Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk ManagementJohn Wiley & Sons, 6 февр. 2013 г. - Всего страниц: 350 Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives.
Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field. |
Содержание
Wall Street Lessons from Bubbles | ii |
A Risk Management Synthesis | xiv |
Crisis | xxiv |
Risk Return Performance Measurement | xxvii |
Performance Measurement | xxxvii |
Interest Rate Risk Introduction and Overview | ii |
Fixed Income Mathematics | 14 |
Yield Curve Smoothing | 30 |
Valuing Credit Risky Bonds | 128 |
Credit Derivatives and Collateralized Debt | 150 |
European Options on Bonds | 161 |
Fonvard and Futures Contracts | 196 |
European Options on Forward and Futures | 203 |
Caps and Floors | 222 |
Interest Rate Swaps and Swaptions | 243 |
Exotic Swap and Options Structures | 1 |
Theorem | 59 |
HJM Interest Rate Modeling with Rate | 82 |
HJM Interest Rate Modeling with Two Risk | 101 |
Valuation in the HJM Framework | 8-19 |
HJM Interest Rate Modeling with Three Risk | 8-29 |
Alternative Specifications of the Interest Rate Volatility | 5 |
Valuation in the HJM Framework | 25 |
Valuation of a ZeroCoupon Bond Maturing at Time T 4 | 31 |
Valuation Liquidity and Net Income | 37 |
Interest Rate Mismatching and Hedging | 10-15 |
Rate | 10-20 |
Special Cases of Heath Jarrow and Morton | 10-47 |
Estimating the Parameters of Interest Rate | 10-81 |
Portmo Slmlegymflik | 15 |
An Introduction to Credit Risk | 18 |
Reduced Form Credit Models and Credit | 43 |
Credit Spread Fitting and Modeling | 81 |
Conclusion | 105 |
American Fixed Income Options | 19 |
Irrational Exercise of Fixed Income Options | 47 |
MortgageBacked Securities and Asset | 65 |
Nonmaturity Deposits | 81 |
Conclusion | 101 |
Formula | 108 |
Impact of Collateral on Valuation Models | 110 |
Pricing and Valuing Revolving Credit | 123 |
Modeling Common Stock and Convertible | 130 |
Valuing Insurance Policies and Pension | 139 |
ValueatRisk and Risk Management | 149 |
Liguidity Analysis and Management | 165 |
Managing Institutional Default Risk and Safety | 38-15 |
Controlling the Probability of Failure through the Credit Cycle | 38-22 |
Shareholder Value Creation and Destruction | 38-36 |
The Middle Management Perspective | 38-44 |
38-60 | |
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Advanced Financial Risk Management: Tools and Techniques for Integrated ... Donald R. Van Deventer,Kenji Imai,Mark Mesler Недоступно для просмотра - 2013 |