Understanding risk: the theory and practice of financial risk management
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton, Fla. [u.a.]
Chapman & Hall/CRC
2008
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 452 S. graph. Darst. |
| ISBN: | 9781584888932 1584888938 |
Internformat
MARC
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| 100 | 1 | |a Murphy, David |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Understanding risk |b the theory and practice of financial risk management |c David Murphy |
| 264 | 1 | |a Boca Raton, Fla. [u.a.] |b Chapman & Hall/CRC |c 2008 | |
| 300 | |a XVII, 452 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 650 | 4 | |a Financial risk management | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Portfolio management | |
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| 650 | 0 | 7 | |a Finanzmanagement |0 (DE-588)4139075-1 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804136596027473920 |
|---|---|
| adam_text | Contents
INTRODUCTION
xv
Part One Risk Management and the Behaviour of Products
Chapter
1 ■
Markets, Risks and Risk Management in Context
3
1.1
FINANCIAL MARKETS OVERVIEW
3
1.1.1
Introducing the Markets
3
1.1.2
Securities
5
1.1.3
Other Instruments
7
1.1.4
Equity Markets
9
1.1.5
Interest Rate Instruments
12
1.1.6
Foreign Exchange Markets
21
1.1.7
Derivatives Markets
22
1.1.8
Principal Investment and Private Equity
25
1.1.9
(A Short Section on) Commodities Markets
27
1.2
TRADING AND MARKET BEHAVIOUR
28
1.2.1
The Difficulty of Forecasting
Market Levels
29
1.2.2
lhe
Anatomy of a Market Crisis
29
1.2.3
Current and Past Markets
32
1.3
BASIC IDEAS IN RISK MANAGEMENT
39
1.3.1
Types of Risk
39
1.3.2
The Aims of Risk Management
46
1.3.3
Sensitivities
47
1.3.4
Daily Risk Controls: P/L, Limits and P/L Explanation
47
1.3.5
What Do You Own?
lhe
Deal Review Process
50
1.3.6
Trader Mandates
51
VII
viii
■ Contents
1.4
CULTURE
AND
ORGANISATION 52
1.4.1
Risk
Management in
the Broader
Institution 52
1.4.2
Cultural Issues
54
1.4.3
A Taxonomy of Financial Institutions
56
1.4.4
Some Large Losses in the Wholesale Markets
61
1.5
SOME EXTERNAL CONSTRAINTS
63
1.5.1
Regulation
64
1.5.2
Accounting
68
1.5.3
Marking to Fair Value
74
1.5.4
Special Purpose Vehicles and Consolidation
76
Ci
iAHTER
2 ■
Derivatives and Quantitative Market Risk Management
79
2.1
RETURNS, OPTIONS AND SENSITIVITIES
79
2.1.1
Asset Returns and Risk Factors
79
2.1.2
Risk Factor Selection
80
2.1.3
Risk Reporting with a Single Risk Factor
81
2.1.4
Forwards and Arbitrage
84
2.1.5
Models of Market Returns
88
2.1.6
Risk Reporting in a Return Model
91
2.1.7
Introducing Options
93
2.1.8
The Greeks
95
2.1.9
Options Risk Reporting
97
2.1.10
P/L Explanation for Options
99
2.2
PORTFOLIOS AND RISK AGGREGATION
99
2.2.1
The Varieties of Trading Portfolio and Their Management
100
2.2.2
Diversification and Correlation
102
2.2.3
Reporting and Risk in a Return Model:
Multiple Factors
105
2.2.4
Scenario Analysis
107
2.2.5
Stress Testing
108
2.3
UNDERSTANDING THE BEHAVIOUR OF DERIVATIVES
112
2.3.1
Overview of the Theory of Options Pricing:
Black-Schołes
and the Replicating Portfolio
112
2.3.2
Implied Volatility and Hedging
116
2.3.3
Retail Equity-Linked Products: Some Simple
Structures and Their Problems
121
Contents ■
¡χ
2.3.4
A Little More about Exotic Options
123
2.3.5
Local and Stochastic Volatility
126
2.4
INTEREST RATE DERIVATIVES AND YIELD CURVE MODELS
129
2.4.1
Futures and Forwards on Interest Rates
130
2.4.2
Interest Rate and Asset Swaps
131
2.4.3
Credit Risk in Swap Structures
135
2.4.4
Other Interest Rate Swap Structures 1
36
2.4.5
Cross-Currency Swaps
137
2.4.6
Basis Swaps
137
2.4.7
Caps, Floors and Yield Curve Models
139
2.4.8
Swaptions
142
2.4.9
Exotic Interest Rate Derivatives
143
2.5
SINGLE-NAME CREDIT DERIVATIVES
146
2.5.1
Products
146
2.5.2
Credit Events and Documentation
147
2.5.3
Credit Derivatives Valuation
151
2.5.4
Risk Reporting for Credit Derivatives
152
2.6
VALUATION, HEDGING AND MODEL RISK
153
2.6.1
Mark-to-Market and Mark-to-Model
153
2.6.2
Marking and Model Risk
154
2.6.3
Hedging, P/L and Mark Adjustments
157
Part Two Economic and Regulatory Capital Models
Chapter
3 ■
Capital: Motivation and Provision
163
3.1
MOTIVATIONS FOR CAPITAL
163
3.1.1
What Is Capital for?
163
3.1.2
Earnings Volatility and Capital
164
3.1.3
The Optimisation Problem
165
3.1.4
Capital, More or Less
167
3.2
CAPITAL INSTRUMENT FEATURES
167
3.2.1
Seniority and Subordination
168
3.2.2
Deferral and Dividends
169
3.2.3
Maturity and Replacement
169
3.2.4
Convertibility and Write-Down
169
3.2.5
Example Capital Securities
170
χ
■ Contents
3.3
REGULATORY
CAPITAL PROVISION 171
3.3.1 The Tiers
of
Basel Capital 171
3.3.2 Insurance Capital 173
3.3.3 Consolidated Capital 173
3.3.4 Capital Management:
Issues and Strategies
174
Chapter
4 ■ Market
Risk
Capital Models_______________________________177
4.1 GENERAL MARKET
RISK
CAPITAL MODELS 177
4.1.1
Value at Risk Techniques I: Variance/Covariance
177
4.1.2
Value at Risk Techniques II: Revaluation
and Historical Simulation
182
4.1.3
Value at Risk Techniques III: Monte Carlo Approaches
184
4.1.4
Relative
VAR
186
4.1.5
Backtesting,
VAR
Exceptions and the
VAR
Hypothesis
186
4.2
SOME LIMITATIONS OF VALUE AT RISK MODELS
188
4.2.1
Specific Risk
188
4.2.2
Volatility and Correlation Instabilities
189
4.2.3
The Holding Period Assumption
190
4.2.4
What Is the
VAR
Good for?
192
4.3
RISK SYSTEMS AND RISK DATA
193
4.3.1
Effective Risk Reporting
193
4.3.2
Market Data
196
Chapter
5 ■
Credit Risk and Credit Risk Capital Models
201
5.1
THE BANKING BOOK: INTRODUCING THE PRODUCTS
AND THE RISKS
201
5.1.1
Retail Banking
201
5.1.2
Commercial Banking
203
5.1.3
Forces for Change
205
5.2
CREDIT RISK FOR SMALL NUMBERS OF OBLIGATORS
205
5.2.1
Single Transaction Exposure
206
5.2.2
Potential Future Credit Exposure
209
5.2.3
What Is a Credit Spread Compensation for?
211
5.2.4
Partial Credit Mitigation
212
5.2.5
Introducing Basket Credit Derivatives
213
Contents ■ xi
5.3 AN
INTRODUCTION
TO
TRANCHING
AND PORTFOLIO
CREDIT DERIVATIVES
216
5.3.1
Funding and Loss Absorption
216
5.3.2
Securitisation and Tranching
217
5.3.3
Collateralised Debt Obligations
220
5.3.4
Structuring and the Waterfall
222
5.3.5
Index Credit Products
223
5.3.6
(The Problem with) Credit Event Correlation
224
5.3.7
Practical Credit-Adjusted Pricing
226
5.4
CREDIT PORTFOLIO RISK MANAGEMENT
227
5.4.1
The Portfolio Credit Risk Loss Distribution
227
5.4.2
Some Models of Portfolio Credit Risk
229
5.4.3
Stress Testing Credit Portfolios
233
5.4.4
Active Credit Portfolio Management
234
5.4.5
Credit Scoring and Internal Rating
237
5.5
POLITICAL AND COUNTRY RISK
240
5.5.1
Examples of Country Risk
241
5.5.2
The Effect of Country Risk
242
5.5.3
Measuring Country Risk
243
5.5.4
Country Risk Management
245
Chapter
6 ■
Operational Risk and Further Topics in Capital Estimation
247
6.1
AN INTRODUCTION TO OPERATIONAL RISK
247
6.1.1
Operational Risk Classes and Losses
248
6.1.2
Scorecard Approaches to Operational Risk
252
6.1.3
Some Issues in Operational Risk Management
253
6.2
THE TAILS AND OPERATIONAL RISK MODELLING
257
6.2.1
The Tails and Extreme Value Theory
258
6.2.2
The Case of Long Term Capital Management
259
6.2.3
The Stable Process Assumption
263
6.2.4
Operational Risk Modelling
263
6.3
ALLOCATING CAPITAL AND OTHER RISKS
264
6.3.1
Capital Allocation and Portfolio Contributions
265
6.3.2
Reputational and Other Risks
268
6.3.3
Hedging versus Capital
273
xii
ш
Contents
Chapter
7 ■
Bank Regulation and Capital Requirements
275
7.1
REGULATORY CAPITAL AND THE BASEL ACCORDS
276
7.1.1
Before Basel II: Basel I and the Market Risk Amendment
276
7.1.2
An Overview of Basel II
285
7.1.3
Basel II: Credit Risk without Mitigation
287
7.1.4
Basel II: Credit Risk Mitigation in the IRB Approaches
295
7.1.5
Basel II: Capital Rules for Positions
That Have Been Securitised
298
7.1.6
Implications of the Basel Credit Risk Framework
299
7.1.7
Operational Risk in Basel II
300
7.1.8
Floors and Transitional Arrangements
303
7.2
BASEL II: BEYOND THE CAPITAL RULES
303
7.2.1
Pillar
2
in Basel II
303
7.2.2
Pillar
3
and Banks Disclosures
305
7.2.3
The Impact of Basel II
306
Part Three Treasury and Liquidity Risks
Chapter
8 ■
The Treasury and Asset/Liability Management
___________ 311
8.1
AN INTRODUCTION TO ASSET/LIABILITY MANAGEMENT 3i7
8.1.1
The Trading Book, the Banking Book and the Treasury
312
8.1.2
Accounting for an Old-Fashioned Bank
314
8.1.3
Assets and Liabilities through Time
316
8.1.4
What Is
ALM?
318
8.2
BANKING BOOK INCOME AND FUNDING THE BANK
319
8.2.1
Transfer Pricing
319
8.2.2
Interest Rate Risk in the Banking Book
323
8.2.3
Non-Interest Income and Operating Expenses
325
8.3
ALM
IN PRACTICE
326
8.3.1
Risk in the Transfer Pricing Book
326
8.3.2
The Market Value of Portfolio Equity
328
8.3.3
Strategic Risk and Real Options
330
8.3.4
ALM
Risk Reporting
331
83.5
P/L Translation and Hedging
332
8.3.6
The Role of the ALCO
333
Contents ■ xiii
8.4
TRADING
BOOK ALM 334
8.4.1
Repo
and Other Forms of Secured Funding
334
8.4.2
Practical Issues in the Funding of Trading Books
335
Chapter
9 ■
Liquidity Risk Management
337
9.1
LIQUIDITY OF SECURITIES AND DEPOSITS
337
9.1.1
What Is Liquidity Risk?
338
9.1.2
Liability Liquidity
340
9.1.3
Asset Liquidity under Ordinary Conditions
341
9.2
LIQUIDITY MANAGEMENT
345
9.2.1
Measures of Liquidity Risk and the Firm s Liquidity Profile
345
9.2.2
Policies, Procedures and the Regulatory Perspective
347
9.2.3
Upstreaming, Downstreaming and Corporate Structure
348
9.2.4
The Implications of Illiquidity for Pricing
and Risk Measurement
348
9.3
OFF-BALANCE-SHEET LIQUIDITY AND CONTINGENT FUNDING
350
9.3.1
Positive Contingent Liquidity
350
9.3.2
Conduits
351
9.3.3
Negative Contingent Liquidity
353
9.4
STRESSES OF LIQUIDITY
353
9.4.1
Liquidity in a Crisis
354
9.4.2
Liquidity Stress Testing
356
9.4.3
The Liquidity Plan
357
Part Four Some Trading Businesses and Their Challenges
Chapter
10 ■
An Introduction to Structured Finance
361
10.1
CONTRACTUAL RELATIONS
361
10.1.1
The Documentation of Derivatives and Credit Risk Mitigation
362
10.1.2
Credit Derivatives in the Form of Insurance
365
10.1.3
Enforceability and the Pros and Cons of Enforcement
367
10.2
ASSET-BACKED SECURITIES
368
10.2.1
Mortgage-Backed Securities
368
10.2.2
Other
ABS
and Pool Modelling
375
10.2.3 ABS
Tranche Analysis
378
xiv ■ Contents
10.3 SECURITISATION
STRUCTURES
379
10.3.1 CDO,
CLO
and Related Structures
379
10.3.2
Banking Using Securitisation
382
10.3.3 ABS in
Principal Finance and Whole Business Securitisation
383
10.3.4
Some Revolving and Blind Securitisations
387
Chapter
11 ■
Novel Asset Classes, Basket Products, and Cross-Asset Trading
391
11.1
INFLATION-LINKED PRODUCTS
391
11.1.1
Inflation Indices
392
11.1.2
Inflation-Linked Bond Design
394
11.1.3
Retail Inflation-Linked Products
396
11.1.4
Lags and the Inflation-Linked Curve
397
11.1.5
Inflation Swaps
399
11.1.6
Pension Fund Risk Management
401
11.2
EQUITY BASKET PRODUCTS
405
11.2.1
Basket Options and Rainbow Products
405
11.2.2
Copulas and the Problem with Gaussian Correlation
407
11.3
CONVERTIBLE BONDS
411
11.3.1
Convertible Bond Structures
412
11.3.2
The Behaviour of Convertible Bonds
413
11.3.3
Modelling Convertibles
414
11.4
EQUITY/CREDIT TRADING
419
11.4.1
The Merton Model of Capital Structure
419
11.4.2
More Sophisticated Capital Structure Models
424
11.4.3
Equity/Credit Optionality and Hybrid Security Modelling
425
11.4.4
Credit Copulas and Credit Event Association
427
11.5
NEW PRODUCTS
429
11.5.1
The New Product Approval Process
429
11.5.2
Managing Product Complexity
432
11.5.3
Hedge Fund Risk Management
433
CONCLUDING REMARKS
437
FIGURES 441
INDEX
445
|
| adam_txt |
Contents
INTRODUCTION
xv
Part One Risk Management and the Behaviour of Products
Chapter
1 ■
Markets, Risks and Risk Management in Context
3
1.1
FINANCIAL MARKETS OVERVIEW
3
1.1.1
Introducing the Markets
3
1.1.2
Securities
5
1.1.3
Other Instruments
7
1.1.4
Equity Markets
9
1.1.5
Interest Rate Instruments
12
1.1.6
Foreign Exchange Markets
21
1.1.7
Derivatives Markets
22
1.1.8
Principal Investment and Private Equity
25
1.1.9
(A Short Section on) Commodities Markets
27
1.2
TRADING AND MARKET BEHAVIOUR
28
1.2.1
The Difficulty of Forecasting
Market Levels
29
1.2.2
lhe
Anatomy of a Market Crisis
29
1.2.3
Current and Past Markets
32
1.3
BASIC IDEAS IN RISK MANAGEMENT
39
1.3.1
Types of Risk
39
1.3.2
The Aims of Risk Management
46
1.3.3
Sensitivities
47
1.3.4
Daily Risk Controls: P/L, Limits and P/L Explanation
47
1.3.5
What Do You Own?
lhe
Deal Review Process
50
1.3.6
Trader Mandates
51
VII
viii
■ Contents
1.4
CULTURE
AND
ORGANISATION 52
1.4.1
Risk
Management in
the Broader
Institution 52
1.4.2
Cultural Issues
54
1.4.3
A Taxonomy of Financial Institutions
56
1.4.4
Some Large Losses in the Wholesale Markets
61
1.5
SOME EXTERNAL CONSTRAINTS
63
1.5.1
Regulation
64
1.5.2
Accounting
68
1.5.3
Marking to Fair Value
74
1.5.4
Special Purpose Vehicles and Consolidation
76
Ci
iAHTER
2 ■
Derivatives and Quantitative Market Risk Management
79
2.1
RETURNS, OPTIONS AND SENSITIVITIES
79
2.1.1
Asset Returns and Risk Factors
79
2.1.2
Risk Factor Selection
80
2.1.3
Risk Reporting with a Single Risk Factor
81
2.1.4
Forwards and Arbitrage
84
2.1.5
Models of Market Returns
88
2.1.6
Risk Reporting in a Return Model
91
2.1.7
Introducing Options
93
2.1.8
The Greeks
95
2.1.9
Options Risk Reporting
97
2.1.10
P/L Explanation for Options
99
2.2
PORTFOLIOS AND RISK AGGREGATION
99
2.2.1
The Varieties of Trading Portfolio and Their Management
100
2.2.2
Diversification and Correlation
102
2.2.3
Reporting and Risk in a Return Model:
Multiple Factors
105
2.2.4
Scenario Analysis
107
2.2.5
Stress Testing
108
2.3
UNDERSTANDING THE BEHAVIOUR OF DERIVATIVES
112
2.3.1
Overview of the Theory of Options Pricing:
Black-Schołes
and the Replicating Portfolio
112
2.3.2
Implied Volatility and Hedging
116
2.3.3
Retail Equity-Linked Products: Some Simple
Structures and Their Problems
121
Contents ■
¡χ
2.3.4
A Little More about Exotic Options
123
2.3.5
Local and Stochastic Volatility
126
2.4
INTEREST RATE DERIVATIVES AND YIELD CURVE MODELS
129
2.4.1
Futures and Forwards on Interest Rates
130
2.4.2
Interest Rate and Asset Swaps
131
2.4.3
Credit Risk in Swap Structures
135
2.4.4
Other Interest Rate Swap Structures 1
36
2.4.5
Cross-Currency Swaps
137
2.4.6
Basis Swaps
137
2.4.7
Caps, Floors and Yield Curve Models
139
2.4.8
Swaptions
142
2.4.9
Exotic Interest Rate Derivatives
143
2.5
SINGLE-NAME CREDIT DERIVATIVES
146
2.5.1
Products
146
2.5.2
Credit Events and Documentation
147
2.5.3
Credit Derivatives Valuation
151
2.5.4
Risk Reporting for Credit Derivatives
152
2.6
VALUATION, HEDGING AND MODEL RISK
153
2.6.1
Mark-to-Market and Mark-to-Model
153
2.6.2
Marking and Model Risk
154
2.6.3
Hedging, P/L and Mark Adjustments
157
Part Two Economic and Regulatory Capital Models
Chapter
3 ■
Capital: Motivation and Provision
163
3.1
MOTIVATIONS FOR CAPITAL
163
3.1.1
What Is Capital for?
163
3.1.2
Earnings Volatility and Capital
164
3.1.3
The Optimisation Problem
165
3.1.4
Capital, More or Less
167
3.2
CAPITAL INSTRUMENT FEATURES
167
3.2.1
Seniority and Subordination
168
3.2.2
Deferral and Dividends
169
3.2.3
Maturity and Replacement
169
3.2.4
Convertibility and Write-Down
169
3.2.5
Example Capital Securities
170
χ
■ Contents
3.3
REGULATORY
CAPITAL PROVISION 171
3.3.1 The Tiers
of
Basel Capital 171
3.3.2 Insurance Capital 173
3.3.3 Consolidated Capital 173
3.3.4 Capital Management:
Issues and Strategies
174
Chapter
4 ■ Market
Risk
Capital Models_177
4.1 GENERAL MARKET
RISK
CAPITAL MODELS 177
4.1.1
Value at Risk Techniques I: Variance/Covariance
177
4.1.2
Value at Risk Techniques II: Revaluation
and Historical Simulation
182
4.1.3
Value at Risk Techniques III: Monte Carlo Approaches
184
4.1.4
Relative
VAR
186
4.1.5
Backtesting,
VAR
Exceptions and the
VAR
Hypothesis
186
4.2
SOME LIMITATIONS OF VALUE AT RISK MODELS
188
4.2.1
Specific Risk
188
4.2.2
Volatility and Correlation Instabilities
189
4.2.3
The Holding Period Assumption
190
4.2.4
What Is the
VAR
Good for?
192
4.3
RISK SYSTEMS AND RISK DATA
193
4.3.1
Effective Risk Reporting
193
4.3.2
Market Data
196
Chapter
5 ■
Credit Risk and Credit Risk Capital Models
201
5.1
THE BANKING BOOK: INTRODUCING THE PRODUCTS
AND THE RISKS
201
5.1.1
Retail Banking
201
5.1.2
Commercial Banking
203
5.1.3
Forces for Change
205
5.2
CREDIT RISK FOR SMALL NUMBERS OF OBLIGATORS
205
5.2.1
Single Transaction Exposure
206
5.2.2
Potential Future Credit Exposure
209
5.2.3
What Is a Credit Spread Compensation for?
211
5.2.4
Partial Credit Mitigation
212
5.2.5
Introducing Basket Credit Derivatives
213
Contents ■ xi
5.3 AN
INTRODUCTION
TO
TRANCHING
AND PORTFOLIO
CREDIT DERIVATIVES
216
5.3.1
Funding and Loss Absorption
216
5.3.2
Securitisation and Tranching
217
5.3.3
Collateralised Debt Obligations
220
5.3.4
Structuring and the Waterfall
222
5.3.5
Index Credit Products
223
5.3.6
(The Problem with) Credit Event Correlation
224
5.3.7
Practical Credit-Adjusted Pricing
226
5.4
CREDIT PORTFOLIO RISK MANAGEMENT
227
5.4.1
The Portfolio Credit Risk Loss Distribution
227
5.4.2
Some Models of Portfolio Credit Risk
229
5.4.3
Stress Testing Credit Portfolios
233
5.4.4
Active Credit Portfolio Management
234
5.4.5
Credit Scoring and Internal Rating
237
5.5
POLITICAL AND COUNTRY RISK
240
5.5.1
Examples of Country Risk
241
5.5.2
The Effect of Country Risk
242
5.5.3
Measuring Country Risk
243
5.5.4
Country Risk Management
245
Chapter
6 ■
Operational Risk and Further Topics in Capital Estimation
247
6.1
AN INTRODUCTION TO OPERATIONAL RISK
247
6.1.1
Operational Risk Classes and Losses
248
6.1.2
Scorecard Approaches to Operational Risk
252
6.1.3
Some Issues in Operational Risk Management
253
6.2
THE TAILS AND OPERATIONAL RISK MODELLING
257
6.2.1
The Tails and Extreme Value Theory
258
6.2.2
The Case of Long Term Capital Management
259
6.2.3
The Stable Process Assumption
263
6.2.4
Operational Risk Modelling
263
6.3
ALLOCATING CAPITAL AND OTHER RISKS
264
6.3.1
Capital Allocation and Portfolio Contributions
265
6.3.2
Reputational and Other Risks
268
6.3.3
Hedging versus Capital
273
xii
ш
Contents
Chapter
7 ■
Bank Regulation and Capital Requirements
275
7.1
REGULATORY CAPITAL AND THE BASEL ACCORDS
276
7.1.1
Before Basel II: Basel I and the Market Risk Amendment
276
7.1.2
An Overview of Basel II
285
7.1.3
Basel II: Credit Risk without Mitigation
287
7.1.4
Basel II: Credit Risk Mitigation in the IRB Approaches
295
7.1.5
Basel II: Capital Rules for Positions
That Have Been Securitised
298
7.1.6
Implications of the Basel Credit Risk Framework
299
7.1.7
Operational Risk in Basel II
300
7.1.8
Floors and Transitional Arrangements
303
7.2
BASEL II: BEYOND THE CAPITAL RULES
303
7.2.1
Pillar
2
in Basel II
303
7.2.2
Pillar
3
and Banks' Disclosures
305
7.2.3
The Impact of Basel II
306
Part Three Treasury and Liquidity Risks
Chapter
8 ■
The Treasury and Asset/Liability Management
_ 311
8.1
AN INTRODUCTION TO ASSET/LIABILITY MANAGEMENT 3i7
8.1.1
The Trading Book, the Banking Book and the Treasury
312
8.1.2
Accounting for an Old-Fashioned Bank
314
8.1.3
Assets and Liabilities through Time
316
8.1.4
What Is
ALM?
318
8.2
BANKING BOOK INCOME AND FUNDING THE BANK
319
8.2.1
Transfer Pricing
319
8.2.2
Interest Rate Risk in the Banking Book
323
8.2.3
Non-Interest Income and Operating Expenses
325
8.3
ALM
IN PRACTICE
326
8.3.1
Risk in the Transfer Pricing Book
326
8.3.2
The Market Value of Portfolio Equity
328
8.3.3
Strategic Risk and Real Options
330
8.3.4
ALM
Risk Reporting
331
83.5
P/L Translation and Hedging
332
8.3.6
The Role of the ALCO
333
Contents ■ xiii
8.4
TRADING
BOOK ALM 334
8.4.1
Repo
and Other Forms of Secured Funding
334
8.4.2
Practical Issues in the Funding of Trading Books
335
Chapter
9 ■
Liquidity Risk Management
337
9.1
LIQUIDITY OF SECURITIES AND DEPOSITS
337
9.1.1
What Is Liquidity Risk?
338
9.1.2
Liability Liquidity
340
9.1.3
Asset Liquidity under Ordinary Conditions
341
9.2
LIQUIDITY MANAGEMENT
345
9.2.1
Measures of Liquidity Risk and the Firm's Liquidity Profile
345
9.2.2
Policies, Procedures and the Regulatory Perspective
347
9.2.3
Upstreaming, Downstreaming and Corporate Structure
348
9.2.4
The Implications of Illiquidity for Pricing
and Risk Measurement
348
9.3
OFF-BALANCE-SHEET LIQUIDITY AND CONTINGENT FUNDING
350
9.3.1
Positive Contingent Liquidity
350
9.3.2
Conduits
351
9.3.3
Negative Contingent Liquidity
353
9.4
STRESSES OF LIQUIDITY
353
9.4.1
Liquidity in a Crisis
354
9.4.2
Liquidity Stress Testing
356
9.4.3
The Liquidity Plan
357
Part Four Some Trading Businesses and Their Challenges
Chapter
10 ■
An Introduction to Structured Finance
361
10.1
CONTRACTUAL RELATIONS
361
10.1.1
The Documentation of Derivatives and Credit Risk Mitigation
362
10.1.2
Credit Derivatives in the Form of Insurance
365
10.1.3
Enforceability and the Pros and Cons of Enforcement
367
10.2
ASSET-BACKED SECURITIES
368
10.2.1
Mortgage-Backed Securities
368
10.2.2
Other
ABS
and Pool Modelling
375
10.2.3 ABS
Tranche Analysis
378
xiv ■ Contents
10.3 SECURITISATION
STRUCTURES
379
10.3.1 CDO,
CLO
and Related Structures
379
10.3.2
Banking Using Securitisation
382
10.3.3 ABS in
Principal Finance and Whole Business Securitisation
383
10.3.4
Some Revolving and Blind Securitisations
387
Chapter
11 ■
Novel Asset Classes, Basket Products, and Cross-Asset Trading
391
11.1
INFLATION-LINKED PRODUCTS
391
11.1.1
Inflation Indices
392
11.1.2
Inflation-Linked Bond Design
394
11.1.3
Retail Inflation-Linked Products
396
11.1.4
Lags and the Inflation-Linked Curve
397
11.1.5
Inflation Swaps
399
11.1.6
Pension Fund Risk Management
401
11.2
EQUITY BASKET PRODUCTS
405
11.2.1
Basket Options and Rainbow Products
405
11.2.2
Copulas and the Problem with Gaussian Correlation
407
11.3
CONVERTIBLE BONDS
411
11.3.1
Convertible Bond Structures
412
11.3.2
The Behaviour of Convertible Bonds
413
11.3.3
Modelling Convertibles
414
11.4
EQUITY/CREDIT TRADING
419
11.4.1
The Merton Model of Capital Structure
419
11.4.2
More Sophisticated Capital Structure Models
424
11.4.3
Equity/Credit Optionality and Hybrid Security Modelling
425
11.4.4
Credit Copulas and Credit Event Association
427
11.5
NEW PRODUCTS
429
11.5.1
The New Product Approval Process
429
11.5.2
Managing Product Complexity
432
11.5.3
Hedge Fund Risk Management
433
CONCLUDING REMARKS
437
FIGURES 441
INDEX
445 |
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| dewey-sort | 3658.15 15 |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV022498112 |
| illustrated | Illustrated |
| index_date | 2024-07-02T17:54:21Z |
| indexdate | 2024-07-09T20:58:54Z |
| institution | BVB |
| isbn | 9781584888932 1584888938 |
| language | English |
| lccn | 2007022602 |
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| spelling | Murphy, David Verfasser aut Understanding risk the theory and practice of financial risk management David Murphy Boca Raton, Fla. [u.a.] Chapman & Hall/CRC 2008 XVII, 452 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC financial mathematics series Financial risk management Investment analysis Portfolio management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s Finanzanalyse (DE-588)4133000-6 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015705214&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Murphy, David Understanding risk the theory and practice of financial risk management Financial risk management Investment analysis Portfolio management Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Finanzmanagement (DE-588)4139075-1 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4115601-8 (DE-588)4133000-6 (DE-588)4139075-1 (DE-588)4073788-3 |
| title | Understanding risk the theory and practice of financial risk management |
| title_auth | Understanding risk the theory and practice of financial risk management |
| title_exact_search | Understanding risk the theory and practice of financial risk management |
| title_exact_search_txtP | Understanding risk the theory and practice of financial risk management |
| title_full | Understanding risk the theory and practice of financial risk management David Murphy |
| title_fullStr | Understanding risk the theory and practice of financial risk management David Murphy |
| title_full_unstemmed | Understanding risk the theory and practice of financial risk management David Murphy |
| title_short | Understanding risk |
| title_sort | understanding risk the theory and practice of financial risk management |
| title_sub | the theory and practice of financial risk management |
| topic | Financial risk management Investment analysis Portfolio management Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Finanzmanagement (DE-588)4139075-1 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Financial risk management Investment analysis Portfolio management Risikomanagement Portfoliomanagement Finanzanalyse Finanzmanagement Kreditmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015705214&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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