Hedging Market Exposures Identifying and Managing Market Risks

Name: Hedging Market Exposures Identifying and Managing Market Risks
Availability: OutOfStock
ISBN: 9780470535066

ISBN-10: 0470535067

ISBN-13: 9780470535066

Edition: 2011

Authors: Oleg V. Bychuk, Brian Haughey

List price: $80.00

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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 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…

Book details

List price: $80.00
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 8/9/2011
Binding: Hardcover
Pages: 296
Size: 6.02" wide x 9.29" long x 1.12" tall
Weight: 1.144
Language: English



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