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Asset and risk management [[electronic resource] ] : risk oriented finance / / Louis Esch ... [et al.]



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Titolo: Asset and risk management [[electronic resource] ] : risk oriented finance / / Louis Esch ... [et al.] Visualizza cluster
Pubblicazione: Hoboken, NJ, : Wiley, c2005
Descrizione fisica: 1 online resource (420 p.)
Disciplina: 332.63/2042
332.632042
658.155
Soggetto topico: Investment analysis
Asset-liability management
Risk management
Soggetto genere / forma: Electronic books.
Altri autori: EschLouis  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references (p. [383]-388) and index.
Nota di contenuto: Asset 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
2.2 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
3.2.4 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
4.1.3 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
5.1 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
6.1.2 Problems with these approaches to risk
Sommario/riassunto: The 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
Titolo autorizzato: Asset and risk management  Visualizza cluster
ISBN: 1-118-67351-4
1-280-80970-1
9786610809707
0-470-01258-7
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910143558903321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: The Wiley Finance Series