Carol Alexander (Hrsg.)

Risk Management and Analysis, New Markets and Products

Mitarbeit: Alexander, Carol, Herausgegeben:Alexander, Carol

• Gebundenes Buch

Produktbeschreibung

The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains.
New Markets and Products begins with two chapters on emerging markets. The book then goes on to cover markets and products of increasing complexity: standard equity and interest rate derivatives, exotic options, swap (and swaptions), volatility trading and finally credit derivatives.
The contributors are all acknowledged experts in their fields: Michael Howell, Mark Fox, Ian King, Chris Rogers, Andrew Street, Riccardo Rebonato, Edmond Levy, Bryan Thomas, Vincent Lacoste, Desmond Fitzgerald and Blythe Masters.
New Markets and Products will be an essential reference tool for risk managers, institutional investors, fund managers, bankers, corporate treasurers and financial consultants.
"In this volume Carol Alexander has gathered together ten articles that are concerned with important recent developments in financial markets. Two of the articles are concerned with emerging markets. They explore the reasons for their growth and the nature of the investment opportunities available. The remaining eight articles are concerned with derivatives. There are chapters on equity derivatives, interest rate derivatives, exotic options, volatility trading, and credit derivatives. The final chapter on credit derivatives is particularly timely. This market is in the process of transforming the way banks manage credit risk. I have seen no other discussion of the market as comprehensive and useful as that provided by Blythe Masters.
Market participants and students alike will find much useful and thought-provoking information in this volume."
- John Hull, August 1998

Produktdetails

• Wiley Series in Financial Engineering
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 300
• Erscheinungstermin: 26. Januar 1999
• Englisch
• Abmessung: 250mm x 175mm x 24mm
• Gewicht: 752g
• ISBN-13: 9780471979593
• ISBN-10: 0471979597
• Artikelnr.: 07440045

Autorenporträt

Alexander, a dual citizen of the US and a former British colony, currently resides in the verdant Carolinas. Though often regarded as a quiet, reserved (not bashful) introvert, he comes to life during interesting one-on-one conversations. He loves and respects all animals and is tentatively training for his fifth (and final?) marathon, while continuing the creation of Robie's second excursion.

Inhaltsangabe

List of Contributors About the Contributors Preface Foreword Emerging
Markets I, Michael J.Howell Introduction Growing Countries not Poor
Countries Cross-Border Capital Flows Markets in Emerging Financial
Economies The Future Size of Emerging Stock Markets The Growing Need for
Financial Development Conclusion Appendix 1: Selected Data on Emerging
Markets Appendix 2: Valuation Methods Endnotes References Emerging Markets
II, Mark Fox and Ian King Introduction The Beginning of Emerging Markets
Defining Emerging Markets The size of Emerging Markets Do Emerging Markets
Constitute a Separate Asset Class? Non-Performing Loans History The Present
Market Brady Bonds History Structures of Brady Plans The Brady Market
Analysing Brady Bonds Evaluating Default Risk Income Guarantees Trading
Strategies Exclusive to Brady Bonds Eurobonds History A Changing Role The
Role of Credit Curves Using Credit Curves Analysing Credit Curves Trading
Credit Curve Shapes Local Markets and Emerging Market Currencies The Role
of Local Markets in the Investing Cycle The Character of Local Emerging
Debt Markets Russia - A Case Study Strategic Uses for Investing in Local
Markets Trading and Managing Local Currency Exposure Trading and Managing
Local Interest Rate Exposure Equities History Analysing Emerging Equity
Stocks Trading and Managing Emerging Equity Market Exposure Strategic Uses
for Investing in Emerging Equity Markets Benchmarks Derivatives Options
Repurchase Agreements Structured Notes Credit Derivatives Relative Value
Trades Equities Special Considerations in Evaluating Relative Value A
Matrix Approach to Regional and Asset Allocation Past Experience Endnotes
The Origins of Risk-Neutral Pricing and the Black-Scholes Formula, L.C.G.
Rogers Introduction Portfolio Choices Some Notions and Notations from
Probability Optimal Investment The Binomial Market and the Black-Scholes
Formula Appendix: Two Other Approaches Endnotes References Equity
Derivatives Andrew Street Introduction Aims and Scope of this Chapter
Classification of Equity Derivatives General Features of Pricing Equity
Derivatives Historical Development Listed Equity Derivatives Unlisted or
"Over-the-Counter" Equity Derivatives The Utility of Equity Derivatives The
Evaluation of Risk and Return Tax Efficiency Regulatory Efficiency Leverage
Implementation of Specific Investment Views Efficiency and Cost
Effectiveness The Utility of Equity Derivatives for Borrowers The Role of
the Investment Bank in the Creation of Equity Derivatives Capital Credit
Risk Aggregation Technology Index Products Exchange Traded Equity
Derivatives Over-the-Counter Traded Equity Derivatives Hybrid Equity
Derivatives Single Stocks, Bespoke Index Products Future Development for
Equity Derivatives Glossary of Terms References Interest Rate Option
Models: A Critical Survey, Riccardo Rebonato Introduction and Outline of
the Chapter Yield Curve Models: A Statistical Motivation Statistical
Analysis of the Evolution of Rates A Framework for Option Pricing The
No-Arbitrage Conditions Definition of No-arbitrage in a Complete Market The
Condition of No-arbitrage: Vasicek's Approach The condition of
No-arbitrage: The Martingale Approach First Choice of Numeraire: The Money
Market Account Second Choice of Numeraire: A Discount Bond The General Link
Between Different Measures The Implementation Tools Lattice Approaches:
Justification and Implementation Monte Carlo (MC) Approaches PDE
Approaches: Finite Differences Schemes and Analytic Solutions Analysis of
Specific Models BDT: Models Implications and Empirical Findings Extended
Vasicek (HW): Model Implications and Empirical Findings Longstaff and
Schwartz: Model Implications and Empirical Findings The HJM Approach
Conclusions or "How to Choose the Best Model" References Exotic Options I,
Edmond Levy Introduction Asian Options Definition and Uses Valuation
Approaches Risk Management of Asian Options Binary and Contingent Premium
Options Examples and Uses Valuation and Hedging Currency Protected Options
Cross-Market Contracts Valuation of Cross-Market Contracts Currency Basket
Options Appendix 1 Appendix 2 Appendix 3 References Exotic Options II,
Bryan Thomas Barrier Options Definitions and Examples of single barrier
options An Analytical Model of Single Barrier options Alternative Modelling
Methods Risk Management of Single Barrier options Barrier Options
Combinations Rebates Discontinuous Barriers Double Barrier Options Second
Market Barriers Compound Options Definitions and Example Geske's Model Risk
Management Extensions Even More Exotic Options References Captions and
Swaptions Vincent Lacoste Change of Numeraire: A General Valuation Method
for Swaptions Introductory Comments Technical Properties Application to
Swaptions Hedging a Swaption Hedging Swptions Against Yield Curve Scenarios
The Hedging Space Estimated Methods Empirical Results Concluding remarks on
Historical Data Marking to Market the Term structure of Volatility Captions
Non-Parametric estimation of the Volatility Structure Concluding remarks Is
There a "Market Model of Interest Rates"? Appendix Endnotes References
Trading Volatility, M. Desmond Fitzgerald Introduction Basics of Volatility
Trading Analysing Volatility Patterns for Trading Relative Volatility
Trading Summary Credit Derivatives, Blythe Masters Background and Overview:
The Case for Credit Derivatives What are Credit Derivatives? What is the
Significance of Credit Derivatives? Basic Credit Derivative Structures and
Applications Credit (Default) Swaps Total (Rate of) Swaps Credit Options
Downgrade Options Dynamic Credit Swaps Other Credit Derivatives A Portfolio
Approach to Credit Risk Management Why Credit Has Become a Risk-Management
Challenge The Need for a Portfolio Approach to Credit Risk The Challenges
of Estimating Portfolio Credit Risk Assessing Credit Risk on a Portfolio
Basis: Methodology Practical Applications of Portfolio Methodology Using
Credit Derivatives Regulatory Treatment of Credit Derivatives Balance Sheet
Management: Synthetic Securitization Investment Considerations Filling Gaps
in the Credit Spectrum Transcending Asset Class Barriers Recovery Rate Term
Common Pricing Considerations Predictive or Theoretical Pricing Models of
Credit Swaps Mark to Market and Valuation Methodologies for Credit Swaps
Risk Equivalence of Total Return Swaps and Credit Swaps for Valuation
Purposes Relative Value Analysis of Credit Swaps Counterparty
Considerations Conclusion Credit Derivatives and Portfolio Management Other
Implications Glossary Endnotes/References Index

Rezensionen

"In what started as a second edition of the well received Handbook of Risk Management and Analysis, Carol Alexander has taken up the challenge of the increasing complexity of today's markets by selecting additional material to cover new aspects of risk modelling and new products, hence the present two volume edition. As before, the authors are well known not only for their expository skills. Sound theories and tried and tested methods are explained; new markets and products are clearly described. This is essential reading for the growing community of quantitatively-minded risk managers.", Dr Jacques Pezier, September 1998, , #