• Produktbild: Risk Management and Analysis
  • Produktbild: Risk Management and Analysis

Risk Management and Analysis Volume 2: New Markets and Products

198,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

26.01.1999

Herausgeber

Carol Alexander

Verlag

John Wiley & Sons

Seitenzahl

340

Maße (L/B/H)

25/17,5/2,4 cm

Gewicht

794 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-471-97959-3

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

26.01.1999

Herausgeber

Carol Alexander

Verlag

John Wiley & Sons

Seitenzahl

340

Maße (L/B/H)

25/17,5/2,4 cm

Gewicht

794 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-471-97959-3

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Risk Management and Analysis
  • Produktbild: Risk Management and Analysis
  • 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