Louis Esch, Robert Kieffer, Thierry Lopez

Asset and Risk Management (eBook, PDF)

Risk Oriented Finance

• Format: PDF

Produktbeschreibung

The aim of this book is to study three essential components of modern finance - Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together. It is divided into five parts: * Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions. * Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options. * Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology. * Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe's simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis. * Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet. The book is aimed both at financial professionals and at students whose studies contain a financial aspect. "Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management." --Harry M Markowitz, San Diego, USA

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 424
• Erscheinungstermin: 27. September 2005
• Englisch
• ISBN-13: 9780470012581
• Artikelnr.: 37289553

Autorenporträt

Louis Esch Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liège. Robert Kieffer Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training. Thierry Lopez Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals). Assisted by: Christian Berbé, Pascal Damel, Michel Debay, Jean-François Hannosset.

Inhaltsangabe

Collaborators. Foreword by Philippe Jorion. Acknowledgements. Introduction.
Areas covered. Who is this book for? PART I: THE MASSIVE CHANGES IN THE
WORLD OF FINANCE. Introduction. 1 The Regulatory Context 1.1 Precautionary
surveillance. 1.2 The Basle Committee. 1.2.1 General information. 1.2.2
Basle II and the philosophy of operational risk. 1.3 Accounting standards.
2 Changes in Financial Risk Management. 2.1 Definitions. 2.2 Changes in
financial risk management. 2.3 A new risk-return world. PART II: EVALUATING
FINANCIAL ASSETS. Introduction 3 Equities. 3.1 The basics. 3.2 Portfolio
diversification and management. 3.3 Model of financial asset equilibrium
and applications. 3.4 Equity dynamic models. 4 Bonds. 4.1 Characteristics
and valuation. 4.2 Bonds and financial risk. 4.3 Deterministic structure of
interest rates. 4.4 Bond portfolio management strategies. 4.5 Stochastic
bond dynamic models. 5 Options. 5.1 Definitions. 5.2 Value of an option.
5.3 Valuation models. 5.4 Strategies on options. PART III: GENERAL THEORY
OF VaR. Introduction. 6 Theoryof VaR. 6.1 The concept of 'risk per share'.
6.2 VaR for a single asset. 6.3 VaR for a portfolio. 7 VaR Estimation
Techniques. 7.1 General questions in estimating VaR. 7.2 Estimated
variance-covariance matrix method. 7.3 Monte Carlo simulation. 7.4
Historical simulation. 7.5 Advantages and drawbacks. 8 Setting Up a VaR
Methodology. 8.1 Putting together the database. 8.2 Calculations. 8.3 The
normality hypothesis.- PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction. 9 Portfolio Risk Management. 9.1 General principles. 9.2
Portfolio risk management method. 10 Optimising the Global Portfolio via
VaR. 10.1 Taking account of VaR in Sharpe's simple index method. 10.2
Taking account of VaR in the EGP method. 10.3 Optimising a global portfolio
via VaR. 11 Institutional Management: APT Applied to Investment Funds. 11.1
Absolute global risk. 11.2 Relative global risk/tracking error. 11.3
Relative fund risk vs. benchmark abacus. 11.4 Allocation of systematic
risk. 11.5 Allocation of performance level. 11.6 Gross performance level
and risk withdrawal. 11.7 Analysis of style. PART V: FROM RISK MANAGEMENT
TO ASSET AND LIABILITY MANAGEMENT. Introduction. 12 Techniques for
Measuring Structural Risks in Balance Sheets. 12.1 Tools for structural
risk analysis in asset and liability management. 12.2 Simulations. 12.3
Using VaR in ALM. 12.4 Repricing schedules (modelling of contracts with
floating rates). 12.5 Replicating portfolios. APPENDICES. Appendix 1:
Mathematical Concepts. 1.1 Functions of one variable. 1.2 Functions of
several variables. 1.3 Matrix calculus. Appendix 2: Probabilistic Concepts.
2.1 Random variables. 2.2 Theoretical distributions. 2.3 Stochastic
processes. Appendix 3: Statistical Concepts. 3.1 Inferential statistics.
3.2 Regressions. Appendix 4: Extreme Value Theory. 4.1 Exact result. 4.2
Asymptotic results. Appendix 5 Canonical Correlations. 5.1 Geometric
presentation of the method. 5.2 Search for canonical characters. Appendix
6: Algebraic Presentation of Logistic Regression. Appendix 7: Time Series
Models: ARCH-GARCH and EGARCH. 7.1 ARCH-GARCH models. 7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations. 8.1 General
principles for iterative methods. 8.2 Principal methods. 8.3 Nonlinear
equation systems. Bibliography. Index.