Risk management and analysis: 2. New markets and products
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
1998
|
| Schriftenreihe: | Wiley series in financial engineering
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XX, 340 S. graph. Darst. |
| ISBN: | 0471979597 |
Internformat
MARC
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| 245 | 1 | 0 | |a Risk management and analysis |n 2. |p New markets and products |c ed. by Carol Alexander |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 1998 | |
| 300 | |a XX, 340 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley series in financial engineering | |
| 700 | 1 | |a Alexander, Carol |e Sonstige |4 oth | |
| 773 | 0 | 8 | |w (DE-604)BV012419664 |g 2 |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008553697&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008553697 | ||
Datensatz im Suchindex
| _version_ | 1804127245838581760 |
|---|---|
| adam_text | Contents List of Contributors xi
About the Contributors xiii
Preface xvii
Foreword xix
1 Emerging Markets I, Michael J. Howell 1
1.1 Introduction 1
1.2 Growing Countries not Poor Countries 7
1.3 Cross Border Capital Flows 12
1.4 Markets in Emerging Financial Assets 15
1.5 The Financial Structure of Emerging Economies 18
1.6 The Future Size of Emerging Stock Markets 20
1.7 The Growing Need for Financial Development 21
1.8 Conclusion 24
1.9 Appendix 1: Selected Data on Emerging Markets 26
1.10 Appendix 2: Valuation Methods 30
1.11 Endnotes 34
1.12 References 35
2 Emerging Markets II, Mark Fox and Ian King 37
2.1 Introduction 37
2.1.1 The Beginnings of Emerging Markets 37
2.1.2 Denning Emerging Markets 38
2.1.3 The Size of Emerging Markets 40
2.2 Do Emerging Markets Constitute a Separate Asset Class? 42
2.3 Non Performing Loans 45
2.3.1 History 45
2.3.2 The Present Market 46
vi Contents
2.4 Brady Bonds 47
2.4.1 History 47
2.4.2 Structures of Brady Plans 47
2.4.3 The Brady Market 49
2.4.4 Analysing Brady Bonds 50
2.4.5 Evaluating Default Risk 53
2.4.6 Income Guarantees 54
2.4.7 Trading Strategies Exclusive to Brady Bonds 55
2.5 Eurobonds 56
2.5.1 History 56
2.5.2 A Changing Role 56
2.6 The Role of Credit Curves 57
2.6.1 Using Credit Curves 57
2.6.2 Analysing Credit Curves 58
2.6.3 Trading Credit Curve Shapes 59
2.7 Local Markets and Emerging Market Currencies 60
2.7.1 The Role of Local Markets in the Investing Cycle 60
2.7.2 The Character of Local Emerging Debt Markets 62
2.7.3 Russia —A Case Study 63
2.7.4 Strategic Uses for Investing in Local Markets 64
2.7.5 Trading and Managing Local Currency Exposure 65
2.7.6 Trading and Managing Local Interest Rate Exposure 66
2.8 Equities 66
2.8.1 History 67
2.8.2 Analysing Emerging Equity Stocks 68
2.8.3 Trading and Managing Emerging Equity
Market Exposure 69
2.8.4 Strategic Uses for Investing in Emerging Equity Markets 70
2.8.5 Benchmarks 73
2.9 Derivatives 73
2.9.1 Options 73
2.9.2 Repurchase Agreements 74
2.9.3 Structured Notes 74
2.9.4 Credit Derivatives 75
2.9.5 Relative Value Trades 76
2.9.6 Equities 76
2.10 Special Considerations in Evaluating Relative Value 77
2.10.1 A Matrix Approach to Regional and Asset Allocation 77
2.10.2 Past Experience 78
2.11 Endnotes 79
3 The Origins of Risk Neutral Pricing and the Black Scholes Formula,
L.C.G. Rogers 81
3.1 Introduction 81
3.2 Portfolio Choices 82
Contents vii
3.3 Some Notions and Notations from Probability 84
3.4 Optimal Investment 86
3.5 The Binomial Market and the Black Scholes Formula 89
3.6 Appendix: Two Other Approaches 91
3.7 Endnotes 93
3.8 References 94
4 Equity Derivatives, Andrew Street 95
4.1 Introduction 95
4.1.1 Aims and Scope of this Chapter 95
4.1.2 Classification of Equity Derivatives 96
4.1.3 General Features of Pricing Equity Derivatives 96
4.2 Historical Development 101
4.2.1 Listed Equity Derivatives 101
4.2.2 Unlisted or Over the Counter Equity Derivatives 104
4.3 The Utility of Equity Derivatives 105
4.3.1 The Evaluation of Risk and Return 106
4.3.2 Tax Efficiency 106
4.3.3 Regulatory Efficiency 107
4.3.4 Leverage 108
4.3.5 Implementation of Specific Investment Views 108
4.3.6 Efficiency and Cost Effectiveness 108
4.3.7 The Utility of Equity Derivatives for Borrowers 109
4.4 The Role of the Investment Bank in the Creation of
Equity Derivatives 110
4.4.1 Capital 110
4.4.2 Credit 111
4.4.3 Risk Aggregation 111
4.4.4 Technology 111
4.5 Index Products 112
4.5.1 Exchange Traded Equity Derivatives 112
4.5.2 Over the Counter Traded Equity Derivatives 114
4.5.3 Hybrid Equity Derivatives 115
4.6 Single Stocks, Bespoke Index Products 116
4.7 Future Development for Equity Derivatives 117
4.8 Glossary of Terms 118
4.9 References 120
5 Interest Rate Option Models: A Critical Survey, Riccardo Rebonato 123
5.1 Introduction and Outline of the Chapter 123
5.2 Yield Curve Models: A Statistical Motivation 125
5.2.1 Statistical Analysis of the Evolution of Rates 125
5.2.2 A Framework for Option Pricing 127
5.3 The No Arbitrage Conditions 128
5.3.1 Definition of No arbitrage in a Complete Market 128
5.3.2 The Condition of No arbitrage: Vasicek s Approach 129
viii Contents
5.3.3 The Condition of No arbitrage: The Martingale Approach 130
5.3.4 First Choice of Numeraire: The Money Market Account 132
5.3.5 Second Choice of Numeraire: A Discount Bond 133
5.3.6 The General Link Between Different Measures 134
5.4 The Implementation Tools 135
5.4.1 Lattice Approaches: Justification and Implementation 135
5.4.2 Monte Carlo (MC) Approaches 139
5.4.3 PDE Approaches: Finite Differences Schemes
and Analytic Solutions 142
5.5 Analysis of Specific Models 144
5.5.1 BDT: Model Implications and Empirical Findings 144
5.5.2 Extended Vasicek (HW): Model Implications
and Empirical Findings 150
5.5.3 Longstaff and Schwartz: Model Implications
and Empirical Findings 157
5.5.4 The HJM Approach 166
5.6 Conclusions or How to Choose the Best Model 169
5.7 References 172
6 Exotic Options I, Edmond Levy 175
6.1 Introduction 175
6.2 Asian Options 176
6.2.1 Definition and Uses 176
6.2.2 Valuation Approaches 180
6.2.3 Risk Management of Asian Options 183
6.3 Binary and Contingent Premium Options 185
6.3.1 Examples and Uses 187
6.3.2 Valuation and Hedging 187
6.4 Currency Protected Options 190
6.4.1 Cross Market Contracts 190
6.4.2 Valuation of Cross Market Contracts 192
6.4.3 Currency Basket Options 194
6.5 Appendix 1 197
6.6 Appendix 2 198
6.7 Appendix 3 200
6.8 References 201
7 Exotic Options II, Bryan Thomas 203
7.1 Barrier Options 203
7.1.1 Definitions and Examples of Single Barrier Options 203
7.1.2 An Analytical Model of Single Barrier Options 206
7.1.3 Alternative Modelling Methods 209
7.1.4 Risk Management of Single Barrier Options 211
7.1.5 Barrier Options Combinations 216
Contents ix
7.1.6 Rebates 222
7.1.7 Discontinuous Barriers 223
7.1.8 Double Barrier Options 224
7.1.9 Second Market Barriers 224
7.2 Compound Options 224
7.2.1 Definition and Examples 224
7.2.2 Geske s Model 225
7.2.3 Risk Management 228
7.2.4 Extensions 229
7.3 Lookback Options 234
7.3.1 Definition and Examples 234
7.3.2 An Analytical Model 235
7.3.3 Alternative Models 236
7.3.4 Risk Management 236
7.3.5 Extensions 236
7.4 Even More Exotic Options 237
7.5 References 238
8 Captions and Swaptions, Vincent Lacoste 239
8.1 Change of Numeraire: A General Valuation Method for Swaptions 239
8.1.1 Introductory Comments 239
8.1.2 Technical Properties 240
8.1.3 Application to Swaptions 241
8.1.4 Hedging a Swaption 242
8.2 Hedging Swaptions Against Yield Curve Scenarios 244
8.2.1 The Hedging Space 244
8.2.2 Estimation Methods 245
8.2.3 Empirical Results 246
8.2.4 Concluding Remarks on Historical Data 247
8.3 Marking to Market the Term Structure of Volatility 250
8.3.1 Captions 250
8.3.2 Non Parametric Estimation of the Volatility Structure 252
8.3.3 Concluding Remarks 253
8.4 Is There a Market Model of Interest Rates ? 253
8.5 Appendix 256
8.6 Endnotes 258
8.7 References 259
9 Trading Volatility, M. Desmond Fitzgerald 261
9.1 Introduction 261
9.2 Basics of Volatility Trading 265
9.3 Analysing Volatility Patterns for Trading 277
9.4 Relative Volatility Trading 284
9.5 Summary 290
x Contents
10 Credit Derivatives, Blythe Masters 293
10.1 Background and Overview: The Case for Credit Derivatives 293
10.1.1 What are Credit Derivatives? 293
10.1.2 What is the Significance of Credit Derivatives? 294
10.2 Basic Credit Derivative Structures and Applications 296
10.2.1 Credit (Default) Swaps 296
10.2.2 Total (Rate of) Return Swaps 299
10.2.3 Credit Options 301
10.2.4 Downgrade Options 302
10.2.5 Dynamic Credit Swaps 303
10.2.6 Other Credit Derivatives 304
10.3 A Portfolio Approach to Credit Risk Management 305
10.3.1 Why Credit Has Become a Risk Management Challenge 305
10.3.2 The Need for a Portfolio Approach to Credit Risk 307
10.3.3 The Challenges of Estimating Portfolio Credit Risk 308
10.3.4 Assessing Credit Risk on a Portfolio Basis: Methodology 310
10.3.5 Practical Applications of Portfolio Methodology
Using Credit Derivatives 311
10.4 Regulatory Treatment of Credit Derivatives 317
10.5 Balance Sheet Management: Synthetic Securitization 320
10.6 Investment Considerations 321
10.6.1 Filling Gaps in the Credit Spectrum 321
10.6.2 Transcending Asset Class Barriers 322
10.6.3 Recovery Rate 325
10.6.4 Term 325
10.7 Common Pricing Considerations 326
10.7.1 Predictive or Theoretical Pricing Models of Credit Swaps 326
10.7.2 Mark to Market and Valuation Methodologies for
Credit Swaps 327
10.7.3 Risk Equivalence of Total Return Swaps and Credit
Swaps for Valuation Purposes 327
10.7.4 Relative Value Analysis of Credit Swaps 328
10.7.5 Counterparty Considerations 329
10.8 Conclusion 330
10.8.1 Credit Derivatives and Portfolio Management 330
10.8.2 Other Implications 332
10.9 Glossary 332
10.10 Endnotes/References 334
Index 335
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| id | DE-604.BV012595614 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:30:17Z |
| institution | BVB |
| isbn | 0471979597 |
| language | English |
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| physical | XX, 340 S. graph. Darst. |
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| spelling | Risk management and analysis 2. New markets and products ed. by Carol Alexander Chichester [u.a.] Wiley 1998 XX, 340 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in financial engineering Alexander, Carol Sonstige oth (DE-604)BV012419664 2 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008553697&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management and analysis |
| title | Risk management and analysis |
| title_auth | Risk management and analysis |
| title_exact_search | Risk management and analysis |
| title_full | Risk management and analysis 2. New markets and products ed. by Carol Alexander |
| title_fullStr | Risk management and analysis 2. New markets and products ed. by Carol Alexander |
| title_full_unstemmed | Risk management and analysis 2. New markets and products ed. by Carol Alexander |
| title_short | Risk management and analysis |
| title_sort | risk management and analysis new markets and products |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008553697&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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