Financial Risk Management A Practitioner's Guide to Managing Market and Credit Risk

ISBN-10: 111817545X

ISBN-13: 9781118175453

Edition: 2nd 2013

Authors: Steve L. Allen
List price: $150.00 Buy it from $70.69
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Description: A top risk management practitioner addresses the essential aspects of modern financial risk managementIn the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider′s view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today′s dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management.Allen explores real–world issues such as proper mark–to–market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement and reporting.Presents key insights on how risks can be isolated, quantified, and managed from a top risk management practitionerOffers up–to–date examples of managing market and credit riskProvides an overview and comparison of the various derivative instruments and their use in risk hedgingCompanion Website contains supplementary materials that allow you to continue to learn in a hands–on fashion long after closing the bookFocusing on the management of those risks that can be successfully quantified, the Second Edition of Financial Risk Management + Websiteis the definitive source for managing market and credit risk.

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Book details

List price: $150.00
Edition: 2nd
Copyright year: 2013
Publisher: John Wiley & Sons Canada, Limited
Publication date: 12/26/2012
Binding: Hardcover
Pages: 579
Size: 6.25" wide x 9.25" long x 2.00" tall
Weight: 1.892
Language: English

Foreword
Preface
Acknowledgments
About the Author
Introduction
Lessons from a Crisis
Financial Risk and Actuarial Risk
Simulation and Subjective Judgment
Institutional Background
Moral Hazard-Insiders and Outsiders
Ponzi Schemes
Adverse Selection
The Winner's Curse
Market Making versus Position Taking
Operational Risk
Operations Risk
The Risk of Fraud
The Risk of Nondeliberate Incorrect Information
Disaster Risk
Personnel Risk
Legal Risk
The Risk of Unenforceable Contracts
The Risk of Illegal Actions
Reputational Risk
Accounting Risk
Funding Liquidity Risk
Enterprise Risk
Identification of Risks
Operational Risk Capital
Financial Disasters
Disasters Due to Misleading Reporting
Chase Manhattan Bank/Drysdale Securities
Kidder Peabody
Barings Bank
Allied Irish Bank (AIB)
Union Bank of Switzerland (UBS)
Soci�t� G�n�rale
Other Cases
Disasters Due to Large Market Moves
Long-Term Capital Management (LTCM)
Metallgesellschaft (MG)
Disasters Due to the Conduct of Customer Business
Bankers Trust (BT)
JPMorgan, Citigroup, and Enron
Other Cases
The Systemic Disaster of 2007-2008
Overview
The Crisis in CDOs of Subprime Mortgages
Subprime Mortgage Originators
CDO Creators
Rating Agencies
Investors
Investment Banks
Insurers
The Spread of the Crisis
Credit Contagion
Market Contagion
Lessons from the Crisis for Risk Managers
Subprime Mortgage Originators
CDO Creators
Rating Agencies
Investors
Investment Banks
Insurers
Credit Contagion
Market Contagion
Lessons from the Crisis for Regulators
Mortgage Originators
CDO Creators
Rating Agencies
Investors
Investment Banks
Insurers
Credit Contagion
Market Contagion
Broader Lessons from the Crisis
Managing Financial Risk
Risk Measurement
General Principles
Risk Management of Instruments That Lack Liquidity
Market Valuation
Valuation Reserves
Analysis of Revenue
Exposure to Changes in Market Prices
Risk Measurement for Position Taking
Risk Control
VaR and Stress Testing
VaR Methodology
Simulation of the P&L Distribution
Measures of the P&L Distribution
Stress Testing
Overview
Economic Scenario Stress Tests
Stress Tests Relying on Historical Data
Uses of Overall Measures of Firm Position Risk
Model Risk
How Important Is Model Risk?
Model Risk Evaluation and Control
Scope of Model Review and Control
Roles and Responsibilities for Model Review and Control
Model Verification
Model Verification of Deal Representation
Model Verification of Approximations
Model Validation
Continuous Review
Periodic Review
Liquid Instruments
Illiquid Instruments
Choice of Model Validation Approach
Choice of Liquid Proxy
Design of Monte Carlo Simulation
Implications for Marking to Market
Implications for Risk Reporting
Trading Models
Managing Spot Risk
Overview
Foreign Exchange Spot Risk
Equity Spot Risk
Physical Commodities Spot Risk
Managing Forward Risk
Instruments
Direct Borrowing and Lending
Repurchase Agreements
Forwards
Futures Contracts
Forward Rate Agreements
Interest Rate Swaps
Total Return Swaps
Asset-Backed Securities
Mathematical Models of Forward Risks
Pricing Illiquid Flows by Interpolation
Pricing Long-Dated Illiquid Flows by Stack and Roll
Flows Representing Promised Deliveries
Indexed Flows
Factors Impacting Borrowing Costs
The Nature of Borrowing Demand
The Possibility of Cash-and-Carry Arbitrage
The Variability of Storage Costs
The Seasonality of Borrowing Costs
Borrowing Costs and Forward Prices
Risk Management Reporting and Limits for Forward Risk
Managing Vanilla Options Risk
Overview of Options Risk Management
The Path Dependence of Dynamic Hedging
A Simulation of Dynamic Hedging
Risk Reporting and Limits
Delta Hedging
Building a Volatility Surface
Interpolating between Time Periods
Interpolating between Strikes-Smile and Skew
Extrapolating Based on Time Period
Summary
Managing Exotic Options Risk
Single-Payout Options
Log Contracts and Variance Swaps
Single-Asset Quanto Options
Convexity
Binary Options
Contingent Premium Options
Accrual Swaps
Time-Dependent Options
Forward-Starting and Cliquet Options
Compound Options
Path-Dependent Options
Standard Analytic Models for Barriers
Dynamic Hedging Models for Barriers
Static Hedging Models for Barriers
Barrier Options with Rebates, Lookback, and Ladder Options
Broader Classes of Path-Dependent Exotics
Correlation-Dependent Options
Linear Combinations of Asset Prices
Risk Management of Options on Linear Combinations
Index Options
Options to Exchange One Asset for Another
Nonlinear Combinations of Asset Prices
Correlation between Price and Exercise
Correlation-Dependent Interest Rate Options
Models in Which the Relationship between Forwards Is Treated as Constant
Term Structure Models
Relationship between Swaption and Cap Prices
Credit Risk
Short-Term Exposure to Changes in Market Prices
Credit Instruments
Models of Short-Term Credit Exposure
Risk Reporting for Market Credit Exposures
Modeling Single-Name Credit Risk
Estimating Probability of Default
Estimating Loss Given Default
Estimating the Amount Owed at Default
The Option-Theoretic Approach
Portfolio Credit Risk
Estimating Default Correlations
Monte Carlo Simulation of Portfolio Credit Risk
Computational Alternatives to Full Simulation
Risk Management and Reporting for Portfolio Credit Exposures
Risk Management of Multiname Credit Derivatives
Multiname Credit Derivatives
Modeling of Multiname Credit Derivatives
Risk Management and Reporting for Multiname Credit Derivatives
CDO Tranches and Systematic Risk
Counterparty Credit Risk
Overview
Exchange-Traded Derivatives
Over-the-Counter Derivatives
Overview
The Loan-Equivalent Approach
The Collateralization Approach
The Collateralization Approach-Wrong-Way Risk
The Active Management Approach
References
About the Companion Website
Index
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