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Financial risk management : models, history, and institutions / Allan M. Malz
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley finance series | Wiley Finance Ser ; v.538Publisher: Hoboken, N.J. : Wiley, c2011Edition: Online-AusgDescription: Online-Ressource (1 online resource (xxiii, 722 p.)) : illISBN:- 9781283272926
- 128327292X
- 9781118022894
- 9780470481806
- 332
- BUS027000
- HD61
Contents:
Summary: Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over theSummary: Intro -- Financial Risk Management -- 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 Returns -- 2.2 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 Reading -- CHAPTER 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.PPN: PPN: 807344958Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PBE | ZDB-30-PAD | ZDB-30-PQE | GBV-EBRARY-UBCL | ZDB-38-EBR
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