Managing Market Risk
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Hedging Market Exposures
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Author : Oleg V. Bychuk
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-28
Hedging Market Exposures written by Oleg V. Bychuk and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Business & Economics categories.
Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hedge them. The book does not require a specialized mathematical foundation, and so will appeal to both the generalist and specialist alike. For the generalist, who may not have a deep knowledge of mathematics, the book illustrates, through the copious use of examples, how to identify risks that can sometimes be hidden, and provides practical examples of quantifying and hedging exposures. For the specialist, the authors provide a detailed discussion of the mathematical foundations of risk management, and draw on their experience of hedging complex multi-asset class portfolios, providing practical advice and insights. Provides a clear description of the risks faced by managers with equity, fixed income, commodity, credit and foreign exchange exposures Elaborates methods of quantifying these risks Discusses the various tools available for hedging, and how to choose optimal hedging instruments Illuminates hidden risks such as counterparty, operational, human behavior and model risks, and expounds the importance and instability of model assumptions, such as market correlations, and their attendant dangers Explains in clear yet effective terms the language of quantitative finance and enables a non-quantitative investment professional to communicate effectively with professional risk managers, "quants", clients and others Providing thorough coverage of asset modeling, hedging principles, hedging instruments, and practical portfolio management, Hedging Market Exposures helps portfolio managers, bankers, transactors and finance and accounting executives understand the risks their business faces and the ways to quantify and control them.
The Practice Of Risk Management
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Author :
language : en
Publisher: Euromoney Institutional Investor Plc
Release Date : 1998
The Practice Of Risk Management written by and has been published by Euromoney Institutional Investor Plc this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Financial institutions categories.
This title is designed to be accessible to both technical and non-technical readers. The Practice of Risk Management is unique in its presentation of information and techniques indispensible to any form aspiring to efficient risk management.
Risk Management
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Author : Patrick McConnell
language : en
Publisher:
Release Date : 1996
Risk Management written by Patrick McConnell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Bank investments categories.
Managing Operational Risk In Financial Markets
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Author : Amanat Hussain
language : en
Publisher: Elsevier
Release Date : 2000-05-01
Managing Operational Risk In Financial Markets written by Amanat Hussain and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05-01 with Business & Economics categories.
Risk Management is one of the biggest issues facing the financial markets today. 'Managing Operational Risk in Financial Markets' outlines the major issues for risk management and focuses on operational risk as a key activity in managing risk on an enterprise-wide basis. While risk management had always been an integral part of financial activity, the 1990s has seen the requirement for risk management establish itself as a key function within banks and other financial institutions. With greater emphasis on ensuring that money is not lost through adverse market conditions, counterparty failure or inappropriate controls, systems or people, risk management has become a discipline in its own right. Managing risk is now THE paramount topic within the financial sector. Recurring major losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and controls. The collapse of Barings and losses made by Metallgescellschaft, Orange County, Diawa and Sumitomo as a result of a lack of procedures, systems or managerial control has demonstrated to organisations the need to broaden the scope of their risk management activity from merely looking at market and credit risk. This has brought into focus the need for managing operational risk. Operational risk can only be managed on an enterprise wide basis as it includes the entire process of policies, culture, procedures, expertise and systems that an institution needs in order to manage all the risks resulting from its financial transactions. In fact, in order to effectively manage market and credit risks it is necessary to have the relevant skills and expertise in the staff, technical and organisational infrastructure, as well as monitoring and control systems. As all of these are components of operational risk, it then becomes apparent that an integrated risk management approach needs to focus on operational risk. Provides a comprehensive framework for the management of operational risk Defines the spectrum of risks faced by organisations and how they can effectively manage these Develops an enterprise-wide risk information system and defines the major challenges that need to be addressed in developing such a system
Financial Risk Management
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Author : Steven Allen
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-27
Financial Risk Management written by Steven Allen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-27 with Business & Economics categories.
Table of contents
Financial Risk Management
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Author : Jimmy Skoglund
language : en
Publisher: John Wiley & Sons
Release Date : 2015-10-12
Financial Risk Management written by Jimmy Skoglund and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-12 with Business & Economics categories.
A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.
Analyzing Banking Risk
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Author : Sonja Brajovic Bratanovic
language : en
Publisher:
Release Date : 2020-06-15
Analyzing Banking Risk written by Sonja Brajovic Bratanovic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-15 with Business & Economics categories.
This publication aims to complement existing methodologies by establishing a comprehensive framework for the assessment of banks, not only by using financial data but also by considering corporate governance.
Market Risk Management For Hedge Funds
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Author : Francois Duc
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-01
Market Risk Management For Hedge Funds written by Francois Duc and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-01 with Business & Economics categories.
This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.
The Practice Of Risk Management
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Author :
language : en
Publisher:
Release Date : 1998
The Practice Of Risk Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Measuring Market Risk With Value At Risk
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Author : Pietro Penza
language : en
Publisher: John Wiley & Sons
Release Date : 2001
Measuring Market Risk With Value At Risk written by Pietro Penza and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University