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Financial risk management: models, history, and institution [[electronic resource] ] : models, history, and institution / / Allan M. Malz
| Financial risk management: models, history, and institution [[electronic resource] ] : models, history, and institution / / Allan M. Malz |
| Autore | Malz Allan M |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (750 p.) |
| Disciplina | 332 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management
Risk management |
| ISBN |
1-119-19847-X
1-283-27292-X 1-118-02291-2 9786613272928 1-118-02289-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Basics
2.1 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 Further 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 4.1.2 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 5.2 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 6.2 Credit-Risky Securities |
| Record Nr. | UNINA-9910139587003321 |
Malz Allan M
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk management: models, history, and institution [[electronic resource] ] : models, history, and institution / / Allan M. Malz
| Financial risk management: models, history, and institution [[electronic resource] ] : models, history, and institution / / Allan M. Malz |
| Autore | Malz Allan M |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (750 p.) |
| Disciplina | 332 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management
Risk management |
| ISBN |
1-119-19847-X
1-283-27292-X 1-118-02291-2 9786613272928 1-118-02289-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Basics
2.1 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 Further 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 4.1.2 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 5.2 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 6.2 Credit-Risky Securities |
| Record Nr. | UNINA-9910808645903321 |
|
Malz Allan M
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial sector assessment [[electronic resource] ] : an handbook / / World Bank and International Monetary Fund
| Financial sector assessment [[electronic resource] ] : an handbook / / World Bank and International Monetary Fund |
| Pubbl/distr/stampa | Washington, D.C., : World Bank and International Monetary Fund, 2005 |
| Descrizione fisica | 1 online resource (488 p.) |
| Disciplina |
332
354.8 |
| Soggetto topico |
Financial services industry - State supervision
Banks and banking - State supervision Securities industry - State supervision Insurance - State supervision Financial crises Risk assessment |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4639-8421-9
1-4639-1993-X 1-280-22389-8 9786610223893 0-8213-6433-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Abbreviations and Acronyms; Preface; Contributors; Chapter 1 Financial Sector Assessments: Overall Framework and Executive Summary; Boxes; Chapter 2 Indicators of Financial Structure, Development, and Soundness; Tables; Chapter 3 Assessing Financial Stability; Chapter 4 Assessing Financial Structure and Financial Development; Chapter 5 Evaluating Financial Sector Supervision: Banking, Insurance, and Securities Markets; Figures; Chapter 6 Assessing the Supervision of Other Financial Intermediaries; Chapter 7 Rural and Microfinance Institutions: Regulatory and Supervisory Issues
Chapter 8 Assessing Financial System Integrity-Anti-Money Laundering and Combating the Financing of Terrorism Chapter 9 Assessing the Legal Infrastructure for Financial Systems; Chapter 10 Assessing Information and Governance Infrastructure; Chapter 11 Assessing Systemic Liquidity Infrastructure; Chapter 12 Sequencing Financial Sector Reforms; Appendix A Financial Sector Assessment Program-Objectives, Procedures, and Overall Framework; Appendix B Illustrative Data Questionnaires for Comprehensive Financial Sector Assessment; Appendix C Data Sources for Financial Sector Assessments Appendix D Stress Testing Appendix E Benchmarking and Decomposing Interest Rate Spreads and Margins; Appendix F Institutional Structure of Financial Regulation and Supervision; Appendix G Banking Resolution and Insolvency -Emerging World Bank and International Monetary Fund Guidelines; Appendix H Assessment of Pension Schemes from a Financial Sector Perspective |
| Record Nr. | UNINA-9910450626303321 |
| Washington, D.C., : World Bank and International Monetary Fund, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial sector policy and the poor [[electronic resource] ] : selected findings and issues / / Patrick Honohan
| Financial sector policy and the poor [[electronic resource] ] : selected findings and issues / / Patrick Honohan |
| Autore | Honohan Patrick |
| Pubbl/distr/stampa | Washington, DC, : World Bank, 2004 |
| Descrizione fisica | 1 online resource (90 p.) |
| Disciplina | 332 |
| Collana | World Bank working paper |
| Soggetto topico |
Microfinance - Developing countries
Financial institutions - Developing countries Finance - Government policy - Developing countries Poor - Developing countries |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-08515-0
9786610085156 1-4175-5219-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910455685103321 |
|
Honohan Patrick
|
||
| Washington, DC, : World Bank, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial sector policy and the poor : : selected findings and issues / / Patrick Honohan
| Financial sector policy and the poor : : selected findings and issues / / Patrick Honohan |
| Autore | Honohan Patrick |
| Pubbl/distr/stampa | Washington, D.C. : , : World Bank, , c2004 |
| Descrizione fisica | vii, 77 pages : illustrations ; ; 26 cm |
| Disciplina | 332 |
| Collana | World Bank working paper |
| Soggetto topico |
Microfinance - Developing countries
Financial institutions - Developing countries Finance - Government policy - Developing countries Poor - Developing countries |
| ISBN |
1-280-08515-0
9786610085156 1-4175-5219-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910780586503321 |
|
Honohan Patrick
|
||
| Washington, D.C. : , : World Bank, , c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial sector policy and the poor : : selected findings and issues / / Patrick Honohan
| Financial sector policy and the poor : : selected findings and issues / / Patrick Honohan |
| Autore | Honohan Patrick |
| Pubbl/distr/stampa | Washington, D.C. : , : World Bank, , c2004 |
| Descrizione fisica | vii, 77 pages : illustrations ; ; 26 cm |
| Disciplina | 332 |
| Collana | World Bank working paper |
| Soggetto topico |
Microfinance - Developing countries
Financial institutions - Developing countries Finance - Government policy - Developing countries Poor - Developing countries |
| ISBN |
1-280-08515-0
9786610085156 1-4175-5219-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910807339003321 |
|
Honohan Patrick
|
||
| Washington, D.C. : , : World Bank, , c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial service online
| Financial service online |
| Pubbl/distr/stampa | New York, NY, : Faulkner & Gray, Inc., [1995]- |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Financial services industry - Computer network resources
Financial services industry - United States - Computer network resources |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996207244803316 |
| New York, NY, : Faulkner & Gray, Inc., [1995]- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Financial services liberation in the WTO / Wendy Dobson and Pierre Jacquet
| Financial services liberation in the WTO / Wendy Dobson and Pierre Jacquet |
| Autore | DOBSON, Wendy |
| Pubbl/distr/stampa | Washington : Institute for international economics, 1998 |
| Descrizione fisica | XIV, 352 p. ; 23 cm |
| Disciplina | 332 |
| Altri autori (Persone) | JACQUET, Pierre |
| Soggetto topico |
Mercati finanziari
Organizzazioni economiche internazionali |
| ISBN | 0-88132-254-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990001081660203316 |
|
DOBSON, Wendy
|
||
| Washington : Institute for international economics, 1998 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Financial services marketing
| Financial services marketing |
| Pubbl/distr/stampa | New York, NY, : Thomson Information Services, [1999-2002] |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico | Financial services industry - Marketing |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996205642903316 |
| New York, NY, : Thomson Information Services, [1999-2002] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Financial services report
| Financial services report |
| Pubbl/distr/stampa | [Potomac, MD], : Phillips Pub., c1987- |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Financial services industry - United States
Banks and banking - United States Banks and banking Financial services industry |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996336101403316 |
| [Potomac, MD], : Phillips Pub., c1987- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
