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Financial Risk
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Artikel-Nr:
9780470481806
Veröffentl:
2011
Erscheinungsdatum:
04.10.2011
Seiten:
752
Autor:
Allan M Malz
Gewicht:
1220 g
Format:
235x157x44 mm
Sprache:
Englisch
Beschreibung:
ALLAN M. MALZ is a Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has also worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management.
Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today.
Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include:
* Market risk, from Value-at-Risk (VaR) to risk models for options
* Credit risk, from portfolio credit risk to structured credit products
* Model risk and validation
* Risk capital and stress testing
* Liquidity risk, leverage, systemic risk, and the forms they take
* Financial crises, historical and current, their causes and characteristics
* Financial regulation and its evolution in the wake of the global crisis
* And much more
Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.
Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include:
* Market risk, from Value-at-Risk (VaR) to risk models for options
* Credit risk, from portfolio credit risk to structured credit products
* Model risk and validation
* Risk capital and stress testing
* Liquidity risk, leverage, systemic risk, and the forms they take
* Financial crises, historical and current, their causes and characteristics
* Financial regulation and its evolution in the wake of the global crisis
* And much more
Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.
List of Figures xvii
Preface xxi
CHAPTER 1: Financial Risk in a Crisis-Prone World 1
1.1 Some History: Why Is Risk a Separate Discipline Today? 1
1.2 The Scope of Financial Risk 34
CHAPTER 2: Market Risk Basics 43
2.1 Arithmetic, Geometric, and Logarithmic Security Returns 44
2.2 Risk and Securities Prices: The Standard Asset Pricing Model 49
2.3 The Standard Asset Distribution Model 63
2.4 Portfolio Risk in the Standard Model 75
2.5 Benchmark Interest Rates 88
CHAPTER 3: Value-at-Risk 93
3.1 Definition of Value-at-Risk 94
3.2 Volatility Estimation 99
3.3 Modes of Computation 108
3.4 Short Positions 113
3.5 Expected Shortfall 114
CHAPTER 4: Nonlinear Risks and the Treatment of Bonds and Options 119
4.1 Nonlinear Risk Measurement and Options 121
4.2 Yield Curve Risk 136
4.3 VaR for Default-Free Fixed Income Securities Using The Duration and Convexity Mapping 148
CHAPTER 5: Portfolio VaR for Market Risk 159
5.1 The Covariance and Correlation Matrices 160
5.2 Mapping and Treatment of Bonds and Options 162
5.3 Delta-Normal VaR 163
5.4 Portfolio VAR via Monte Carlo simulation 174
5.5 Option Vega Risk 175
CHAPTER 6: Credit and Counterparty Risk 191
6.1 Defining Credit Risk 192
6.2 Credit-Risky Securities 193
6.3 Transaction Cost Problems in Credit Contracts 196
6.4 Default and Recovery: Analytic Concepts 199
6.5 Assessing creditworthiness 204
6.6 Counterparty Risk 207
6.7 The Merton Model 213
6.8 Credit Factor Models 222
6.9 Credit Risk Measures 226
CHAPTER 7: Spread Risk and Default Intensity Models 231
7.1 Credit Spreads 231
7.2 Default Curve Analytics 235
7.3 Risk-Neutral Estimates of Default Probabilities 241
7.4 Spread Risk 261
CHAPTER 8: Portfolio Credit Risk 265
8.1 Default Correlation 266
8.2 Credit Portfolio Risk Measurement 270
8.3 Default Distributions and Credit VaR with the Single-Factor Model 275
8.4 Using Simulation and Copulas to Estimate Portfolio Credit Risk 284
CHAPTER 9: Structured Credit Risk 297
9.1 Structured Credit Basics 297
9.2 Credit Scenario Analysis of a Securitization 309
9.3 Measuring Structured Credit Risk via Simulation 318
9.4 Standard Tranches and Implied Credit Correlation 337
9.5 Issuer and Investor Motivations for Structured Credit 342
CHAPTER 10: Alternatives to the Standard Market Risk Model 349
10.1 Real-World Asset Price Behavior 349
10.2 Alternative Modeling Approaches 363
10.3 The Evidence on Non-Normality in Derivatives Prices 372
CHAPTER 11: Assessing the Quality of Risk Measures 393
11.1 Model Risk 393
11.2 Backtesting of VaR 407
11.3 Coherence of VaR Estimates 414
CHAPTER 12: Liquidity and Leverage 421
12.1 Funding Liquidity Risk 422
12.2 Markets for Collateral 437
12.3 Leverage and Forms of Credit in Contemporary Finance 448
12.4 Transactions Liquidity Risk 461
12.5 Liquidity Risk Measurement 464
12.6 Liquidity and Systemic Risk 469
CHAPTER 13: Risk Control and Mitigation 477
13.1 Defining Risk Capital 478
13.2 Risk Contributions 480
13.3 Stress Testing 499
13.4 Sizing Positions 506
13.5 Risk Reporting 509
13.6 Hedging and Basis Risk 512
Preface xxi
CHAPTER 1: Financial Risk in a Crisis-Prone World 1
1.1 Some History: Why Is Risk a Separate Discipline Today? 1
1.2 The Scope of Financial Risk 34
CHAPTER 2: Market Risk Basics 43
2.1 Arithmetic, Geometric, and Logarithmic Security Returns 44
2.2 Risk and Securities Prices: The Standard Asset Pricing Model 49
2.3 The Standard Asset Distribution Model 63
2.4 Portfolio Risk in the Standard Model 75
2.5 Benchmark Interest Rates 88
CHAPTER 3: Value-at-Risk 93
3.1 Definition of Value-at-Risk 94
3.2 Volatility Estimation 99
3.3 Modes of Computation 108
3.4 Short Positions 113
3.5 Expected Shortfall 114
CHAPTER 4: Nonlinear Risks and the Treatment of Bonds and Options 119
4.1 Nonlinear Risk Measurement and Options 121
4.2 Yield Curve Risk 136
4.3 VaR for Default-Free Fixed Income Securities Using The Duration and Convexity Mapping 148
CHAPTER 5: Portfolio VaR for Market Risk 159
5.1 The Covariance and Correlation Matrices 160
5.2 Mapping and Treatment of Bonds and Options 162
5.3 Delta-Normal VaR 163
5.4 Portfolio VAR via Monte Carlo simulation 174
5.5 Option Vega Risk 175
CHAPTER 6: Credit and Counterparty Risk 191
6.1 Defining Credit Risk 192
6.2 Credit-Risky Securities 193
6.3 Transaction Cost Problems in Credit Contracts 196
6.4 Default and Recovery: Analytic Concepts 199
6.5 Assessing creditworthiness 204
6.6 Counterparty Risk 207
6.7 The Merton Model 213
6.8 Credit Factor Models 222
6.9 Credit Risk Measures 226
CHAPTER 7: Spread Risk and Default Intensity Models 231
7.1 Credit Spreads 231
7.2 Default Curve Analytics 235
7.3 Risk-Neutral Estimates of Default Probabilities 241
7.4 Spread Risk 261
CHAPTER 8: Portfolio Credit Risk 265
8.1 Default Correlation 266
8.2 Credit Portfolio Risk Measurement 270
8.3 Default Distributions and Credit VaR with the Single-Factor Model 275
8.4 Using Simulation and Copulas to Estimate Portfolio Credit Risk 284
CHAPTER 9: Structured Credit Risk 297
9.1 Structured Credit Basics 297
9.2 Credit Scenario Analysis of a Securitization 309
9.3 Measuring Structured Credit Risk via Simulation 318
9.4 Standard Tranches and Implied Credit Correlation 337
9.5 Issuer and Investor Motivations for Structured Credit 342
CHAPTER 10: Alternatives to the Standard Market Risk Model 349
10.1 Real-World Asset Price Behavior 349
10.2 Alternative Modeling Approaches 363
10.3 The Evidence on Non-Normality in Derivatives Prices 372
CHAPTER 11: Assessing the Quality of Risk Measures 393
11.1 Model Risk 393
11.2 Backtesting of VaR 407
11.3 Coherence of VaR Estimates 414
CHAPTER 12: Liquidity and Leverage 421
12.1 Funding Liquidity Risk 422
12.2 Markets for Collateral 437
12.3 Leverage and Forms of Credit in Contemporary Finance 448
12.4 Transactions Liquidity Risk 461
12.5 Liquidity Risk Measurement 464
12.6 Liquidity and Systemic Risk 469
CHAPTER 13: Risk Control and Mitigation 477
13.1 Defining Risk Capital 478
13.2 Risk Contributions 480
13.3 Stress Testing 499
13.4 Sizing Positions 506
13.5 Risk Reporting 509
13.6 Hedging and Basis Risk 512
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