Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd Edition, Anthony Saunders
Автор: Saunders, Anthony Allen, Linda Название: Credit risk management in and out of the financial crisis ISBN: 0470478349 ISBN-13(EAN): 9780470478349 Издательство: Wiley Цена: 13613 р. Наличие на складе: Есть у поставщикаПоставка под заказ. Описание: A classic book on credit risk management is updated to reflect the current economic crisis
Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology.
Описание: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining) and central counterparties. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. Portfolio management and hedging of CVA are described in full. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed. The management of counterparty risk within an institution by a CVA desk is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk and CVA.
Описание: Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.
Описание: Risk Management and Shareholders` Value in Banking covers all main aspects of risk management, capital management and value creation for financial institutions; it is structured in six parts. Part One covers the measurement and management of the interest rate risk on all assets and liabilities of a banking institution.
Описание: For an increasing number of banks, risk management is not merely the measurement and reporting of risk in isolation. With the recognition that it is necessary to take some risks to ensure a return, the question that all banks must ask is: are we achieving sufficient return for all the risks that we are taking? There are two necessary corollaries to the answering of this question: How does the bank ensure that all the risks have been identified? § How does the bank ensure that the potential impacts of the risks are quantified in a consistent and timely fashion? This book is aimed at practitioners and covers all aspects of risk management. Part 1 of the book provides a high-level overview of modern risk management that is being applied within banks and other financial institutions around the world. Part 2 of the book is designed to cover the main approaches that banks use to measure and to control market risk. It starts with a broad discussion about market risk, and then describes both the traditional sensitivity/equivalence and modern VaR approaches using a mixture of realistic examples. The practical difficulties of implementing the approaches, as well as the approval process that must be satisfied if internal models are to be used for the determination of regulatory capital, are also discussed. Part 3 covers both the traditional, albeit briefly, and the modern approaches to the measurement and management of credit risks. It starts with a broad discussion about credit risk, and how it can arise with different examples such as straight bullet loans contrasted with the potential exposure under a swap. It then goes on to discuss different approaches to credit risk management, using a mixture of realistic examples. The practical difficulties of implementing the approaches, as well as the approval process that must be satisfied if internal models are to be used for the determination of regulatory capital, are also discussed. The rapidly growing credit derivative market is also covered, as well as the causes and effects of the banking crisis of 2007-9. Part 4 covers operational risk. The formal quantification of operational risk has been given considerable impetus by the new Accord, although the leading banks had started down this route long before. However, for many banks and other financial institutions, the process of assessing operational risks is quite new. This section of the book develops a broad methodology for the management of operational risk, covering identification, assessment, monitoring and control. The practical difficulties of implementing such methodologies are also discussed. Part 5 draws it all together, enabling practitioners to produce a framework that can be implemented in their own organization.
Автор: Bhatia Название: Handbook of Applied Risk Measurement ISBN: 0470665424 ISBN-13(EAN): 9780470665428 Издательство: Wiley Рейтинг: Цена: 12705 р. Наличие на складе: Поставка под заказ.
Описание: A comprehensive, on-stop guide to risk measurement tools and techniques The Handbook of Risk Measurement is a one-stop guide to the measurement of key financial risks in firms. It schools readers in basic risk measurement concepts and techniques while showing them how to apply them. It begins with an in-depth look at one of the most important components of risk measurement--data sources. It then takes readers though every stage of the risk measurement process, describing the range of tools that can be applied at each stage. The book goes on to examine risk processes, risk models, linear and non-linear correlation, and stress testing, and it provides numerous validation and approximation techniques. Throughout, the author points out the strengths and weaknesses of the risk models and processes described as well as important factors to consider when using them to perform risk measurements. Provides detailed coverage of risk modeling for each risk group: market, credit, operational, liquidity, and insurance risk Features case studies on real-world transactions and risk failures, illustrating the vital importance of correctly choosing and implementing risk models Explores important lessons learned from the financial crises and the future direction of the financial industry
Описание: Whether already experienced with hedge funds, or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. "Hedge Funds" unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, "Hedge Funds" helps readers make the most of this flexible investment vehicle.
Описание: Gives an introduction to market risk that is geared towards the needs of the postgraduate students studying financial risk management. This title includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
Описание: Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. Focusing on ex–post risk from a buy side, asset management, risk practitioner s perspective, Practical Risk–Adjusted Performance Measurement simplifies the subject and demonstrates with practical examples that risk is not as complicated as it might seem. The book begins by introducing risk in the context of asset management firms before going on to cover the descriptive statistics required for later chapters. Then, structured according to the type of risk measure being considered, the book covers simple measures, regression measures, drawdown, partial moments, extreme risk, risk measures for fixed income instruments, and risk adjusted returns. The book concludes with a discussion as to which risk measures to use and their application in terms of risk control. By documenting, with appropriate referencing, many of the ex–post risk measures in a structured format, filling gaps, encouraging consistency, suggesting new measures and highlighting possible areas of confusion or misrepresentation, this book is the ideal practitioners practical guide to ex–post performance measurement techniques. Written by a renowned expert in investment performance, the book includes a number of practical worked examples for risk measures and their interpretation and is also accompanied by a supplementary website, www.wiley.com/go/performancemeasurement, containing excel worked examples.
Описание: The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.
Автор: Jack L. King Название: Operational Risk: Measurement and Modelling ISBN: 0471852090 ISBN-13(EAN): 9780471852094 Издательство: Wiley Рейтинг: Цена: 20873 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them. Featuring numerous examples and case studies, the book compares each technique with relevant examples in investment banking, covering a variety of situations, including fraud, fire, and natural disaster.
Описание: Offers a fresh method for managing the risk inherent in portfolios and investment strategies. Covering one of the hottest topics among investors and analysts in the wake of the banking scandals, this title helps readers both evaluate risk and predict devastating worst-case scenarios and Black Swan events.
Описание: RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS "Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples."- Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association "Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner's perspective. This text will rank among the most essential readings for both market professionals and academics." -Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac "The most systematic and comprehensive overview of fixed income risk management."-Philippe Jorion, Professor of Finance, University of California-Irvine, AuthoValue at Risk: The New Benchmark for Controlling Derivatives Risk "An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended."-Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System "Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income."-Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM).
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