Financial risk management [electronic resource] : models, history, and institutions / Allan M. Malz.
"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-quantif...
Main Author: | |
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Language: | English |
Published: |
Hoboken, N.J. :
Wiley,
c2011.
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Series: | Wiley finance series.
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Subjects: | |
Online Access: | |
Variant Title: |
Financial Risk Management: Models, History, and Institutions |
Format: | Electronic eBook |
Contents:
- Machine generated contents note: Preface.
- 1 Financial risk in a crisis-prone world.
- 1.1 Some history: why is risk a separate discipline today?
- 1.2 The scope of financial risk.
- 2 Market risk basics.
- 2.1 Arithmetic, geometric, and logarithmic security returns.
- 2.2 Risk and securities prices: the standard asset pricing model.
- 2.3 The standard asset distribution model.
- 2.4 Portfolio risk in the standard model.
- 2.5 Benchmark interest rates.
- 3 Value-at-Risk.
- 3.1 Definition of value-at-risk.
- 3.2 Volatility estimation.
- 3.3 Modes of computation.
- 3.4 Short positions.
- 3.5 Expected shortfall.
- 4 Nonlinear risks and the treatment of bonds and options.
- 4.1 Nonlinear risk measurement and options.
- 4.2 Yield curve risk.
- 4.3 Fixed-income VaR using duration and convexity.
- 5 Portfolio VaR for market risk.
- 5.1 The covariance and correlation matrices.
- 5.2 Mapping and treatment of bonds and options.
- 5.3 Delta-normal VaR.
- 5.4 Portfolio VaR viaMonte Carlo simulation.
- 5.5 Option vega risk.
- 6 Credit and counterparty risk.
- 6.1 Defining credit risk.
- 6.2 Credit risky securities.
- 6.3 Transaction cost problems in credit contracts.
- 6.4 Default and recovery: analytic concepts.
- 6.5 Assessing creditworthiness.
- 6.6 Counterparty risk.
- 6.7 TheMerton model.
- 6.8 Credit factor models.
- 6.9 Credit risk measures.
- 7 Spread risk and default intensity models.
- 7.1 Credit spreads.
- 7.2 Default curve analytics.
- 7.3 Risk-neutral estimates of default probabilities.
- 7.4 Spread risk.
- 8 Portfolio credit risk.
- 8.1 Default correlation.
- 8.2 Credit portfolio risk measurement.
- 8.3 Credit VaR with the single-factor model.
- 8.4 Using simulation and copulas to estimate portfolio credit risk.
- 9 Structured credit risk.
- 9.1 Structured credit basics.
- 9.2 Credit scenario analysis of a securitization.
- 9.3 Measuring structured credit risk via simulation.
- 9.4 Standard tranches and implied correlation.
- 9.5 Issuer and investor motivations for structured credit.
- 10 Alternatives to the standard market risk model.
- 10.1 Real-world asset price behavior.
- 10.2 Alternative modeling approaches.
- 10.3 The evidence on non-normality in derivatives prices.
- 11 Assessing the quality of risk measures.
- 11.1 Model risk.
- 11.2 Backtesting of VaR.
- 11.3 Coherence of VaR estimates.
- 12 Liquidity and leverage.
- 12.1 Funding liquidity risk.
- 12.2 Markets for collateral.
- 12.3 Leverage and forms of credit in contemporary finance.
- 12.4 Transactions liquidity risk.
- 12.5 Liquidity risk measurement.
- 12.6 Liquidity and systemic risk.
- 13 Risk control and mitigation.
- 13.1 Defining risk capital.
- 13.2 Risk contributions.
- 13.3 Stress testing.
- 13.4 Sizing positions.
- 13.5 Risk reporting.
- 13.6 Hedging and basis risk.
- 14 Financial crises.
- 14.1 Panics, runs, and crashes.
- 14.2 Self-reinforcing mechanisms.
- 14.3 Behavior of asset prices during crises.
- 14.4 Causes of financial crises.
- 14.5 Anticipating financial crises.
- 15 Financial regulation.
- 15.1 Scope and structure of regulation.
- 15.2 Methods of regulation.
- 15.3 Public policy toward financial crises.
- 15.4 Pitfalls in regulation.
- A Technical notes.
- A.1 Binomial distribution.
- A.2 Quantiles and quantile transformations.
- A.3 Normal and lognormal distributions.
- A.4 Hypothesis testing.
- A.5 Monte Carlo simulation.
- A.6 Homogeneous functions.
- B Notation.
- C Abbreviations.
- D References.