World Scientific Publishing, 2017. — 207 p. — ISBN 9789813149960.This book presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why.Contents:Introduction Traded Assets and Liabilities Primary Assets Derivatives Modeling Risks Market Risk (Equities, FX, Commodities) Market Risk (Interest Rates) Credit Risk Liquidity Risk Operational Risk Trading Constraints Optimizing Risk Individuals Firms Banks Managing Risks Diversification Static Hedging Dynamic Hedging Case Studies Penn Square Bank (1982) Metallgesellschaft (1993) Orange County (1994) Barings Bank (1995) Long Term Capital Management (1998) The Credit Crisis (2007) Washington Mutual (2008)
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New York: McGraw-Hill, 2014. — 672 p.
The definitive guide to quantifying risk vs. return — fully updated to reveal the newest, most effective innovations in financial risk management since the 2008 financial crisis
Written for risk professionals and non-risk professionals alike, this easy-to-understand guide helps you meet the increasingly insistent demand to make...
Wiley, 2012. — 2100 p. — ISBN: 1118006739, 9781118006733
3 Volume Set.
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling
The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital...
McGraw-Hill, 2000. — 752 p.
This is the all-in-one banker's and financial manager's guide for implementing and using an effective risk management program. In today's world of multibillion-dollar credit losses and bailouts, it has become increasingly imperative for corporate and banking leaders to monitor and manage risk on all fronts. "Risk Management" introduces and explores...
N.-Y.: CRC Press, 2013. - 523p.
The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk...
Wiley – 2007, 810 pages
ISBN: 0470029781, 9780470029787
This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.
Parts I - IV discuss different risk types (including...
Wiley, 2015. — 712 p. — (Wiley Finance). — ISBN: 9781119135517.
A global banking risk management guide geared toward the practitioner.
Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the...