LEADER 05412nam 22006854a 450 001 9910143558903321 005 20170815121946.0 010 $a1-118-67351-4 010 $a1-280-80970-1 010 $a9786610809707 010 $a0-470-01258-7 035 $a(CKB)1000000000355607 035 $a(EBL)239446 035 $a(OCoLC)475950720 035 $a(SSID)ssj0000106852 035 $a(PQKBManifestationID)11134006 035 $a(PQKBTitleCode)TC0000106852 035 $a(PQKBWorkID)10111240 035 $a(PQKB)10250133 035 $a(MiAaPQ)EBC239446 035 $a(EXLCZ)991000000000355607 100 $a20040810d2005 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aAsset and risk management$b[electronic resource] $erisk oriented finance /$fLouis Esch ... [et al.] 210 $aHoboken, NJ $cWiley$dc2005 215 $a1 online resource (420 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a0-471-49144-6 320 $aIncludes bibliographical references (p. [383]-388) and index. 327 $aAsset and Risk Management; Contents; Collaborators; Foreword by Philippe Jorion; Acknowledgements; Introduction; Areas covered; Who is this book for?; PART I THE MASSIVE CHANGES IN THE WORLD OF FINANCE; Introduction; 1 The Regulatory Context; 1.1 Precautionary surveillance; 1.2 The Basle Committee; 1.2.1 General information; 1.2.2 Basle II and the philosophy of operational risk; 1.3 Accounting standards; 1.3.1 Standard-setting organisations; 1.3.2 The IASB; 2 Changes in Financial Risk Management; 2.1 Definitions; 2.1.1 Typology of risks; 2.1.2 Risk management methodology 327 $a2.2 Changes in financial risk management2.2.1 Towards an integrated risk management; 2.2.2 The 'cost' of risk management; 2.3 A new risk-return world; 2.3.1 Towards a minimisation of risk for an anticipated return; 2.3.2 Theoretical formalisation; PART II EVALUATING FINANCIAL ASSETS; Introduction; 3 Equities; 3.1 The basics; 3.1.1 Return and risk; 3.1.2 Market efficiency; 3.1.3 Equity valuation models; 3.2 Portfolio diversification and management; 3.2.1 Principles of diversification; 3.2.2 Diversification and portfolio size; 3.2.3 Markowitz model and critical line algorithm 327 $a3.2.4 Sharpe's simple index model3.2.5 Model with risk-free security; 3.2.6 The Elton, Gruber and Padberg method of portfolio management; 3.2.7 Utility theory and optimal portfolio selection; 3.2.8 The market model; 3.3 Model of financial asset equilibrium and applications; 3.3.1 Capital asset pricing model; 3.3.2 Arbitrage pricing theory; 3.3.3 Performance evaluation; 3.3.4 Equity portfolio management strategies; 3.4 Equity dynamic models; 3.4.1 Deterministic models; 3.4.2 Stochastic models; 4 Bonds; 4.1 Characteristics and valuation; 4.1.1 Definitions; 4.1.2 Return on bonds 327 $a4.1.3 Valuing a bond4.2 Bonds and financial risk; 4.2.1 Sources of risk; 4.2.2 Duration; 4.2.3 Convexity; 4.3 Deterministic structure of interest rates; 4.3.1 Yield curves; 4.3.2 Static interest rate structure; 4.3.3 Dynamic interest rate structure; 4.3.4 Deterministic model and stochastic model; 4.4 Bond portfolio management strategies; 4.4.1 Passive strategy: immunisation; 4.4.2 Active strategy; 4.5 Stochastic bond dynamic models; 4.5.1 Arbitrage models with one state variable; 4.5.2 The Vasicek model; 4.5.3 The Cox, Ingersoll and Ross model; 4.5.4 Stochastic duration; 5 Options 327 $a5.1 Definitions5.1.1 Characteristics; 5.1.2 Use; 5.2 Value of an option; 5.2.1 Intrinsic value and time value; 5.2.2 Volatility; 5.2.3 Sensitivity parameters; 5.2.4 General properties; 5.3 Valuation models; 5.3.1 Binomial model for equity options; 5.3.2 Black and Scholes model for equity options; 5.3.3 Other models of valuation; 5.4 Strategies on options; 5.4.1 Simple strategies; 5.4.2 More complex strategies; PART III GENERAL THEORY OF VaR; Introduction; 6 Theory of VaR; 6.1 The concept of 'risk per share'; 6.1.1 Standard measurement of risk linked to financial products 327 $a6.1.2 Problems with these approaches to risk 330 $aThe aim of this book is to study three essential components of modern finance - Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together. It is divided into five parts:Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial as 410 4$aThe Wiley Finance Series 606 $aInvestment analysis 606 $aAsset-liability management 606 $aRisk management 608 $aElectronic books. 615 0$aInvestment analysis. 615 0$aAsset-liability management. 615 0$aRisk management. 676 $a332.63/2042 676 $a332.632042 676 $a658.155 701 $aEsch$b Louis$0985014 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143558903321 996 $aAsset and risk management$92250791 997 $aUNINA