Whaley Derivatives: Markets, Valuation, and Risk Management, Robert E.
јвтор: Dubofsky, David A. (Virginia Commonwealth Universi Ќазвание: Derivatives: Valuation and Risk Management ISBN: 0195114701 ISBN-13(EAN): 9780195114706 »здательство: Oxford Academ –ейтинг: ÷ена: 5203 р. Ќаличие на складе: Ќет в наличии.
ќписание: Deals with the four primary types of derivative contracts: forwards, futures, swaps, and options. This work focuses more on intuitive understanding on how to value each contract, and how to compute the relevant price. It also shows how each contract can be used to manage financial risk.
јвтор: Satyajit Das Ќазвание: Risk Management: The Swaps & Financial Derivatives Library, 3rd Edition Revised ISBN: 0470821655 ISBN-13(EAN): 9780470821657 »здательство: Wiley –ейтинг: ÷ена: 15125 р. Ќаличие на складе: ≈сть (1 шт.) ќписание: Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
ќписание: This book presents a comprehensive discussion of the issues related to risk, volatility, value and risk management. The first half of the book examines ways to
manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and
The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking
industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts
and recent literature, academics and risk managers will want to read this book.
ќписание: This textbook is designed for fixed-income securities courses taught on MSc Finance and MBA courses, and contains numerous worked examples and Excel spreadsheets, with a building-block approach throughout. A key feature of the book is coverage of both traditional and alternative investment strategies in the fixed-income market. For example, it covers the modern strategies used by fixed-income hedge funds. The text is supported by a set of PowerPoint slides for use by the lecturer and includes in its topics: deriving the zero yield curve, deriving credit spreads, hedging, and interest rate and credit derivatives.
ќписание: Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia.
Ќазвание: Risk management in emerging markets ISBN: 1403991537 ISBN-13(EAN): 9781403991539 »здательство: Springer –ейтинг: ÷ена: 15014 р. Ќаличие на складе: Ќевозможна поставка.
ќписание: This book provides a thorough analysis of risk management in emerging markets. It includes the latest empirical studies on the role of insider trading and the extent of information efficiency of these markets, and a comprehensive assessment of the suitability of the Value at Risk models to emerging markets.
ќписание: Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.
ќписание: Addresses such bank management issues as Basel II and other capital management methods, securitization, resolution for non-performing loans and investments, and the measurement of interest rate risk. This title presents a valuation model that enables institutional bank managers and bank regulators to assess and control value creation and risk.