LEADER 05461nam 2200697Ia 450 001 9910808645903321 005 20181217223122.0 010 $a1-119-19847-X 010 $a1-283-27292-X 010 $a1-118-02291-2 010 $a9786613272928 010 $a1-118-02289-0 035 $a(CKB)2550000000054495 035 $a(EBL)697505 035 $a(SSID)ssj0000554735 035 $a(PQKBManifestationID)12206557 035 $a(PQKBTitleCode)TC0000554735 035 $a(PQKBWorkID)10517423 035 $a(PQKB)11042958 035 $a(CaSebORM)9780470481806 035 $a(MiAaPQ)EBC697505 035 $a(OCoLC)757394281 035 $a(OCoLC)785645842 035 $a(OCoLC)ocn785645842 035 $a(EXLCZ)992550000000054495 100 $a20101019d2011 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial risk management: models, history, and institution $emodels, history, and institution /$fAllan M. Malz 205 $a1st edition 210 $aHoboken, N.J. $cWiley$d2011 215 $a1 online resource (750 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-48180-3 320 $aIncludes bibliographical references and index. 327 $aFinancial 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 Basics 327 $a2.1 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 Rates 327 $aFurther 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 VaR 327 $a4.1.2 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 Matrices 327 $a5.2 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 Risk 327 $a6.2 Credit-Risky Securities 330 $aFinancial risk has become a focus of financial and non-financial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative mo 410 0$aWiley finance series. 606 $aFinancial risk management 606 $aRisk management 615 0$aFinancial risk management. 615 0$aRisk management. 676 $a332 686 $aBUS027000$2bisacsh 700 $aMalz$b Allan M$0125947 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910808645903321 996 $aFinancial risk management: models, history, and institution$94022736 997 $aUNINA