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
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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