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Risk and Liquidity.
This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the recent global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is th...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford :
OUP Oxford,
2014.
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| Colección: | Clarendon lectures in finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Acknowledgments; List of Figures; List of Tables; 1. Nature of Financial Risk; 2. Value-at-Risk and Capital; 2.1 Portfolio Choice under VaR Constraint; 2.2 Upward-Sloping Demand Reactions; 2.3 Notes on Further Reading; 3. Boom and Bust Driven by Value-at-Risk; 3.1 General Equilibrium with Value-at-Risk; 3.2 Pricing of Risk and Credit Supply; 3.3 Long-Short Strategy Hedge Fund; 3.4 Hedge Fund with VaR Constraint; 3.5 Endogenous Risk; 3.6 Notes on Further Reading; 4. Dynamic Hedging; 4.1 Portfolio Insurance; 4.2 Delta Hedging; 4.3 Stock Market Crash of 1987.
- 5. Asset-Liability Management5.1 Review of Basic Concepts; 5.2 Example of a Pension Fund; 5.3 Example of Ivy College; 5.4 Prices as Signals for Investment; 6. Financial System; 6.1 Accounting Framework; 6.2 Realized Allocations; 6.3 Market Value of Debt; 7. Lending Booms; 7.1 Credit Risk Model; 7.2 Value-at-Risk and Lending; 7.3 Credit Boom; 7.4 Global Imbalances; 7.5 Foreign Holding of US Debt Securities; 7.6 Related Literature; 8. Case of Northern Rock; 8.1 Background; 8.2 Securitization Process; 8.3 The Run on Northern Rock; 8.4 Reassessing the Run on Northern Rock.
- 8.5 Implications for Financial Regulation9. Securitization and the Financial System; 9.1 Accounting Framework Revisited; 9.2 Boom Scenario; 9.3 Bust Scenario; 9.4 Prescriptions; 9.5 Size of Banking Sector; 10. A Fresh Start; References; Index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; R; S; T; U; V; W; X; Y; Z.