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Financial risk management : models, history, and institutions /
"An in-depth look at the tools and techniques professionals use to address financial risksRisk and uncertainty, as Allan Malz explains in his ground-breaking new book, are two completely different concepts. Risk is a quantifiable uncertainty that can be modeled, while uncertainty defines non-qu...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
©2011.
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Financial RiskManagement; Contents; List of Figures; Preface; CHAPTER 1 Financial Risk in a Crisis-Prone World; 1.1 Some History: Why Is Risk a Separate Discipline Today?; 1.1.1 The Financial Industry Since the 1960s; 1.1.2 The "Shadow Banking System"; 1.1.3 Changes in Public Policy Toward the Financial System; 1.1.4 The Rise of Large Capital Pools; 1.1.5 Macroeconomic Developments Since the 1960s: From the Unraveling of Bretton Woods to the Great Moderation; 1.2 The Scope of Financial Risk; 1.2.1 Risk Management in Other Fields; Further Reading; CHAPTER 2 Market Risk Basics.
- 2.1 Arithmetic, Geometric, and Logarithmic Security Returns2.2 Risk and Securities Prices: The Standard Asset Pricing Model; 2.2.1 Defining Risk: States, Security Payoffs, and Preferences; 2.2.2 Optimal Portfolio Selection; 2.2.3 Equilibrium Asset Prices and Returns; 2.2.4 Risk-Neutral Probabilities; 2.3 The Standard Asset Distribution Model; 2.3.1 Random Walks and Wiener Processes; 2.3.2 Geometric Brownian Motion; 2.3.3 Asset Return Volatility; 2.4 Portfolio Risk in the Standard Model; 2.4.1 Beta and Market Risk; 2.4.2 Diversification; 2.4.3 Efficiency; 2.5 Benchmark Interest Rates.
- Further ReadingCHAPTER 3 Value-at-Risk; 3.1 Definition of Value-at-Risk; 3.1.1 The User-Defined Parameters; 3.1.2 Steps in Computing VaR; 3.2 Volatility Estimation; 3.2.1 Short-Term Conditional Volatility Estimation; 3.2.2 The EWMA Model; 3.2.3 The GARCH Model; 3.3 Modes of Computation; 3.3.1 Parametric; 3.3.2 Monte Carlo Simulation; 3.3.3 Historical Simulation; 3.4 Short Positions; 3.5 Expected Shortfall; Further Reading; CHAPTER 4 Nonlinear Risks and the Treatment of Bonds and Options; 4.1 Nonlinear Risk Measurement and Options; 4.1.1 Nonlinearity and VaR.
- 4.1.2 Simulation for Nonlinear Exposures4.1.3 Delta-Gamma for Options; 4.1.4 The Delta-Gamma Approach for General Exposures; 4.2 Yield Curve Risk; 4.2.1 The Term Structure of Interest Rates; 4.2.2 Estimating Yield Curves; 4.2.3 Coupon Bonds; 4.3 VaR for Default-Free Fixed Income Securities Using The Duration and Convexity Mapping; 4.3.1 Duration; 4.3.2 Interest-Rate Volatility and Bond Price Volatility; 4.3.3 Duration-Only VaR; 4.3.4 Convexity; 4.3.5 VaR Using Duration and Convexity; Further Reading; CHAPTER 5 Portfolio VaR for Market Risk; 5.1 The Covariance and Correlation Matrices.
- 5.2 Mapping and Treatment of Bonds and Options5.3 Delta-Normal VaR; 5.3.1 The Delta-Normal Approach for a Single Position Exposed to a Single Risk Factor; 5.3.2 The Delta-Normal Approach for a Single Position Exposed to Several Risk Factors; 5.3.3 The Delta-Normal Approach for a Portfolio of Securities; 5.4 Portfolio VAR via Monte Carlo simulation; 5.5 Option Vega Risk; 5.5.1 Vega Risk and the Black-Scholes Anomalies; 5.5.2 The Option Implied Volatility Surface; 5.5.3 Measuring Vega Risk; Further Reading; CHAPTER 6 Credit and Counterparty Risk; 6.1 Defining Credit Risk.