Financial Risk Management (eBook, PDF) - Allen, Steve L.
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Financial Risk Management (eBook, PDF)

A Practitioner's Guide to Managing Market and Credit Risk

Steve L. Allen 


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Financial Risk Management (eBook, PDF)

A top risk management practitioner addresses the essentialaspects of modern financial risk managementIn the Second Edition of Financial Risk Management +Website, market risk expert Steve Allen offers an insider'sview of this discipline and covers the strategies, principles, andmeasurement techniques necessary to manage and measure financialrisk. Fully revised to reflect today's dynamic environment and thelessons to be learned from the 2008 global financial crisis, thisreliable resource provides a comprehensive overview of the entirefield of risk management.Allen explores real-world issues such as proper mark-to-marketvaluation of trading positions and determination of needed reservesagainst valuation uncertainty, the structuring of limits to controlrisk taking, and a review of mathematical models and how they cancontribute to risk control. Along the way, he shares valuablelessons that will help to develop an intuitive feel for market riskmeasurement and reporting.* Presents key insights on how risks can be isolated, quantified,and managed from a top risk management practitioner* Offers up-to-date examples of managing market and creditrisk* Provides an overview and comparison of the various derivativeinstruments and their use in risk hedging* Companion Website contains supplementary materials that allowyou to continue to learn in a hands-on fashion long after closingthe bookFocusing on the management of those risks that can besuccessfully quantified, the Second Edition of FinancialRisk Management + Websiteis the definitive source for managingmarket and credit risk.


  • ISBN-13: 9781118226520
  • ISBN-10: 1118226526
  • Best.Nr.: 37364910
S. L. Allen, J.P. Morgan Chase

STEVE ALLEN is Managing Director in charge of risk methodology at JPMorgan Chase. He is responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase's value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for all Chase trading activities for over ten years. He also serves as co-chairman of the Credit and Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed-Income Investments and Derivative Securities. Allen is Deputy Director of the Mathematics in Finance Masters' program at New York University's Courant Institute of Mathematical Sciences. He has taught the risk management course in this program for the last five years.

Leseprobe zu "Financial Risk Management (eBook, PDF)"

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Foreword xvii

Preface xix

Acknowledgments xxiii

About the Author xxvii

CHAPTER 1 Introduction 1

1.1 Lessons from a Crisis 1

1.2 Financial Risk and Actuarial Risk 2

1.3 Simulation and Subjective Judgment 4

CHAPTER 2 Institutional Background 7

2.1 Moral Hazard-Insiders and Outsiders 7

2.2 Ponzi Schemes 17

2.3 Adverse Selection 19

2.4 The Winner's Curse 21

2.5 Market Making versus Position Taking 24

CHAPTER 3 Operational Risk 29

3.1 Operations Risk 31

3.2 Legal Risk 37

3.3 Reputational Risk 41

3.4 Accounting Risk 42

3.5 Funding Liquidity Risk 42

3.6 Enterprise Risk 44

3.7 Identification of Risks 44

3.8 Operational Risk Capital 45

CHAPTER 4 Financial Disasters 49

4.1 Disasters Due to Misleading Reporting 49

4.2 Disasters Due to Large Market Moves 68

4.3 Disasters Due to the Conduct of Customer Business 77

CHAPTER 5 The Systemic Disaster of 2007-2008 83

5.1 Overview 83

5.2 The Crisis in CDOs of Subprime Mortgages 85

5.3 The Spread of the Crisis 108

5.4 Lessons from the Crisis for Risk Managers 111

5.5 Lessons from the Crisis for Regulators 115

5.6 Broader Lessons from the Crisis 132

CHAPTER 6 Managing Financial Risk 133

6.1 Risk Measurement 133

6.2 Risk Control 161

CHAPTER 7 VaR and Stress Testing 169

7.1 VaR Methodology 170

7.2 Stress Testing 192

7.3 Uses of Overall Measures of Firm Position Risk 201

CHAPTER 8 Model Risk 209

8.1 How Important Is Model Risk? 210

8.2 Model Risk Evaluation and Control 212

8.3 Liquid Instruments 237

8.4 Illiquid Instruments 241

8.5 Trading Models 250

CHAPTER 9 Managing Spot Risk 253

9.1 Overview 253

9.2 Foreign Exchange Spot Risk 257

9.3 Equity Spot Risk 258

9.4 Physical Commodities Spot Risk 259

CHAPTER 10 Managing Forward Risk 263

10.1 Instruments 270

10.2 Mathematical Models of Forward Risks 282

10.3 Factors Impacting Borrowing Costs 299

10.4 Risk Management Reporting and Limits for

Forward Risk 304

CHAPTER 11 Managing Vanilla Options Risk 311

11.1 Overview of Options Risk Management 313

11.2 The Path Dependence of Dynamic Hedging 318

11.3 A Simulation of Dynamic Hedging 321

11.4 Risk Reporting and Limits 329

11.5 Delta Hedging 344

11.6 Building a Volatility Surface 346

11.7 Summary 355

CHAPTER 12 Managing Exotic Options Risk 359

12.1 Single Payout Options 364

12.2 Time Dependent Options 378

12.3 Path Dependent Options 381

12.4 Correlation Dependent Options 404

12.5 Correlation Dependent Interest Rate Options 425

CHAPTER 13 Credit Risk 445

13.1 Short Term Exposure to Changes in Market Prices 446

13.2 Modeling Single Name Credit Risk 457

13.3 Portfolio Credit Risk 479

13.4 Risk Management of Multiname Credit Derivatives 493

CHAPTER 14 Counterparty Credit Risk 505

14.1 Overview 505

14.2 Exchange Traded Derivatives 506

14.3 Over the Counter Derivatives 512

References 533

About the Companion Website 547

Index 553
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