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Hedging Market Exposures Identifying and Managing Market Risks

ISBN-10: 0470535067
ISBN-13: 9780470535066
Edition: 2011
List price: $80.00 Buy it from $71.58
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Description: Identify and understand the risks facing your portfolio, learn how to quantify them, and how to choose the best tools to hedge these risksWritten for the non-risk specialist, this book explains how to identify risks facing a portfolio, how to  More...

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Book details

List price: $80.00
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 8/9/2011
Binding: Hardcover
Pages: 295
Size: 6.25" wide x 9.25" long x 1.25" tall
Weight: 1.122
Language: English

Identify and understand the risks facing your portfolio, learn how to quantify them, and how to choose the best tools to hedge these risksWritten for the non-risk specialist, this book explains how to identify risks facing a portfolio, how to understand and quantify them, and how to choose the best tools to hedge the risks optimally. Explains various risks that confront a portfolio and how to choose the appropriate tools to hedge them Provides a clear exposition of the risks facing managers with equity, fixed income, commodity, credit and foreign exchange exposures Elucidates hidden risks such as counterparty, operational, human behavior and model risks, and expounds the importance and instability of model assumptions such as market correlations Explains the language of quantitative finance and enables a non-quantitative investment professional to communicate effectively with professional risk managers, "quants," clients and others Reveals how to identify and quantify risk exposures and how to select an optimal hedge, when there is not a "perfect" one; accentuates the dangers of basis risk Provides a comprehensive series of worked examples that illustrate how to hedge real-life exposures, both statically and dynamically, including delta hedgingWith thorough coverage of asset modeling, hedging principles, hedging instruments, and practical portfolio management, Hedging Market Exposures helps you understand the risks you face and the ways to control them.

Preface
Introduction
About the Authors
The Economic Environment
Introduction
Inflation and Unemployment
Central Banks and the Money Supply
The Business Cycle
Predicting the Future?
Economic Indicators
Risk: An Introduction
What Is Risk?
Risks of Financial Instruments
Operational Risk
What Risks Are in Your Portfolio? Hidden Hazards
Hedging Market Risks
Asset Modeling
Asset Value
Financial Models
Valuation Principles
Discount Rates Selection
Cash Flow Projection and Asset Valuation
Stochastic Asset Valuation
The Monte Carlo Method
Stochastic Extrapolation
Market Exposures and Factor Sensitivities
From Valuation to Responses and Sensitivities
Response Matrix and Scenario Grid
Stress-Testing
Sensitivities
Interest Rate Sensitivities: Duration, PV01, Convexity, Key Rate Measures
Numerical Evaluation of Sensitivities
Performance Attribution and Completeness Test
Quantifying Portfolio Risks
The Nature of Risk
Standard Risk Measures
Optimal Hedge Sizing
Tail-Risk Measures
The Decision to Hedge
To Hedge or Not to Hedge?
The Hedging Process
Constructing a Hedge
An Ideal Hedge
A Sample Hedge
Static and Dynamic Hedging
Proxy Hedging
Protection versus Upside
Basis Risk
Unintended Consequences
Hedging Credit Risk
Hedging Prepayment, Redemption, and Other Human Behavior Risks
Execution
Basics of Probability Theory
Elements of Statistics and Time Series Analysis
References
Glossary
Index

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