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  • Produktbild: An Introduction to Value-at-Risk, Fifth Edition
  • Produktbild: An Introduction to Value-at-Risk, Fifth Edition

An Introduction to Value-at-Risk, Fifth Edition

Aus der Reihe Wiley-CISI

84,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

08.04.2013

Verlag

John Wiley & Sons

Seitenzahl

224

Maße (L/B/H)

22,9/15,2/1,2 cm

Gewicht

335 g

Auflage

5th Revised edition

Sprache

Englisch

ISBN

978-1-118-31672-6

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

08.04.2013

Verlag

John Wiley & Sons

Seitenzahl

224

Maße (L/B/H)

22,9/15,2/1,2 cm

Gewicht

335 g

Auflage

5th Revised edition

Sprache

Englisch

ISBN

978-1-118-31672-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: An Introduction to Value-at-Risk, Fifth Edition
  • Produktbild: An Introduction to Value-at-Risk, Fifth Edition

  • Foreword xv

    Preface xvii

    Preface to the first edition xxi

    About the author xxiii

    1 Introduction to Risk 1

    Defining risk 2

    The elements of risk: characterising risk 3

    Forms of market risk 4

    Other risks 5

    Risk estimation 6

    Risk management 7

    The risk management function 7

    Managing risk 9

    Quantitative measurement of risk-reward 9

    Standard deviation 10

    Sharpe Ratio 10

    Van Ratio 11

    2 Volatility and Correlation 13

    Statistical concepts 14

    Arithmetic mean 14

    Probability distributions 16

    Confidence intervals 18

    Volatility 20

    The normal distribution and VaR 26

    Correlation 28

    3 Value-at-risk 29

    What is VaR? 30

    Definition 30

    Methodology 32

    Centralised database 32

    Correlation assumptions 33

    Correlation method 33

    Historical simulation method 34

    Monte Carlo simulation method 35

    Validity of the volatility-correlation VaR estimate 35

    How to calculate VaR 35

    Historical method 36

    Simulation method 37

    Variance-covariance, analytic or parametric method 37

    Mapping 44

    Confidence intervals 47

    Comparison between methods 48

    Choosing between methods 48

    Comparison with the historical approach 53

    Comparing VaR calculation for different methodologies 54

    Summary 56

    4 Value-at-risk for Fixed Interest Instruments 59

    Fixed income products 60

    Bond valuation 60

    Duration 62

    Modified duration 64

    Convexity 64

    Interest rate products 65

    Forward rate agreements 65

    Fixed income portfolio 68

    Applying VaR for a FRA 70

    VaR for an interest rate swap 72

    Applying VaR for a bond futures contract 76

    Calculation illustration 76

    The historical method 79

    Simulation methodology 80

    Volatility over time 81

    Application 81

    Bloomberg screens 82

    5 Options: Risk and Value-at-risk 85

    Option valuation using the Black-Scholes model 86

    Option pricing 86

    Volatility 88

    The Greeks 89

    Delta 90

    Gamma 90

    Vega 91

    Other Greeks 92

    Risk measurement 92

    Spot ladder 93

    Maturity ladder 93

    Across-time ladder 93

    Jump risk 93

    Applying VaR for Options 94

    6 Monte Carlo Simulation and Value-at-risk 99

    Introduction: Monte Carlo simulation 100

    Option value under Monte Carlo 100

    Monte Carlo distribution 103

    Monte Carlo simulation and VaR 104

    7 Regulatory Issues and Stress-testing 107

    Capital adequacy 108

    Model compliance 108

    Cad II 109

    Specific risk 111

    Back-testing 112

    Stress-testing 112

    Simulating stress 113

    Stress-testing in practice 114

    Issues in stress-testing 115

    The Crash and Basel III 116

    Stressed VaR 116

    8 Credit Risk and Credit Value-at-risk 119

    Types of credit risk 120

    Credit spread risk 120

    Credit default risk 121

    Credit ratings 121

    Credit ratings 121

    Ratings changes over time 123

    Corporate recovery rates 125

    Credit derivatives 126

    Measuring risk for a CDS contract 128

    Modelling credit risk 129

    Time horizon 131

    Data inputs 131

    CreditMetrics 131

    Methodology 132

    Time horizon 133

    Calculating the credit VaR 134

    CreditRisk þ 137

    Applications of credit VaR 142

    Prioritising risk-reducing actions 142

    Standard credit limit setting 143

    Concentration limits 144

    Integrating the credit risk and market risk functions 144

    9 A Review of Value-at-risk 147

    VaR in Crisis 149

    Weaknesses Revealed 151

    Market risk 151

    Credit risk 153

    Portfolio effects 155

    New Regulation and Development 158

    Procyclicality: stressed VaR (SVaR) 158

    Default and migration risks: incremental risk charge (IRC) 159

    Liquidity risks: differing liquidity horizons 161

    Counterparty risks: CVA VaR 162

    Fat tail risk: over-buffering 164

    New framework for trading book 164

    Beyond the Current Paradigm 166

    Exercises 171

    Appendix: Taylor's Expansion 179

    Abbreviations 183

    Selected bibliography 185

    Index 187