Publishing Company, The Natural Gas Engineering Handbook, these two books form the basic library for any engineer working with natural gas today. ... Read more

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Customer Reviews (17)

One of the three first books you should buy about web analytics
It has been a couple of years since I read this book, but I'm sure most of it is still relevant. It's definitely one of the first books you should get if you're interested in web analytics. It's one of those books you can go back to and use as a reference when you need valuable input.

Standard desk copy for web analysts
I bought this copy and Web Analytics Demystified.This book repeats a lot of information in "demystified" plus it gives you coding tools to build your own metrics. More bang for the buck here.

Extremely useful
Companies are looking for more and more business intelligence from their Web sites, both to improve their marketing efforts and determine ROI. This is a good thing. This is an exemplary "how-to" guide for Web Analytics. Extremely useful.

A rare one-size-fits-all book!
Web Site Measurement Hacks is the best book in the Web Analytics field. The book explains introductory topics as well as the most advanced ones in a chronological natural way. Subjects like what is web analytics, how to choose a vendor, how the technology works, and how to implement a web analytics program in your company are covered extensively.

Besides being well written and almost encompassing, it presents also the point of view of several of the Web Analytics' experts and vendors. Many of the Hacks are co-authored by big names, such as:

* Bob Page (Yahoo!)
* Bryan Eisenberg (Future Now)
* Jim Sterne (Target Marketing!)
* Jim Novo (Drilling Down Project)
* Jim MacIntyre (Visual Sciences)
* Jason Burby (ZAAZ)
* Brett Hurt (Coremetrics)
* Xavier Casanova (Fireclick)
* Jeff Seacrist (WebTrends)
* Akin Arikan (Sane Solutions)
* Jay McCarthy (WebSideStory)
* John Marshall (Clicktracks)
* ... and many more!

The index is very helpful and you find subjects very easily. The book is well organized and I refer back to it every time I have doubts. It works for me as a Web Analytics' Encyclopedia.

easy to read
I think that the book is for differente people: programmers and marketers. But I found it quite interesting althought you have to select what hacks are appropriate for your job. ... Read more