Hedging Market Exposures : Identifying and Managing Market Risks.

"Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hed...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Haughey, Brian (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Wiley 2011.
Colección:Wiley finance series.
Temas:
Portfolio management.
Risk management.
Hedging (Finance)
Risk Management
Gestion de portefeuille.
Gestion du risque.
Couverture (Finances)
risk management.
BUSINESS & ECONOMICS > Finance.
Electronic resource.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Hedging Market Exposures
  • Contents
  • Preface
  • Introduction
  • About the Authors
  • CHAPTER 1 The Economic Environment
  • 1.1 Introduction
  • 1.2 Inflation and Unemployment
  • 1.3 Central Banks and the Money Supply
  • 1.4 The Business Cycle
  • 1.5 Predicting the Future?
  • 1.6 Economic Indicators
  • CHAPTER 2 Risk: An Introduction
  • 2.1 What Is Risk?
  • 2.2 Risks of Financial Instruments
  • 2.3 Operational Risk
  • 2.4 What Risks Are in Your Portfolio? Hidden Hazards
  • 2.5 Hedging Market Risks
  • CHAPTER 3 Asset Modeling
  • 3.1 Asset Value
  • 3.2 Financial Models
  • 3.3 Valuation Principles
  • 3.4 Discount Rates Selection
  • 3.5 Cash Flow Projection and Asset Valuation
  • 3.6 Stochastic Asset Valuation
  • 3.7 The Monte Carlo Method
  • 3.8 Stochastic Extrapolation
  • CHAPTER 4 Market Exposures and Factor Sensitivities
  • 4.1 From Valuation to Responses and Sensitivities
  • 4.2 Response Matrix and Scenario Grid
  • 4.3 Stress-Testing
  • 4.4 Sensitivities
  • 4.5 Interest Rate Sensitivities: Duration, PV01, Convexity, Key Rate Measures
  • 4.6 Numerical Evaluation of Sensitivities
  • 4.7 Performance Attribution and Completeness Test
  • CHAPTER 5 Quantifying Portfolio Risks
  • 5.1 The Nature of Risk
  • 5.2 Standard Risk Measures
  • 5.3 Optimal Hedge Sizing
  • 5.4 Tail-Risk Measures
  • CHAPTER 6 The Decision to Hedge
  • 6.1 To Hedge or Not to Hedge?
  • 6.2 The Hedging Process
  • CHAPTER 7 Constructing a Hedge
  • 7.1 An Ideal Hedge
  • 7.2 A Sample Hedge
  • 7.3 Static and Dynamic Hedging
  • 7.4 Proxy Hedging
  • 7.5 Protection versus Upside
  • 7.6 Basis Risk
  • 7.7 Unintended Consequences
  • 7.8 Hedging Credit Risk
  • 7.9 Hedging Prepayment, Redemption, and Other Human Behavior Risks
  • 7.10 Execution
  • APPENDIX A Basics of Probability Theory
  • APPENDIX B Elements of Statistics and Time Series Analysis
  • References
  • Glossary
  • Index.

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