BOOK REVIEWS
“[Krugman]
THIS ISSUE’S TOP RECOMMENDATION
shows the main
THE RETURN OF DEPRESSION
driver of the
ECONOMICS AND THE CRISIS OF 2008
– PAUL KRUGMAN
current crisis to
Krugman won the 2008 Nobel Prize in
Economic Sciences and is a professor of
be the unfettered
economics and international affairs at
Princeton University. The fi rst edition of this
emergence of the
book was written in 1999 with an emphasis
on the economic crises of Mexico and Asia.
shadow banking
The title is a little misleading: the basis of this
edition is an excellent series of vignettes on
system and the
international crises of recent decades. He
shows the main driver of the current crisis to
failure to
be the unfettered emergence of the shadow
banking system and the failure to regulate its
activities. While Krugman’s policy views will
regulate its not resonate with every reader, this should not
detract from a book remarkable in that it
activities”
covers so much ground in such a concise and
informal fashion.
THE TWO TRILLION DOLLAR MELTDOWN: VALUE AT RISK MODELS – CAROL ALEXANDER
EASY MONEY, HIGH ROLLERS AND THE GREAT The financial crisis has damaged the reputation of Value at
CREDIT CRASH – CHARLES R MORRIS Risk (VaR) models. Much of this though is due to excessive
Former banker and reliance on statistics and a lack of appreciation of the
economic historian business models to which they have been applied.
Charles Morris’ Alexander, professor of risk management at the ICMA
latest book provides Centre, University of Reading, has written a four-part
a more US focused series on Market Risk Analysis of which this is the final
appraisal of the volume. The book covers various VaR methodologies
crisis aimed at a across a range of asset classes and in the chapters on stress
wider audience than testing and capital
other books on this allocation there is
topic. Along with a reference to current
lucid chronology of regulatory guidelines,
the evolution of including changes
credit instruments recommended by the
there is a sobering Basel Committee
discussion of how following the credit
US indebtedness crunch. The book works
has developed in well as a standalone text
tandem with the and is highly
emergence of recommended to
sovereign wealth funds, and the obvious political professionals involved in
concerns this trend raises. His proposal for how to market risk. The writing
effectively re-regulate fi nance tackles the failure of the style is congenial and
Basel II system of Value at Risk model, to cope with the accompanying DVD
embedded balance sheet leverage and the need for provides more than 60
banking activities to be better segregated and, of interactive and helpful
course, monitored. examples in Excel.
WWW.CFAUK.ORG PROFESSIONAL INVESTOR 57
56-5756-57 book reviews.indd 57book reviews.indd 57 1/6/091/6/09 12:13:0512:13:05Professional Investor Summer 09.59 59 4/6/09 15:41:07
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