Protecting shareholder value: a guide to managing financial market risk
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chicago [u.a.]
Irwin
1996
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 470 S. graph. Darst. |
| ISBN: | 0786304391 |
Staff View
MARC
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| 245 | 1 | 0 | |a Protecting shareholder value |b a guide to managing financial market risk |c Abraham M. George |
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| adam_text | Contents
Preface xi
Acknowledgments xv
Chapter One
FINANCIAL MARKET RISK AND THE VALUE OF
THE FIRM 1
Financial Price Risk on the Cost Structure of the Enterprise, 2
The Role of Currency and Interest Rates in Determining the
Global Cost of Capital, 4
Financial Market Risk and Share Prices, 10
The Concept of Cumulative Effect of Financial
Price Changes, 14
Corporate Response to Financial Market Risk, 15
Appendix 1 A: Model to Determine the Global Cost of Capital
Ceiling from a Competitive Viewpoint, 18
Chapter Two
THE FINANCE FUNCTION 33
Forces Driving Change, 34
Finance Functions and the Stages of Corporate Treasury
Development, 38
Integration: Myth or Reality?, 42
Summary and Recommendations, 48
Chapter Three
THE MARKETS 51
Currency Markets, 52
Interest Rate Markets, 63
V
yj Contents
Relationship Between Currency and Interest Rate Markets, 69
Institutions, 75
Appendix 3 A: European Currency Unit (ECU), 76
Appendix 3 B: Volatility in Key Exchange Rates, 82
Appendix 3 C: Key Interest Rates Differentials, 85
Appendix 3 D: Calculation of Yields on Interest Rate
Instruments, 86
Chapter Four
DEFINING AND QUANTIFYING CURRENCY
EXPOSURES AND IMPACTS 92
Accounting Exposure, 93
Cash Flow Exposures, 107
Earnings Translation Exposure, 110
Future Dividend Exposure, 115
Exposures Created by Financial Instruments, 116
Controversial Issues Surrounding Accounting Rules, 120
Competitive Currency Exposure, 125
Disclosure Requirements in the U.S., 128
Appendix 4 A: Accounting for Forward Contracts, 129
Appendix 4 B: Accounting for Options Contracts, 131
Chapter Five
DEFINING AND QUANTIFYING INTEREST RATE
EXPOSURES AND IMPACTS 135
Standard Exposure Definitions, 135
Alternate Definitions of Exposure, 137
Marking to Market Debt, 146
Concept of Spot Rates, 156
Appendix 5 A: Accounting for Debt, 160
Appendix 5 B: A Generalized Approach for Deriving
Spot Rates, 175
Contents vii
Chapter Six
FINANCIAL INSTRUMENTS FOR HEDGING 181
Foreign Exchange Hedging Instruments, 183
Comparison of Interbank Market to Currency Futures, 203
Foreign Exchange Options, 206
Interest Rate Hedging Instruments, 220
Appendix 6 A: A Less Technical Description of Black Scholes
Formula for Option Pricing, 235
Appendix 6 B: Pricing Interest Rate Swaps, 237
Appendix 6 C: Pricing Interest Rate Swaptions, 243
Chapter Seven
ESTIMATION OF MARKET RISK 255
The Time Dimension of Risk, 256
Measures of Future Rate and Price Movements, 258
Simulation of Market Risk Estimates, 260
Use of Historic Volatility and Correlations in Simulations, 261
Sensitivity Analysis in Estimating Market Risk, 264
An Alternate Methodology for Generating Stress Scenario, 274
Simulation of Outcomes at Maturity of a Portfolio, 275
Management Control of Market Risk, 278
Appendix 7 A: Glossary of Risk Definitions, 281
Appendix 7 B: Duration and Convexity, 282
Chapter Eight
THE HEDGING DECISION PROCESS 287
Considerations in Hedging Decisions, 287
Corporate Hedging Practice, 296
Use of Probability in Hedging Strategy Development, 305
An Alternate Approach to Currency Hedging Decision, 306
Altering a Prior Hedging Strategy, 313
viii Contents
Concept of Delta Hedging, 322
Anticipatory Hedging Situations, 324
Portfolio Hedging, 328
Measuring Exposures Net of Hedges, 331
Summary of Hedging Strategy, 337
Appendix 8 A: Measurement of Currency Exposure Risk and
Trading Limits, 338
Chapter Nine
OPERATIONAL ISSUES IN EXPOSURE
MANAGEMENT 345
Operational Measures to Protect Against Currency Risk, 345
Optimizing Internal Capital Structure, 361
Evaluating and Managing Market Risk in
Capital Investments, 367
Issues in Third Party Sourcing, 374
Managing Currency Risk in High Inflation Countries, 375
Working Capital Management, 377
Appendix 9 A: Examples of International Tax Advantaged
Financing Alternatives, 380
Appendix 9 B: Example of a Strategy to Alter the Internal
Capital Structure, 384
Chapter Ten
IMPLEMENTING A COMPREHENSIVE EXPOSURE
MANAGEMENT PROGRAM 392
Implementation Considerations, 392
Implementation Issues, 396
Chapter Eleven
PERFORMANCE STANDARDS AND
EVALUATION PROCESS 426
Considerations in Selecting Performance Standards, 427
Currency Performance Measurement Alternatives
for Geographic Entities and/or Business Units, 432
Contents ix
Treasury Performance Standards for Foreign Exchange, 433
Examples Illustrating Adjustments to Entity and Business Unit
Performance, and Measurement of Treasury Performance in
Foreign Exchange, 435
Alternate Standards and Performance Adjustments for Interest
Rates, 443
Index 453
About the Author 459
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T17:58:15Z |
| institution | BVB |
| isbn | 0786304391 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007179207 |
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| physical | XV, 470 S. graph. Darst. |
| publishDate | 1996 |
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| publisher | Irwin |
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| spelling | George, Abraham M. Verfasser aut Protecting shareholder value a guide to managing financial market risk Abraham M. George Chicago [u.a.] Irwin 1996 XV, 470 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Foreign exchange futures Hedging (Finance) Interest rate futures Risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007179207&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | George, Abraham M. Protecting shareholder value a guide to managing financial market risk Foreign exchange futures Hedging (Finance) Interest rate futures Risk management Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4139075-1 |
| title | Protecting shareholder value a guide to managing financial market risk |
| title_auth | Protecting shareholder value a guide to managing financial market risk |
| title_exact_search | Protecting shareholder value a guide to managing financial market risk |
| title_full | Protecting shareholder value a guide to managing financial market risk Abraham M. George |
| title_fullStr | Protecting shareholder value a guide to managing financial market risk Abraham M. George |
| title_full_unstemmed | Protecting shareholder value a guide to managing financial market risk Abraham M. George |
| title_short | Protecting shareholder value |
| title_sort | protecting shareholder value a guide to managing financial market risk |
| title_sub | a guide to managing financial market risk |
| topic | Foreign exchange futures Hedging (Finance) Interest rate futures Risk management Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| topic_facet | Foreign exchange futures Hedging (Finance) Interest rate futures Risk management Risikomanagement Finanzmanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007179207&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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