Steve L. Allen

Financial Risk Management (eBook, ePUB)

A Practitioner's Guide to Managing Market and Credit Risk

• Format: ePub

Produktbeschreibung

A top risk management practitioner addresses the essential aspects of modern financial risk management In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management. Allen explores real-world issues such as proper mark-to-market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement 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 credit risk * Provides an overview and comparison of the various derivative instruments and their use in risk hedging * Companion Website contains supplementary materials that allow you to continue to learn in a hands-on fashion long after closing the book Focusing on the management of those risks that can be successfully quantified, the Second Edition of Financial Risk Management + Websiteis the definitive source for managing market and credit risk.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 608
• Erscheinungstermin: 31. Dezember 2012
• Englisch
• ISBN-13: 9781118231647
• Artikelnr.: 37756177

Autorenporträt

STEVEN ALLEN is a risk management consultant, specializing in risk measurement and valuation with a particular emphasis on illiquid and hard-to-value assets. Until his retirement in 2004, he was Managing Director in charge of risk methodology at JPMorgan Chase, where he was 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. Since 1998, Allen has been associated with the Mathematics in Finance Master's Program at New York University's Courant Institute of Mathematical Sciences. In this program, he has served as Clinical Associate Professor and Deputy Director and has created and taught courses in risk management, derivatives mathematics, and interest rate and credit models. He was a member of the board of directors of the International Association of Financial Engineers and continues to serve as co-chair of their Education Committee.

Inhaltsangabe

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