عنوان

Financial risk management

9780470481806

لاتين

Allan M. Malz

Financial risk management

Hoboken, N.J.

Wiley,

2011

xxiii, 722 p.

Wiley finance series

مرجع به حساب نمي آيد

Includes bibliographical references (p. 671-699) and index.

Machine generated contents note: Preface. -- 1 Financial risk in a crisis-prone world. -- 1.1 Some history: why is risk a separate discipline today? -- 1.2 The scope of financial risk. -- 2 Market risk basics. -- 2.1 Arithmetic, geometric, and logarithmic security returns. -- 2.2 Risk and securities prices: the standard asset pricing model. -- 2.3 The standard asset distribution model. -- 2.4 Portfolio risk in the standard model. -- 2.5 Benchmark interest rates. -- 3 Value-at-Risk. -- 3.1 Definition of value-at-risk. -- 3.2 Volatility estimation. -- 3.3 Modes of computation. -- 3.4 Short positions. -- 3.5 Expected shortfall. -- 4 Nonlinear risks and the treatment of bonds and options. -- 4.1 Nonlinear risk measurement and options. -- 4.2 Yield curve risk. -- 4.3 Fixed-income VaR using duration and convexity. -- 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. -- 5.4 Portfolio VaR viaMonte Carlo simulation. -- 5.5 Option vega risk. -- 6 Credit and counterparty risk. -- 6.1 Defining credit risk. -- 6.2 Credit risky securities. -- 6.3 Transaction cost problems in credit contracts. -- 6.4 Default and recovery: analytic concepts. -- 6.5 Assessing creditworthiness. -- 6.6 Counterparty risk. -- 6.7 TheMerton model. -- 6.8 Credit factor models. -- 6.9 Credit risk measures. -- 7 Spread risk and default intensity models. -- 7.1 Credit spreads. -- 7.2 Default curve analytics. -- 7

models, history, and institutions

Financial risk management

مولف

Malz, Allan M.

Malz, Allan M.