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[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. 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