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  • Produktbild: Financial Risk Management
  • Produktbild: Financial Risk Management

Financial Risk Management A Practitioner's Guide to Managing Market and Credit Risk

Aus der Reihe Wiley Finance Editions

Fr. 153.00

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

26.12.2012

Verlag

John Wiley & Sons Inc

Seitenzahl

608

Maße (L/B/H)

23.5/15.7/3.7 cm

Gewicht

1021 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-118-17545-3

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

26.12.2012

Verlag

John Wiley & Sons Inc

Seitenzahl

608

Maße (L/B/H)

23.5/15.7/3.7 cm

Gewicht

1021 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-118-17545-3

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Financial Risk Management
  • Produktbild: Financial Risk Management

  • Foreword xvii

    Preface xix

    Acknowledgments xxiii

    About the Author xxvii

    Chapter 1 Introduction 1

    1.1 Lessons from a Crisis 1

    1.2 Financial Risk and Actuarial Risk 2

    1.3 Simulation and Subjective Judgment 4

    Chapter 2 Institutional Background 7

    2.1 Moral Hazard-Insiders and Outsiders 7

    2.2 Ponzi Schemes 17

    2.3 Adverse Selection 19

    2.4 The Winner's Curse 21

    2.5 Market Making versus Position Taking 24

    Chapter 3 Operational Risk 29

    3.1 Operations Risk 31

    3.1.1 The Risk of Fraud 31

    3.1.2 The Risk of Nondeliberate Incorrect Information 35

    3.1.3 Disaster Risk 36

    3.1.4 Personnel Risk 36

    3.2 Legal Risk 37

    3.2.1 The Risk of Unenforceable Contracts 37

    3.2.2 The Risk of Illegal Actions 40

    3.3 Reputational Risk 41

    3.4 Accounting Risk 42

    3.5 Funding Liquidity Risk 42

    3.6 Enterprise Risk 44

    3.7 Identification of Risks 44

    3.8 Operational Risk Capital 45

    Chapter 4 Financial Disasters 49

    4.1 Disasters Due to Misleading Reporting 49

    4.1.1 Chase Manhattan Bank/Drysdale Securities 52

    4.1.2 Kidder Peabody 53

    4.1.3 Barings Bank 55

    4.1.4 Allied Irish Bank (AIB) 57

    4.1.5 Union Bank of Switzerland (UBS) 59

    4.1.6 Société Générale 61

    4.1.7 Other Cases 66

    4.2 Disasters Due to Large Market Moves 68

    4.2.1 Long¿Term Capital Management (LTCM) 68

    4.2.2 Metallgesellschaft (MG) 75

    4.3 Disasters Due to the Conduct of Customer Business 77

    4.3.1 Bankers Trust (BT) 77

    4.3.2 JPMorgan, Citigroup, and Enron 79

    4.3.3 Other Cases 80

    Chapter 5 The Systemic Disaster of 2007-2008 83

    5.1 Overview 83

    5.2 The Crisis in CDOs of Subprime Mortgages 85

    5.2.1 Subprime Mortgage Originators 86

    5.2.2 CDO Creators 88

    5.2.3 Rating Agencies 89

    5.2.4 Investors 92

    5.2.5 Investment Banks 93

    5.2.6 Insurers 106

    5.3 The Spread of the Crisis 108

    5.3.1 Credit Contagion 108

    5.3.2 Market Contagion 109

    5.4 Lessons from the Crisis for Risk Managers 111

    5.4.1 Subprime Mortgage Originators 111

    5.4.2 CDO Creators 111

    5.4.3 Rating Agencies 111

    5.4.4 Investors 111

    5.4.5 Investment Banks 112

    5.4.6 Insurers 114

    5.4.7 Credit Contagion 115

    5.4.8 Market Contagion 115

    5.5 Lessons from the Crisis for Regulators 115

    5.5.1 Mortgage Originators 116

    5.5.2 CDO Creators 116

    5.5.3 Rating Agencies 117

    5.5.4 Investors 118

    5.5.5 Investment Banks 118

    5.5.6 Insurers 126

    5.5.7 Credit Contagion 126

    5.5.8 Market Contagion 129

    5.6 Broader Lessons from the Crisis 132

    Chapter 6 Managing Financial Risk 133

    6.1 Risk Measurement 133

    6.1.1 General Principles 133

    6.1.2 Risk Management of Instruments That Lack Liquidity 144

    6.1.3 Market Valuation 147

    6.1.4 Valuation Reserves 152

    6.1.5 Analysis of Revenue 156

    6.1.6 Exposure to Changes in Market Prices 157

    6.1.7 Risk Measurement for Position Taking 159

    6.2 Risk Control 161

    Chapter 7 VaR and Stress Testing 169

    7.1 VaR Methodology 170

    7.1.1 Simulation of the P&L Distribution 173

    7.1.2 Measures of the P&L Distribution 187

    7.2 Stress Testing 192

    7.2.1 Overview 192

    7.2.2 Economic Scenario Stress Tests 193

    7.2.3 Stress Tests Relying on Historical Data 197

    7.3 Uses of Overall Measures of Firm Position Risk 201

    Chapter 8 Model Risk 209

    8.1 How Important Is Model Risk? 210

    8.2 Model Risk Evaluation and Control 212

    8.2.1 Scope of Model Review and Control 213

    8.2.2 Roles and Responsibilities for Model Review and Control 214

    8.2.3 Model Verification 219

    8.2.4 Model Verification of Deal Representation 222

    8.2.5 Model Verification of Approximations 223

    8.2.6 Model Validation 226

    8.2.7 Continuous Review 232

    8.2.8 Periodic Review 234

    8.3 Liquid Instruments 237

    8.4 Illiquid Instruments 241

    8.4.1 Choice of Model Validation Approach 241

    8.4.2 Choice of Liquid Proxy 243

    8.4.3 Design of Monte Carlo Simulation 245

    8.4.4 Implications for Marking to Market 247

    8.4.5 Implications for Risk Reporting 249

    8.5 Trading Models 250

    Chapter 9 Managing Spot Risk 253

    9.1 Overview 253

    9.2 Foreign Exchange Spot Risk 257

    9.3 Equity Spot Risk 258

    9.4 Physical Commodities Spot Risk 259

    Chapter 10 Managing Forward Risk 263

    10.1 Instruments 270

    10.1.1 Direct Borrowing and Lending 270

    10.1.2 Repurchase Agreements 271

    10.1.3 Forwards 272

    10.1.4 Futures Contracts 272

    10.1.5 Forward Rate Agreements 274

    10.1.6 Interest Rate Swaps 275

    10.1.7 Total Return Swaps 276

    10.1.8 Asset¿Backed Securities 278

    10.2 Mathematical Models of Forward Risks 282

    10.2.1 Pricing Illiquid Flows by Interpolation 284

    10.2.2 Pricing Long¿Dated Illiquid Flows by Stack and Roll 291

    10.2.3 Flows Representing Promised Deliveries 293

    10.2.4 Indexed Flows 295

    10.3 Factors Impacting Borrowing Costs 299

    10.3.1 The Nature of Borrowing Demand 299

    10.3.2 The Possibility of Cash¿and¿Carry Arbitrage 300

    10.3.3 The Variability of Storage Costs 301

    10.3.4 The Seasonality of Borrowing Costs 302

    10.3.5 Borrowing Costs and Forward Prices 303

    10.4 Risk Management Reporting and Limits for Forward Risk 304

    Chapter 11 Managing Vanilla Options Risk 311

    11.1 Overview of Options Risk Management 313

    11.2 The Path Dependence of Dynamic Hedging 318

    11.3 A Simulation of Dynamic Hedging 321

    11.4 Risk Reporting and Limits 329

    11.5 Delta Hedging 344

    11.6 Building a Volatility Surface 346

    11.6.1 Interpolating between Time Periods 346

    11.6.2 Interpolating between Strikes-Smile and Skew 347

    11.6.3 Extrapolating Based on Time Period 352

    11.7 Summary 355

    Chapter 12 Managing Exotic Options Risk 359

    12.1 Single¿Payout Options 364

    12.1.1 Log Contracts and Variance Swaps 367

    12.1.2 Single¿Asset Quanto Options 369

    12.1.3 Convexity 370

    12.1.4 Binary Options 371

    12.1.5 Contingent Premium Options 377

    12.1.6 Accrual Swaps 378

    12.2 Time¿Dependent Options 378

    12.2.1 Forward¿Starting and Cliquet Options 378

    12.2.2 Compound Options 379

    12.3 Path¿Dependent Options 381

    12.3.1 Standard Analytic Models for Barriers 383

    12.3.2 Dynamic Hedging Models for Barriers 385

    12.3.3 Static Hedging Models for Barriers 387

    12.3.4 Barrier Options with Rebates, Lookback, and Ladder Options 402

    12.3.5 Broader Classes of Path¿Dependent Exotics 403

    12.4 Correlation¿Dependent Options 404

    12.4.1 Linear Combinations of Asset Prices 405

    12.4.2 Risk Management of Options on Linear Combinations 409

    12.4.3 Index Options 413

    12.4.4 Options to Exchange One Asset for Another 415

    12.4.5 Nonlinear Combinations of Asset Prices 417

    12.4.6 Correlation between Price and Exercise 422

    12.5 Correlation¿Dependent Interest Rate Options 425

    12.5.1 Models in Which the Relationship between Forwards is Treated as Constant 426

    12.5.2 Term Structure Models 430

    12.5.3 Relationship between Swaption and Cap Prices 437

    Chapter 13 Credit Risk 445

    13.1 Short¿Term Exposure to Changes in Market Prices 446

    13.1.1 Credit Instruments 447

    13.1.2 Models of Short¿Term Credit Exposure 451

    13.1.3 Risk Reporting for Market Credit Exposures 456

    13.2 Modeling Single¿Name Credit Risk 457

    13.2.1 Estimating Probability of Default 458

    13.2.2 Estimating Loss Given Default 465

    13.2.3 Estimating the Amount Owed at Default 468

    13.2.4 The Option¿Theoretic Approach 471

    13.3 Portfolio Credit Risk 479

    13.3.1 Estimating Default Correlations 479

    13.3.2 Monte Carlo Simulation of Portfolio Credit Risk 482

    13.3.3 Computational Alternatives to Full Simulation 486

    13.3.4 Risk Management and Reporting for Portfolio Credit Exposures 490

    13.4 Risk Management of Multiname Credit Derivatives 493

    13.4.1 Multiname Credit Derivatives 493

    13.4.2 Modeling of Multiname Credit Derivatives 495

    13.4.3 Risk Management and Reporting for Multiname Credit Derivatives 498

    13.4.4 CDO Tranches and Systematic Risk 500

    Chapter 14 Counterparty Credit Risk 505

    14.1 Overview 505

    14.2 Exchange¿Traded Derivatives 506

    14.3 Over¿the¿Counter Derivatives 512

    14.3.1 Overview 512

    14.3.2 The Loan¿Equivalent Approach 513

    14.3.3 The Collateralization Approach 515

    14.3.4 The Collateralization Approach-Wrong¿Way Risk 521

    14.3.5 The Active Management Approach 526

    References 533

    About the Companion Website 547

    Index 553