Risk management: approaches for fixed income markets
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
2000
|
| Schriftenreihe: | Wiley frontiers in finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXIII, 312 S. Ill., graph. Darst. |
| ISBN: | 0471332119 |
Internformat
MARC
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| 035 | |a (OCoLC)318252863 | ||
| 035 | |a (DE-599)BVBBV013382905 | ||
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| 100 | 1 | |a Golub, Bennett W. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Risk management |b approaches for fixed income markets |c Bennett W. Golub ; Leo M. Tilman |
| 264 | 1 | |a New York [u.a.] |b Wiley |c 2000 | |
| 300 | |a XXIII, 312 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley frontiers in finance | |
| 650 | 4 | |a Administración de riesgos | |
| 650 | 4 | |a Administración del portafolio | |
| 650 | 4 | |a Títulos de renta fija | |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
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| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Tilman, Leo M. |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009128515&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009128515 | ||
Datensatz im Suchindex
| _version_ | 1804128162505818112 |
|---|---|
| adam_text | Contents
Frequently Used Abbreviations and Notations
xi
Foreword
xiii
Preface
xvii
Acknowledgments
xxi
CHAPTER
1
THE ART AND SCIENCE OF RISK
MANAGEMENT
1
1.1.
The Brave New World of Risk Management
1
1.2
Market Risk Management Process
8
1.3
Theory, Practice, and Computation: Challenges Specific to
Fixed Income Markets
12
2.3.2
Price Discovery
13
1.3.2
Dynamic Portfolio Characteristics
14
1.3.3
New Securities, New Structures, and the Absence of
Historical Information
15
1.4
Statistical Challenges: Risk Management versus Valuation
17
1.5
Evolution of Risk Management Ideas
18
CHAPTER
2
PARAMETRIC APPROACHES TO RISK
MANAGEMENT
24
2.1
Introduction
24
2.2
Measuring Interest Rate Exposure: Analytical Approaches
26
2.2.1
Macaulay and Modified Duration, and Convexity
26
2.2.2
Option-Adjusted Framework: OAV,
OAS,
OAD,
О АС
34
VII
viii CONTENTS
2.2.3 Dynamic
Nature of Local Risk Measures: Duration
and Convexity Drift
42
2.2.4
Scenario Analysis
46
2.3
Measuring Interest Rate Exposure: Empirical Approaches
48
2.3.1
Coupon Curve Duration
48
2.3.2
OAS
Curve Duration
51
2.3.3
Empirical (Implied) Duration
52
2.4
Measuring Yield Curve Risk
56
2.4.1
Key Rate Durations
56
2.4.2
Key Treasury Rate Durations
62
2.4.3
Yield Curve Reshaping Durations
66
2.5
Measuring Basis Risks
72
2.5.1
Volatility Duration
72
2.5.2
Spread Duration
74
2.6
Measuring Mortgage-Related Risks
76
2.6.2
Prepayment Duration
76
2.6.2
Mortgage/Treasury Basis Duration
77
2.7
Measuring Impact of Time
79
CHAPTER
3
MODELING YIELD CURVE DYNAMICS
87
3.1
Probability Distributions of Systematic Risk Factors
87
3.2
Principal Components Analysis: Theory and Applications
93
3.2.1
Introduction
93
3.2.2
Principal Components Analysis
95
3.2.3
The First Principal Component and the Term Structure
of Volatility
103
3.2.4
Example: Historical Steepeners and Flatteners of the U.S.
Treasury Curve
105
3.3
Probability Distributions of Interest Rate Shocks
107
3.4
Historical Plausibility of Interest Rate Shocks
114
3.4.2
Explanatory Power
115
3.4.2
Magnitude Plausibility
116
3.4.3
Shape Plausibility
117
3.4.4
Example: An Extreme Market Move During the
1998
Crisis
120
CHAPTER
4
MEASURING INTEREST RATE, BASIS, AND
CURRENCY RISKS
124
4.1
Deterministic versus Probabilistic Risk Methodologies
124
4.1.1
Introduction
124
4.1.2
Value-at-Risk
132
4.2
Measuring U.S. Interest Rate Risk
136
4.2.1
Variance/Covariance Value-at-Risk and Ex Ante Tracking Error
142
CONTENTS ¡x
4.2.2 Principal
Components Durations, Key Rate Durations, and
Value-at-Risk
142
4.2.3
Effective Risk Profile and Other Practical Applications
148
4.2.4
Application: Managing a Large Number of Portfolios Against
Different Benchmarks
151
4.3
Measuring Nondollar Interest Rate, Basis, and Currency Risks
156
4.3.2
Global
Variance/Covariance Value-at-Risk 156
4.3.2
Non-Dollar Interest Rate Risks
158
4.3.3
Foreign Currency Risks
160
4.3.4
Overview of Systematic Basis Risks
163
4.3.5
Implied Volatility Risks
163
4.3.6
Mortgage Basis RisL·
166
4.3.7
Credit Spread Risks
170
4.3.8
Applications ofVaR to Portfolio and Risk Management
177
4.4
Risk Decomposition
178
4.5
Generic Basis Risks and Their Interest Rate Directionality
183
4.5.2
Swap Spread Duration
184
4.5.2
Generalized Duration
190
CHAPTER
5
VALUE-AT-RISK METHODOLOGICAL
TRADE-OFFS
200
5.1
General Formulation of Value-at-Risk
200
5.2
Traditional VaR Trade-off: Nonlinearity versus
Computational Time
201
5.3
Additional Trade-off Dimension: Nonlinearity versus
Distribution of Risk Factors
205
5.3.2
Traditional and Principal Components Scenario Analysis
208
5.3.2
Grid Monte-Carlo Simulation VaR
213
5.3.3
Example: Measuring Risk of Duration-Neutral Yield Curve Bets
217
5.3.4
Incorporating Evolution of Securities through Time into VaR
226
5.3.5
Dimensionality Reduction Tool: Principal Components
in Return Space
229
5.4
Incorporating Nonlinearity Into Global Value-at-Risk
234
5.5
Historical Simulation Value-at-Risk
240
5.6
Value-at-Risk Horizon
243
5.7
Value-at-Risk, Catastrophic Events, and Stress Testing
247
CHAPTER
6
USING PORTFOLIO OPTIMIZATION
TECHNIQUES TO MANAGE RISK
255
6.1
Risk Measurement versus Risk Management
255
6.2
Typical Fixed Income Hedges
258
6.3
Parametric Hedging Techniques
261
6.4
Generalized Approach to Hedging (with William
De Leon) 264
χ
CONTENTS
6.5 Variance/Covariance VaR
and Partial
Duration Hedge
Optimizations
268
6.5.1
Basic Optimization Variables
268
6.5.2
Example: Hedging Interest Rate Risk of a Mortgage-Backed
Security
272
6.5.3
Example: Managing Fixed Income Portfolios Against Their
Benchmarks
277
6.5.4
Example: Incorporating Yield Curve Bets Into Hedge
Optimizations
280
6.6
General Portfolio Optimizations: Return versus Risk
and Cost
284
6.6.1
Additional Optimization Variables
284
6.6.2
Example: Hedging Interest Rate Risk With Swaps, Caps,
and Floors
287
6.6.3
Example: Asset/Liability Management via Monte-Carlo
Simulation VaR
287
Appendix: Description of the Sample Portfolio
295
Bibliography
298
Index
305
About the Authors
311
|
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| id | DE-604.BV013382905 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:44:52Z |
| institution | BVB |
| isbn | 0471332119 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009128515 |
| oclc_num | 318252863 |
| open_access_boolean | |
| owner | DE-945 DE-355 DE-BY-UBR |
| owner_facet | DE-945 DE-355 DE-BY-UBR |
| physical | XXIII, 312 S. Ill., graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley frontiers in finance |
| spelling | Golub, Bennett W. Verfasser aut Risk management approaches for fixed income markets Bennett W. Golub ; Leo M. Tilman New York [u.a.] Wiley 2000 XXIII, 312 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley frontiers in finance Administración de riesgos Administración del portafolio Títulos de renta fija Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s Kapitalmarkt (DE-588)4029578-3 s DE-604 Tilman, Leo M. Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009128515&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Golub, Bennett W. Tilman, Leo M. Risk management approaches for fixed income markets Administración de riesgos Administración del portafolio Títulos de renta fija Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4121590-4 |
| title | Risk management approaches for fixed income markets |
| title_auth | Risk management approaches for fixed income markets |
| title_exact_search | Risk management approaches for fixed income markets |
| title_full | Risk management approaches for fixed income markets Bennett W. Golub ; Leo M. Tilman |
| title_fullStr | Risk management approaches for fixed income markets Bennett W. Golub ; Leo M. Tilman |
| title_full_unstemmed | Risk management approaches for fixed income markets Bennett W. Golub ; Leo M. Tilman |
| title_short | Risk management |
| title_sort | risk management approaches for fixed income markets |
| title_sub | approaches for fixed income markets |
| topic | Administración de riesgos Administración del portafolio Títulos de renta fija Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Administración de riesgos Administración del portafolio Títulos de renta fija Kapitalmarkt Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009128515&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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