عنوان

Financial risk management : models, history, and institutions

electronic

Malz, Allan M.

Financial risk management : models, history, and institutions

Hoboken, N.J.

Wiley

2011

xxiii, 722 p. : ill. ; 24 cm

Wiley finance series

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

Allan M. Malz

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. -- 7.3 Risk-neutral estimates of default probabilities. -- 7.4 Spread risk. -- 8 Portfolio credit risk. -- 8.1 Default correlation. -- 8.2 Credit portfolio risk measurement. -- 8.3 Credit VaR with the single-factor model. -- 8.4 Using simulation and copulas to estimate portfolio credit risk. -- 9 Structured credit risk. -- 9.1 Structured credit basics. -- 9.2 Credit scenario analysis of a securitization. -- 9.3 Measuring structured credit risk via simulation. -- 9.4 Standard tranches and implied correlation. -- 9.5 Issuer and investor motivations for structured credit. -- 01 Alternatives to the standard market risk model. -- 01.1 Real-world asset price behavior. -- 01.2 Alternative modeling approaches. -- 01.3 The evidence on non-normality in derivatives prices. -- 11 Assessing the quality of risk measures. -- 11.1 Model risk. -- 11.2 Backtesting of VaR. -- 11.3 Coherence of VaR estimates. -- 21 Liquidity and leverage. -- 21.1 Funding liquidity risk. -- 21.2 Markets for collateral. -- 21.3 Leverage and forms of credit in contemporary finance. -- 21.4 Transactions liquidity risk. -- 21.5 Liquidity risk measurement. -- 21.6 Liquidity and systemic risk. -- 31 Risk control and mitigation. -- 31.1 Defining risk capital. -- 31.2 Risk contributions. -- 31.3 Stress testing. -- 31.4 Sizing positions. -- 31.5 Risk reporting. -- 31.6 Hedging and basis risk. -- 41 Financial crises. -- 41.1 Panics, runs, and crashes. -- 41.2 Self-reinforcing mechanisms. -- 41.3 Behavior of asset prices during crises. -- 41.4 Causes of financial crises. -- 41.5 Anticipating financial crises. -- 51 Financial regulation. -- 51.1 Scope and structure of regulation. -- 51.2 Methods of regulation. -- 51.3 Public policy toward financial crises. -- 51.4 Pitfalls in regulation. -- A Technical notes. -- A.1 Binomial distribution. -- A.2 Quantiles and quantile transformations. -- A.3 Normal and lognormal distributions. -- A.4 Hypothesis testing. -- A.5 Monte Carlo simulation. -- A.6 Homogeneous functions. -- B Notation. -- C Abbreviations. -- D References

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