05461nam 2200697Ia 450 991080864590332120181217223122.01-119-19847-X1-283-27292-X1-118-02291-297866132729281-118-02289-0(CKB)2550000000054495(EBL)697505(SSID)ssj0000554735(PQKBManifestationID)12206557(PQKBTitleCode)TC0000554735(PQKBWorkID)10517423(PQKB)11042958(CaSebORM)9780470481806(MiAaPQ)EBC697505(OCoLC)757394281(OCoLC)785645842(OCoLC)ocn785645842 (EXLCZ)99255000000005449520101019d2011 uy 0engurunu|||||txtccrFinancial risk management: models, history, and institution models, history, and institution /Allan M. Malz1st editionHoboken, N.J. Wiley20111 online resource (750 p.)Wiley finance seriesDescription based upon print version of record.0-470-48180-3 Includes bibliographical references and index.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 1960's; 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 1960's: 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 Basics2.1 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 RatesFurther 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 VaR4.1.2 Simulation for Nonlinear Exposures 4.1.3 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 Matrices5.2 Mapping and Treatment of Bonds and Options 5.3 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 Risk6.2 Credit-Risky SecuritiesFinancial risk has become a focus of financial and non-financial 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 moWiley finance series.Financial risk managementRisk managementFinancial risk management.Risk management.332BUS027000bisacshMalz Allan M125947MiAaPQMiAaPQMiAaPQBOOK9910808645903321Financial risk management: models, history, and institution4022736UNINA