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Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government…mehr
Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
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Dr. DALE GRAY is the Senior Risk Expert in the Monetary and Capital Markets Department of the International Monetary Fund (IMF). He is founder and President of Macro Financial Risk, Inc. (Mf Risk) a pioneer in the application of risk management tools to economies (board members include Robert Merton and Zvi Bodie). He has worked for investment banks, hedge funds, Moody's Investors Service, IMF, World Bank, IFC as well as advising governments on macro risk analysis, management of sovereign wealth funds, and the design of risk mitigation strategies. He has worked on over thirty countries, is a frequent lecturer with numerous publications. He has a Ph.D. from MIT, MS from Stanford and is a certified Financial Risk Manager. Dr. SAMUEL W. MALONE is a professor of finance at the IESA, a business school in Caracas, and director of ProAlea, Inc., a risk and strategy consultancy based in Latin America. He holds a doctorate in economics from the University of Oxford, UK, and undergraduate degrees in mathematics and economics from Duke University, where he graduated Phi Beta Kappa with summa cum laude Latin honors. Elected to attend Oxford as a Rhodes Scholar representing the United States, Malone is also a four-time winner of the international Mathematical Contest in Modeling, an intensive problem-solving competition in which participants devise and write up solutions to real-world problems chosen by experts in government and industry. Author of several articles in applied mathematics and economics, he has consulted for the International Monetary Fund and the Inter-American Development Bank in Washington, DC.
Inhaltsangabe
Foreword Preface 1 Introduction PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS 2 A Brief History of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future References 3 Macroeconomic Models References 4 Stochastic Processes, Asset Pricing, and Option Pricing Appendix 4A Primer on relationship of put, call, and exchange options Appendix 4B Physics, Feynman, and finance References 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis References 6 Further Extensions and Applications of Contingent Claims Analysis Appendix 6A Calculating parameters in the Vasicek model References PART II THE MACROFINANCE MODELING FRAMEWORK 7 The Macrofinance Modeling Framework: Interlinked Sector Balance Sheets References 8 The Macrofinance Modeling Framework: A Closer Look at the Sovereign CCA Balance Sheet Appendix 8A Value and volatility of local currency liabilities and base money References 9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics References 10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis Appendix 10A CCA model for banks and borrowers with foreign-currency-denominated debt and lending spreads based on credit risk References 11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes References PART III LINKING MACROFINANCIAL AND MACROECONOMIC FRAMEWORKS 12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective References 13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds Appendix 13A Cross-holding by households and financial sectors of contingent claims in other sectors Appendix 13B Contingent claim values and returns of different sectors References 14 Macrofinancial Risk Framework Linked to Macroeconomic Models References PART IV CRISIS AND DISTRESS IN ECONOMIES 15 Macroeconomic Models vs. Crisis Models: Why Nonlinearity Matters References 16 Sensitivity Analysis, Destabilization Mechanisms, and Financial Crises References 17 The Case of Thailand 1996-1999 Appendix 17.A Banking and corporate sector risk analysis with scenarios References 18 The Brazil Crisis of 2002-2003 References PART V MACROFINANCIAL MODEL APPLICATIONS AND ANALYTICAL ISSUES 19 International Shocks, Risk Transmission, and Crisis Prevention References 20 Macro Risk Management: Ways to Mitigate, Control, and Transfer Risk in the Economy References 21 Integrated Framework for Corporate and Sovereign Relative Value and Capital Structure Arbitrage References 22 Conclusion and New Directions for Macrofinance Appendix A The Mundell-Fleming Model with Default Risk Index
Foreword Preface 1 Introduction PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS 2 A Brief History of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future References 3 Macroeconomic Models References 4 Stochastic Processes, Asset Pricing, and Option Pricing Appendix 4A Primer on relationship of put, call, and exchange options Appendix 4B Physics, Feynman, and finance References 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis References 6 Further Extensions and Applications of Contingent Claims Analysis Appendix 6A Calculating parameters in the Vasicek model References PART II THE MACROFINANCE MODELING FRAMEWORK 7 The Macrofinance Modeling Framework: Interlinked Sector Balance Sheets References 8 The Macrofinance Modeling Framework: A Closer Look at the Sovereign CCA Balance Sheet Appendix 8A Value and volatility of local currency liabilities and base money References 9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics References 10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis Appendix 10A CCA model for banks and borrowers with foreign-currency-denominated debt and lending spreads based on credit risk References 11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes References PART III LINKING MACROFINANCIAL AND MACROECONOMIC FRAMEWORKS 12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective References 13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds Appendix 13A Cross-holding by households and financial sectors of contingent claims in other sectors Appendix 13B Contingent claim values and returns of different sectors References 14 Macrofinancial Risk Framework Linked to Macroeconomic Models References PART IV CRISIS AND DISTRESS IN ECONOMIES 15 Macroeconomic Models vs. Crisis Models: Why Nonlinearity Matters References 16 Sensitivity Analysis, Destabilization Mechanisms, and Financial Crises References 17 The Case of Thailand 1996-1999 Appendix 17.A Banking and corporate sector risk analysis with scenarios References 18 The Brazil Crisis of 2002-2003 References PART V MACROFINANCIAL MODEL APPLICATIONS AND ANALYTICAL ISSUES 19 International Shocks, Risk Transmission, and Crisis Prevention References 20 Macro Risk Management: Ways to Mitigate, Control, and Transfer Risk in the Economy References 21 Integrated Framework for Corporate and Sovereign Relative Value and Capital Structure Arbitrage References 22 Conclusion and New Directions for Macrofinance Appendix A The Mundell-Fleming Model with Default Risk Index
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"...compelling" (Risk, November 2008)
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