Financial risk manager handbook:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2007
|
| Edition: | 4. ed. |
| Series: | Wiley finance
Risk management library |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXII, 713 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780470126301 |
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| 100 | 1 | |a Jorion, Philippe |d 1955- |e Verfasser |0 (DE-588)124050638 |4 aut | |
| 245 | 1 | 0 | |a Financial risk manager handbook |c Philippe Jorion. GARP |
| 246 | 1 | 3 | |a Handbook |
| 250 | |a 4. ed. | ||
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2007 | |
| 300 | |a XXII, 713 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance | |
| 490 | 0 | |a Risk management library | |
| 650 | 4 | |a Finanzsektor / Internationaler Finanzmarkt / Finanzdienstleistung / Investitionsrisiko / Portfolio-Management / Risikomanagement / Welt | |
| 650 | 4 | |a Handbuch / Handbook - 41 | |
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| _version_ | 1804136997921488896 |
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| adam_text | Contents
Preface
xix
Introduction
xxi
PART ONE
Quantitative Analysis
CHAPTER
1
Bond Fundamentals
3
1.1
Discounting, Present, and Future Value
3
1.2
Price-Yield Relationship
6
1.2.1
Valuation
6
1.2.2
Taylor Expansion
8
1.3
Bond Price Derivatives
9
1.3.1
Interpreting Duration and Convexity
16
1.3.2
Portfolio Duration and Convexity
23
1.4
Important Formulas
25
1.5
Answers to Chapter Examples
26
Appendix: Applications of Infinite Series
29
CHAPTER
2
Fundamentals of Probability
31
2.1
Characterizing Random Variables
31
2.1.1
Univariate Distribution Functions
32
2.1.2
Moments
33
2.2
Multivariate Distribution Functions
37
2.2.1
Joint Distributions
37
2.2.2
Copulas
38
2.2.3
Covariances and Correlations
38
2.3
Functions of Random Variables
40
2.3.1
Linear Transformation of Random Variables
41
2.3.2
Sum of Random Variables
41
2.3.3
Portfolios of Random Variables
42
2.3.4
Product of Random Variables
43
2.3.5
Distributions of Transformations of RVs
44
2.4
Important Distribution Functions
46
2.4.1
Uniform Distribution
46
2.4.2
Normal Distribution
47
2.4.3 Lognormal
Distribution
51
2.4.4
Student s
t
Distribution
54
2.4.5
Binomial Distribution
55
2.4.6
Poisson
Distribution
57
Viji
__________________________________________________________________________________ CONTENTS
2.5 Limit
Distributions
58
2.5.1 Distribution
of Averages
58
2.5.2
Distribution of Tails
59
2.6
Important Formulas
60
2.7
Answers to Chapter Examples
61
Appendix: Review of Matrix Multiplication
63
CHAPTER
3
Fundamentals of Statistics
65
3.1
Real Data
65
3.1.1
Measuring Returns
66
3.1.2
Time Aggregation
67
3.1.3
Portfolio Aggregation
70
3.2
Parameter Estimation
71
3.3
Regression Analysis
74
3.3.1
Bivariate Regression
74
3.3.2 Autoregression 76
3.3.3
Multivariate Regression
77
3.3.4
Example
77
3.3.5
Pitfalls with Regressions
80
3.4
Important Formulas
82
3.5
Answers to Chapter Examples
83
CHAPTER
4
Monte Carlo Methods
85
4.1
Simulations with One Random Variable
85
4.1.1
Simulating Markov Processes
85
4.1.2
The Geometric Brownian Motion
86
4.1.3
Simulating Yields
90
4.1.4
Binomial Trees
92
4.2
Implementing Simulations
95
4.2.1
Simulation for
VAR
95
4.2.2
Simulation for Derivatives
95
4.2.3
Accuracy
96
4.3
Multiple Sources of Risk
98
4.3.1
The Cholesky Factorization
99
4.3.2
The Curse of Dimensionality
100
4.4
Important Formulas
101
4.5
Answers to Chapter Examples
102
игогаа
Capital Markets
chapters
Introduction to Derivatives
107
5.1
Overview of Derivatives Markets
107
5.2
Forward Contracts
109
5.2.1
Definition
109
5.2.2
Valuing Forward Contracts
111
Contents_____________________________________________________________________________________
¡Χ
5.2.3
Valuing an Off-Market Forward Contract
113
5.2.4
Valuing Forward Contracts with
Income Payments
113
5.3
Futures Contracts
117
5.3.1
Definitions of Futures
117
5.3.2
Valuing Futures Contracts
119
5.4
Swap Contracts
120
5.5
Important Formulas
121
5.6
Answers to Chapter Examples
121
CHAPTBIG
123
6.1
Option Payoffs
123
6.1.1
Basic Options
123
6.1.2
Put-Call Parity
126
6.1.3
Combination of Options
128
6.2
Option Premiums
132
6.2.1
General Relationships
132
6.2.2
Early Exercise of Options
134
6.3
Valuing Options
136
6.3.1
Pricing by Replication
136
6.3.2
Black-Scholes Valuation
137
6.3.3
Extensions
140
6.3.4
Market versus Model Prices
141
6.4
Other Option Contracts
143
6.5
Valuing Options by Numerical Methods
146
6.6
Important Formulas
148
6.7
Answers to Chapter Examples
149
CHAPTBÌ7
RxetHncome Securities
152
7.1
Overview of Debt Markets
152
7.2
Fixed-Income Securities
155
7.2.1
Instrument Types
155
7.2.2
Methods of Quotation
157
7.3
Analysis of Fixed-Income Securities
158
7.3.1
The NPV Approach
158
7.3.2
Pricing
159
7.3.3
Duration
161
7.4
Spot and Forward Rates
162
7.5
Prepayment
167
7.5.1
Describing Prepayment Speed
167
7.5.2
Prepayment Risk
169
7.6
Securitization
174
7.6.1
Principles of Securitization
174
7.6.2
Tranching
176
7.6.3
Tranching: Inverse Floaters
178
7.6.4
Tranching: CMOs
180
7.7
Important Formulas
182
7.8
Answers to Chapter Examples
182
CHAPTERS
Fixed-Income Derivatives
8.1
Forward Contracts
8.2
Futures
8.2.1
Eurodollar Futures
8.2.2
Т
-bond
Futures
8.3
Swaps
8.3.1
Instruments
8.3.2
Pricing
8.4
Options
8.4.1
Caps and Floors
8.4.2
Swaptions
8.4.3
Exchange-Traded Options
8.5
Important Formulas
8.6
Answers to Chapter Examples
CONTENTS
186
186
189
189
190
193
193
194
199
199
202
204
205
206
CHAPTERS
Equity, Currency, and
Conunodity
Markets
209
9.1
Equities
209
9.1.1
Overview
209
9.1.2
Valuation
211
9.2
Convertible Bonds and Warrants
212
9.2.1
Definitions
212
9.2.2
Valuation
214
9.3
Equity Derivatives
216
9.3.1
Stock Index Futures
216
9.3.2
Single Stock Futures
219
9.3.3
Equity Options
219
9.3.4
Equity Swaps
220
9.3.5
Variance Swaps
220
9.4
Currency Markets
221
9.5
Currency Swaps
223
9.5.1
Instruments
223
9.5.2
Pricing
224
9.6
Commodities
228
9.6.1
Products
228
9.6.2
Pricing of Futures
229
9.6.3
Futures and Expected Spot Prices
231
9.7
Important Formulas
234
9.8
Answers to Chapter Examples
235
PART THREE
CHAPTER
10
241
10.1
Introduction to Financial Market Risks
241
10.1.1
Types of Financial Risks
241
10.1.2
Risk Management Tools
242
10.2
VAR
as a Downside Risk Measure
244
10.2.1
VAR:
Definition
244
Contents_________________________________________________________________________________________
X¡
10.2.2
VAR:
Caveats
246
10.2.3
Alternative
Measures of Risk
247
10.2.4
Cash Flow at Risk
249
10.3
VAR
Parameters
250
10.3.1
Confidence Level
251
10.3.2
Horizon
251
10.3.3
Application: The Basel Rules
253
10.4
Elements of
VAR
Systems
254
10.4.1
Portfolio Positions
254
10.4.2
Risk Factors
255
10.4.3
VAR
Methods
255
10.5
Stress-Testing
256
10.6
Liquidity Risk
259
10.7
Important Formulas
262
10.8
Answers to Chapter Examples
262
Appendix: Desirable Properties for
Risk Measures
264
CHAPTBtii
Sources ol Market Risk
267
11.1
Sources of Loss: A Decomposition
267
11.2
Currency Risk
268
11.2.1
Currency Volatility
269
11.2.2
Correlations
270
11.2.3
Cross-Rate Volatility
271
11.3
Fixed-Income Risk
271
11.3.1
Factors Affecting Yields
272
11.3.2
Bond Price and Yield Volatility
274
11.3.3
Correlations
276
11.3.4
Global Interest Rate Risk
278
11.3.5
Real Yield Risk
279
11.3.6
Credit Spread Risk
280
11.3.7
Prepayment Risk
280
11.4
Equity Risk
281
11.4.1
Stock Market Volatility
281
11.5
Commodity Risk
282
11.5.1
Commodity Volatility
282
11.5.2
Futures Risk
282
11.6
Risk Simplification
285
11.6.1
Diagonal Model
285
11.6.2
Fixed-Income Portfolio Risk
286
11.7
Important Formulas
288
11.8
Answers to Chapter Examples
288
Appendix: Simplification of the
Covariance Matrix
290
ШРТВП2
Hedging
ШеагИѕк
292
12.1
Introduction to Futures Hedging
293
12.1.1
Unitary Hedging
293
12.1.2
Basis Risk
294
______________________________________________________________________________________________CONTENTS
12.2 Optimal
Hedging
296
12.2.1 The Optimal
Hedge
Ratio 296
12.2.2
Example
299
12.2.3
Liquidity Issues
301
12.3
Applications of Optimal Hedging
301
12.3.1
Duration Hedging
301
12.3.2
Beta Hedging
305
12.4
Important Formulas
307
12.5
Answers to Chapter Examples
307
CHAPTER
13
Nonlinear Risk: Options
309
13.1
Evaluating Options
309
13.1.1
Definitions
309
13.1.2
Taylor Expansion
310
13.1.3
Option Pricing
311
13.2
Option Greeks
313
13.2.1
Option Sensitivities: Delta and Gamma
313
13.2.2
Option Sensitivities:
Vega 316
13.2.3
Option Sensitivities: Rho
318
13.2.4
Option Sensitivities: Theta
319
13.2.5
Option Pricing and the Greeks
319
13.2.6
Option Sensitivities: Summary
321
13.3
Dynamic Hedging
325
13.3.1
Delta and Dynamic Hedging
325
13.3.2
Implications
325
13.3.3
Distribution of Option Payoffs
326
13.4
Important Formulas
330
13.5
Answers to Chapter Examples
330
CHAPTER
14
Modeling Risk Factors
333
14.1
Normal and
Lognormal
Distributions
333
14.1.1
Why the Normal?
333
14.1.2
Computing Returns
334
14.1.3
Time Aggregation
335
14.2
Fat Tails
337
14.3
Time-Variation in Risk
339
14.3.1
GARCH
339
14.3.2
EWMA
342
14.3.3
Option Data
344
14.3.4
Implied Distributions
345
14.4
Important Formulas
347
14.5
Answers to Chapter Examples
347
CHAPTER
15
VAR
Methods
349
15.1
VAR:
Local versus Full Valuation
349
15.1.1
Local Valuation
350
15.1.2
Full Valuation
350
15.1.3
Delta-Gamma Method
351
15.2
VAR
Methods: Overview
353
15.2.1
Mapping
353
Contents_______________________________________________________________________________________________
ХНІ
15.2.2
Delta-Normal Method
353
15.2.3
Historical Simulation Method
354
15.2.4
Monte Carlo Simulation Method
355
15.2.5
Comparison of Methods
356
15.3
Example
358
15.3.1
Mark-to-Market
358
15.3.2
Risk Factors
360
15.3.3
VAR:
Historical Simulation
361
15.3.4
VAR:
Delta-Normal Method
362
15.4
Important Formulas
364
15.5
Answers to Chapter Examples
365
PART FOUR
Investment Risk Management
CHAPTER
16
Portfolio Management
369
16.1
Institutional Investors
369
16.2
Portfolio Management
370
16.2.1
Risk Measurement
370
16.2.2
Performance Measurement
373
16.2.3
Performance Attribution
374
16.2.4
Performance Evaluation and Survivorship
376
16.3
Risk Budgeting
378
16.4
Important Formulas
380
16.5
Answers to Chapter Examples
381
CHAPTER
17
17.1
The Hedge Fund Industry
383
17.2
Leverage, Long, and Short Positions
384
17.2.1
Long Position
384
17.2.2
Short Position
385
17.2.3
Long and Short Positions
386
17.3
Hedge Fund Risk Management
389
17.3.1
Types of Market Risks
389
17.3.2
Hedge Fund Styles
389
17.3.3
Liquidity and Model Risk
396
17.4
Hedge Fund Transparency
399
17.5
Important Formulas
402
17.6
Answers to Chapter Examples
403
PART FIVE
GREM RISK MANAGEMENT
CHAPTER
18
Introduction to Credit Risk
409
18.1
Settlement Risk
409
18.1.1
Presettlement Versus Settlement Risk
409
18.1.2
Handling Settlement Risk
410
MV____________________________________________________________________________________________CONTENTS
18.2
Overview of
Credit
Risk
412
18.2.1
Drivers of Credit Risk
412
18.2.2
Measurement of Credit Risk
412
18.2.3
Credit Risk versus Market Risk
413
18.3
Measuring Credit Risk
414
18.3.1
Credit Losses
414
18.3.2
Joint Events
414
18.3.3
An Example
416
18.4
Credit Risk Diversification
420
18.5
Important Formulas
424
18.6
Answers to Chapter Examples
424
CHAPTER
19
Measuring Actuarial Default Risk
427
19.1
Credit Event
428
19.2
Default Rates
429
19.2.1
Credit Ratings
429
19.2.2
Historical Default Rates
432
19.2.3
Cumulative and Marginal Default Rates
435
19.2.4
Transition Probabilities
440
19.2.5
Time Variation in Default Probabilities
442
19.3
Recovery Rates
443
19.3.1
The Bankruptcy Process
443
19.3.2
Estimates of Recovery Rates
444
19.4
Assessing Corporate and Sovereign Rating
447
19.4.1
Corporate Ratings
447
19.4.2
Sovereign Ratings
448
19.5
Important Formulas
451
19.6
Answers to Chapter Examples
451
CHAPTER
20
Measuring Default Risk from Market Ppioes
454
20.1
Corporate Bond Prices
454
20.1.1
Spreads and Default Risk
455
20.1.2
Risk Premium
456
20.1.3
The Cross-Section of Yield Spreads
458
20.1.4
Time Variation in Credit Spreads
459
20.2
Equity Prices
461
20.2.1
The Merton Model
461
20.2.2
Pricing Equity and Debt
463
20.2.3
Applying the Merton Model
465
20.2.4
Example
467
20.3
Important Formulas
469
20.4
Answers to Chapter Examples
469
CHAPTER
21
Credit Exposure
471
21.1
Credit Exposure by Instrument
471
21.1.1
Loans or Bonds
472
21.1.2
Guarantees
472
21.1.3
Commitments
472
21
Λ
A Swaps or Forwards
472
Contents______________________________________________________________________________________
XV
21.1.5
Long Options
473
21.1.6
Short Options
473
21.2
Distribution
of Credit Exposure
474
21.2.1
Expected and Worst Exposure
474
21.2.2
Time Profile
475
21.2.3
Exposure Profile for Interest Rate Swaps
476
21.2.4
Exposure Profile for Currency Swaps
484
21.2.5
Exposure Profile for Different Coupons
486
21.3
Exposure Modifiers
487
21.3.1
Marking to Market
488
21.3.2
Exposure Limits
489
21.3.3
Recouponing
490
21.3.4
Netting Arrangements
490
21.4
Credit Risk Modifiers
496
21.4.1
Credit Triggers
496
21.4.2
Time Puts
496
21.5
Important Formulas
496
21.6
Answers to Chapter Examples
497
CHAPTER
22
Credit Derivatives and Structured Products
500
22.1
Introduction
500
22.2
Types of Credit Derivatives
501
22.2.1
Credit Default Swaps
501
22.2.2
Total Return Swaps
506
22.2.3
Credit Spread Forward and Options
507
22.3
Pricing and Hedging Credit Derivatives
509
22.3.1
Methods
510
22.3.2
Example: Credit Default Swap
510
22.4
Structured Products
514
22.4.1
Creating Structured Products
514
22.4.2
Credit-Linked Notes
514
22.4.3
Collateralized Debt Obligations
515
22.5
CDO Market
517
22.5.1
Balance Sheet and Arbitrage CDOs
517
22.5.2
Cash Flow and Synthetic CDOs
518
22.5.3
Cash Flow and Market Value CDOs
518
22.5.4
Static and Managed CDOs
519
22.5.5
Other Products
519
22.6
Conclusions
522
22.7
Important Formulas
524
22.8
Answers to Chapter Examples
524
CHAPTER
23
527
23.1
Measuring the Distribution of Credit Losses
528
23.2
Measuring Expected Credit Loss
530
23.2.1
Expected Loss over a Target Horizon
530
23.2.2
The Time Profile of Expected Loss
531
23.3
Measuring Credit
VAR
533
23.4
Portfolio Credit Risk Models
535
23.4.1
Approaches to Portfolio Credit Risk Models
535
mrt
________________________________________________________________________________
contents
23.4.2
CreditMetrics
536
23.4.3
С^Жѕкч-
539
23.4.4
Moody s KMV
539
23.4.5
Credit Portfolio View
540
23.4.6
Comparison
540
23.5
Important Formulas
544
23.6
Answers to Chapter Examples
545
PART SIX
Operational and Integrated Risk Management
CHAPTER
24
Operational Risk
551
24.1
The Importance of Operational Risk
551
24.1.1
Case Histories
552
24.1.2
Business Lines
552
24.2
Identifying Operational Risk
553
24.3
Assessing Operational Risk
556
24.3.1
Comparison of Approaches
556
24.3.2
Actuarial Models
557
24.4
Managing Operational Risk
561
24.4.1
Capital Allocation and Insurance
561
24.4.2
Mitigating Operational Risk
563
24.4.3
Conceptual Issues
564
24.5
Answers to Chapter Examples
565
Appendix: Causal Networks
567
CHAPTER
25
Risk Capital and RAROC
569
25.1
RAROC
569
25.1.1
Risk Capital
570
25.1.2
RAROC Methodology
571
25.1.3
Application to Compensation
572
25.2
Performance Evaluation and Pricing
573
25.3
Important Formulas
575
25.4
Answers to Chapter Examples
575
CHAPTER
26
Firm-Wide Risk Management
577
26.1
Integrated Risk Management
577
26.1.1
Types of Risk
577
26.1.2
Risk Interactions
578
26.2
Best Practices Reports
580
26.2.1
The G-30 Report
580
26.2.2
The Bank of England Report on Barings
582
26.2.3
The CRMPG Report on LTCM
582
26.3
Organizational Structure
584
26.4
Controlling Traders
588
26.4.1
Trader Compensation
588
26.4.2
Trader Limits
589
26.5
Answers to Chapter Examples
592
Contents_______________________________________________________________________________________________
ХУЙ
PARTSEVEN
Legal,
Accounting,
and Tax Risk
Management
CHAPTER
27
Legal
Issues
597
27.1 Legal
Risks with
Derivatives 597
27.2
Netting
600
27.2.1
Netting under the Basel Accord
601
27.2.2
Walk-Away Clauses
602
27.2.3
Netting and Exchange Margins
602
27.3
ISDA Master Netting Agreement
603
27.4
The
2002
Sarbanes-Oxley Act
606
27.5
Glossary
608
27.5.1
General Legal Terms
608
27.5.2
Bankruptcy Terms
608
27.5.3
Contract Terms
609
27.6
Answers to Chapter Examples
610
CHAPTER
28
Accounting and Tax Issues
611
28.1
Internal Reporting
612
28.1.1
Purpose of Internal Reporting
612
28.1.2
Comparison of Methods
612
28.2
Major Issues in Reporting
613
28.2.1
Valuation Issues
613
28.2.2
Reporting Method for Derivatives
615
28.3
External Reporting: FASB
616
28.3.1
FAS
133 617
28.3.2
Definition of Derivative
617
28.3.3
Embedded Derivatives
618
28.3.4
Disclosure Rules
619
28.3.5
Hedge Effectiveness
620
28.3.6
General Evaluation of FAS
133 621
28.3.7
Accounting Treatment of SPEs
622
28.4
External Reporting: IASB
625
28.4.1
IAS
39 625
28.5
Tax Considerations
627
28.6
Answers to Chapter Examples
628
PABJB6HF
Regulation and Compliance
CHAPTER
2Э
Regulation
of financial Institutions
633
29.1
Definition of Financial Institutions
633
29.2
Systemic Risk
634
29.3
Regulation of Commercial Banks
635
29.4
Regulation of Securities Houses
638
29.5
Tools and Objectives of Regulation
639
29.6
Answers to Chapter Examples
642
ХУН!
______________________________________________________________________________________________CONTENTS
СНАРШІЗО
The Basel Accord
643
30.1
Steps in the Basel Accord
643
30.1.1
The Basel I Accord
643
30.1.2
The
1996
Amendment
644
30.1.3
The Basel II Accord
644
30.2
The
1988
Basel Accord
646
30.2.1
Risk Capital
646
30.2.2
On-Balance Sheet Risk Charges
649
30.2.3
Off-Balance Sheet Risk Charges
649
30.2.4
Total Risk Charge
654
30.3
Illustration
655
30.4
The New Basel Accord
658
30.4.1
Issues with the
1988
Basel Accord
658
30.4.2
Definition of Capital
658
30.4.3
The Credit Risk Charge
659
30.4.4
The Operational Risk Charge
663
30.4.5
Evaluation
666
30.5
Conclusions
667
30.6
Important Formulas
668
30.7
Answers to Chapter Examples
668
CHAPTER
31
The Basel Market Risk Charge
671
31.1
The Standardized Method
671
31.2
The Internal Models Approach
672
31.2.1
Qualitative Requirements
673
31.2.2
The Market Risk Charge
673
31.2.3
Combination of Approaches
675
31.3
Stress Testing
677
31.4
Backtesting
679
31.4.1
Measuring Exceptions
679
31.4.2
Statistical Decision Rules
679
31.4.3
The Penalty Zones
680
31.5
Important Formulas
683
31.6
Answers to Chapter Examples
683
About the CD-ROM
685
Index
887
|
| adam_txt |
Contents
Preface
xix
Introduction
xxi
PART ONE
Quantitative Analysis
CHAPTER
1
Bond Fundamentals
3
1.1
Discounting, Present, and Future Value
3
1.2
Price-Yield Relationship
6
1.2.1
Valuation
6
1.2.2
Taylor Expansion
8
1.3
Bond Price Derivatives
9
1.3.1
Interpreting Duration and Convexity
16
1.3.2
Portfolio Duration and Convexity
23
1.4
Important Formulas
25
1.5
Answers to Chapter Examples
26
Appendix: Applications of Infinite Series
29
CHAPTER
2
Fundamentals of Probability
31
2.1
Characterizing Random Variables
31
2.1.1
Univariate Distribution Functions
32
2.1.2
Moments
33
2.2
Multivariate Distribution Functions
37
2.2.1
Joint Distributions
37
2.2.2
Copulas
38
2.2.3
Covariances and Correlations
38
2.3
Functions of Random Variables
40
2.3.1
Linear Transformation of Random Variables
41
2.3.2
Sum of Random Variables
41
2.3.3
Portfolios of Random Variables
42
2.3.4
Product of Random Variables
43
2.3.5
Distributions of Transformations of RVs
44
2.4
Important Distribution Functions
46
2.4.1
Uniform Distribution
46
2.4.2
Normal Distribution
47
2.4.3 Lognormal
Distribution
51
2.4.4
Student's
t
Distribution
54
2.4.5
Binomial Distribution
55
2.4.6
Poisson
Distribution
57
Viji
_ CONTENTS
2.5 Limit
Distributions
58
2.5.1 Distribution
of Averages
58
2.5.2
Distribution of Tails
59
2.6
Important Formulas
60
2.7
Answers to Chapter Examples
61
Appendix: Review of Matrix Multiplication
63
CHAPTER
3
Fundamentals of Statistics
65
3.1
Real Data
65
3.1.1
Measuring Returns
66
3.1.2
Time Aggregation
67
3.1.3
Portfolio Aggregation
70
3.2
Parameter Estimation
71
3.3
Regression Analysis
74
3.3.1
Bivariate Regression
74
3.3.2 Autoregression 76
3.3.3
Multivariate Regression
77
3.3.4
Example
77
3.3.5
Pitfalls with Regressions
80
3.4
Important Formulas
82
3.5
Answers to Chapter Examples
83
CHAPTER
4
Monte Carlo Methods
85
4.1
Simulations with One Random Variable
85
4.1.1
Simulating Markov Processes
85
4.1.2
The Geometric Brownian Motion
86
4.1.3
Simulating Yields
90
4.1.4
Binomial Trees
92
4.2
Implementing Simulations
95
4.2.1
Simulation for
VAR
95
4.2.2
Simulation for Derivatives
95
4.2.3
Accuracy
96
4.3
Multiple Sources of Risk
98
4.3.1
The Cholesky Factorization
99
4.3.2
The Curse of Dimensionality
100
4.4
Important Formulas
101
4.5
Answers to Chapter Examples
102
игогаа
Capital Markets
chapters
Introduction to Derivatives
107
5.1
Overview of Derivatives Markets
107
5.2
Forward Contracts
109
5.2.1
Definition
109
5.2.2
Valuing Forward Contracts
111
Contents_
¡Χ
5.2.3
Valuing an Off-Market Forward Contract
113
5.2.4
Valuing Forward Contracts with
Income Payments
113
5.3
Futures Contracts
117
5.3.1
Definitions of Futures
117
5.3.2
Valuing Futures Contracts
119
5.4
Swap Contracts
120
5.5
Important Formulas
121
5.6
Answers to Chapter Examples
121
CHAPTBIG
123
6.1
Option Payoffs
123
6.1.1
Basic Options
123
6.1.2
Put-Call Parity
126
6.1.3
Combination of Options
128
6.2
Option Premiums
132
6.2.1
General Relationships
132
6.2.2
Early Exercise of Options
134
6.3
Valuing Options
136
6.3.1
Pricing by Replication
136
6.3.2
Black-Scholes Valuation
137
6.3.3
Extensions
140
6.3.4
Market versus Model Prices
141
6.4
Other Option Contracts
143
6.5
Valuing Options by Numerical Methods
146
6.6
Important Formulas
148
6.7
Answers to Chapter Examples
149
CHAPTBÌ7
RxetHncome Securities
152
7.1
Overview of Debt Markets
152
7.2
Fixed-Income Securities
155
7.2.1
Instrument Types
155
7.2.2
Methods of Quotation
157
7.3
Analysis of Fixed-Income Securities
158
7.3.1
The NPV Approach
158
7.3.2
Pricing
159
7.3.3
Duration
161
7.4
Spot and Forward Rates
162
7.5
Prepayment
167
7.5.1
Describing Prepayment Speed
167
7.5.2
Prepayment Risk
169
7.6
Securitization
174
7.6.1
Principles of Securitization
174
7.6.2
Tranching
176
7.6.3
Tranching: Inverse Floaters
178
7.6.4
Tranching: CMOs
180
7.7
Important Formulas
182
7.8
Answers to Chapter Examples
182
CHAPTERS
Fixed-Income Derivatives
8.1
Forward Contracts
8.2
Futures
8.2.1
Eurodollar Futures
8.2.2
Т
-bond
Futures
8.3
Swaps
8.3.1
Instruments
8.3.2
Pricing
8.4
Options
8.4.1
Caps and Floors
8.4.2
Swaptions
8.4.3
Exchange-Traded Options
8.5
Important Formulas
8.6
Answers to Chapter Examples
CONTENTS
186
186
189
189
190
193
193
194
199
199
202
204
205
206
CHAPTERS
Equity, Currency, and
Conunodity
Markets
209
9.1
Equities
209
9.1.1
Overview
209
9.1.2
Valuation
211
9.2
Convertible Bonds and Warrants
212
9.2.1
Definitions
212
9.2.2
Valuation
214
9.3
Equity Derivatives
216
9.3.1
Stock Index Futures
216
9.3.2
Single Stock Futures
219
9.3.3
Equity Options
219
9.3.4
Equity Swaps
220
9.3.5
Variance Swaps
220
9.4
Currency Markets
221
9.5
Currency Swaps
223
9.5.1
Instruments
223
9.5.2
Pricing
224
9.6
Commodities
228
9.6.1
Products
228
9.6.2
Pricing of Futures
229
9.6.3
Futures and Expected Spot Prices
231
9.7
Important Formulas
234
9.8
Answers to Chapter Examples
235
PART THREE
CHAPTER
10
241
10.1
Introduction to Financial Market Risks
241
10.1.1
Types of Financial Risks
241
10.1.2
Risk Management Tools
242
10.2
VAR
as a Downside Risk Measure
244
10.2.1
VAR:
Definition
244
Contents_
X¡
10.2.2
VAR:
Caveats
246
10.2.3
Alternative
Measures of Risk
247
10.2.4
Cash Flow at Risk
249
10.3
VAR
Parameters
250
10.3.1
Confidence Level
251
10.3.2
Horizon
251
10.3.3
Application: The Basel Rules
253
10.4
Elements of
VAR
Systems
254
10.4.1
Portfolio Positions
254
10.4.2
Risk Factors
255
10.4.3
VAR
Methods
255
10.5
Stress-Testing
256
10.6
Liquidity Risk
259
10.7
Important Formulas
262
10.8
Answers to Chapter Examples
262
Appendix: Desirable Properties for
Risk Measures
264
CHAPTBtii
Sources ol Market Risk
267
11.1
Sources of Loss: A Decomposition
267
11.2
Currency Risk
268
11.2.1
Currency Volatility
269
11.2.2
Correlations
270
11.2.3
Cross-Rate Volatility
271
11.3
Fixed-Income Risk
271
11.3.1
Factors Affecting Yields
272
11.3.2
Bond Price and Yield Volatility
274
11.3.3
Correlations
276
11.3.4
Global Interest Rate Risk
278
11.3.5
Real Yield Risk
279
11.3.6
Credit Spread Risk
280
11.3.7
Prepayment Risk
280
11.4
Equity Risk
281
11.4.1
Stock Market Volatility
281
11.5
Commodity Risk
282
11.5.1
Commodity Volatility
282
11.5.2
Futures Risk
282
11.6
Risk Simplification
285
11.6.1
Diagonal Model
285
11.6.2
Fixed-Income Portfolio Risk
286
11.7
Important Formulas
288
11.8
Answers to Chapter Examples
288
Appendix: Simplification of the
Covariance Matrix
290
ШРТВП2
Hedging
ШеагИѕк
292
12.1
Introduction to Futures Hedging
293
12.1.1
Unitary Hedging
293
12.1.2
Basis Risk
294
_CONTENTS
12.2 Optimal
Hedging
296
12.2.1 The Optimal
Hedge
Ratio 296
12.2.2
Example
299
12.2.3
Liquidity Issues
301
12.3
Applications of Optimal Hedging
301
12.3.1
Duration Hedging
301
12.3.2
Beta Hedging
305
12.4
Important Formulas
307
12.5
Answers to Chapter Examples
307
CHAPTER
13
Nonlinear Risk: Options
309
13.1
Evaluating Options
309
13.1.1
Definitions
309
13.1.2
Taylor Expansion
310
13.1.3
Option Pricing
311
13.2
Option "Greeks"
313
13.2.1
Option Sensitivities: Delta and Gamma
313
13.2.2
Option Sensitivities:
Vega 316
13.2.3
Option Sensitivities: Rho
318
13.2.4
Option Sensitivities: Theta
319
13.2.5
Option Pricing and the "Greeks"
319
13.2.6
Option Sensitivities: Summary
321
13.3
Dynamic Hedging
325
13.3.1
Delta and Dynamic Hedging
325
13.3.2
Implications
325
13.3.3
Distribution of Option Payoffs
326
13.4
Important Formulas
330
13.5
Answers to Chapter Examples
330
CHAPTER
14
Modeling Risk Factors
333
14.1
Normal and
Lognormal
Distributions
333
14.1.1
Why the Normal?
333
14.1.2
Computing Returns
334
14.1.3
Time Aggregation
335
14.2
Fat Tails
337
14.3
Time-Variation in Risk
339
14.3.1
GARCH
339
14.3.2
EWMA
342
14.3.3
Option Data
344
14.3.4
Implied Distributions
345
14.4
Important Formulas
347
14.5
Answers to Chapter Examples
347
CHAPTER
15
VAR
Methods
349
15.1
VAR:
Local versus Full Valuation
349
15.1.1
Local Valuation
350
15.1.2
Full Valuation
350
15.1.3
Delta-Gamma Method
351
15.2
VAR
Methods: Overview
353
15.2.1
Mapping
353
Contents_
ХНІ
15.2.2
Delta-Normal Method
353
15.2.3
Historical Simulation Method
354
15.2.4
Monte Carlo Simulation Method
355
15.2.5
Comparison of Methods
356
15.3
Example
358
15.3.1
Mark-to-Market
358
15.3.2
Risk Factors
360
15.3.3
VAR:
Historical Simulation
361
15.3.4
VAR:
Delta-Normal Method
362
15.4
Important Formulas
364
15.5
Answers to Chapter Examples
365
PART FOUR
Investment Risk Management
CHAPTER
16
Portfolio Management
369
16.1
Institutional Investors
369
16.2
Portfolio Management
370
16.2.1
Risk Measurement
370
16.2.2
Performance Measurement
373
16.2.3
Performance Attribution
374
16.2.4
Performance Evaluation and Survivorship
376
16.3
Risk Budgeting
378
16.4
Important Formulas
380
16.5
Answers to Chapter Examples
381
CHAPTER
17
17.1
The Hedge Fund Industry
383
17.2
Leverage, Long, and Short Positions
384
17.2.1
Long Position
384
17.2.2
Short Position
385
17.2.3
Long and Short Positions
386
17.3
Hedge Fund Risk Management
389
17.3.1
Types of Market Risks
389
17.3.2
Hedge Fund Styles
389
17.3.3
Liquidity and Model Risk
396
17.4
Hedge Fund Transparency
399
17.5
Important Formulas
402
17.6
Answers to Chapter Examples
403
PART FIVE
GREM RISK MANAGEMENT
CHAPTER
18
Introduction to Credit Risk
409
18.1
Settlement Risk
409
18.1.1
Presettlement Versus Settlement Risk
409
18.1.2
Handling Settlement Risk
410
MV_CONTENTS
18.2
Overview of
Credit
Risk
412
18.2.1
Drivers of Credit Risk
412
18.2.2
Measurement of Credit Risk
412
18.2.3
Credit Risk versus Market Risk
413
18.3
Measuring Credit Risk
414
18.3.1
Credit Losses
414
18.3.2
Joint Events
414
18.3.3
An Example
416
18.4
Credit Risk Diversification
420
18.5
Important Formulas
424
18.6
Answers to Chapter Examples
424
CHAPTER
19
Measuring Actuarial Default Risk
427
19.1
Credit Event
428
19.2
Default Rates
429
19.2.1
Credit Ratings
429
19.2.2
Historical Default Rates
432
19.2.3
Cumulative and Marginal Default Rates
435
19.2.4
Transition Probabilities
440
19.2.5
Time Variation in Default Probabilities
442
19.3
Recovery Rates
443
19.3.1
The Bankruptcy Process
443
19.3.2
Estimates of Recovery Rates
444
19.4
Assessing Corporate and Sovereign Rating
447
19.4.1
Corporate Ratings
447
19.4.2
Sovereign Ratings
448
19.5
Important Formulas
451
19.6
Answers to Chapter Examples
451
CHAPTER
20
Measuring Default Risk from Market Ppioes
454
20.1
Corporate Bond Prices
454
20.1.1
Spreads and Default Risk
455
20.1.2
Risk Premium
456
20.1.3
The Cross-Section of Yield Spreads
458
20.1.4
Time Variation in Credit Spreads
459
20.2
Equity Prices
461
20.2.1
The Merton Model
461
20.2.2
Pricing Equity and Debt
463
20.2.3
Applying the Merton Model
465
20.2.4
Example
467
20.3
Important Formulas
469
20.4
Answers to Chapter Examples
469
CHAPTER
21
Credit Exposure
471
21.1
Credit Exposure by Instrument
471
21.1.1
Loans or Bonds
472
21.1.2
Guarantees
472
21.1.3
Commitments
472
21
Λ
A Swaps or Forwards
472
Contents_
XV
21.1.5
Long Options
473
21.1.6
Short Options
473
21.2
Distribution
of Credit Exposure
474
21.2.1
Expected and Worst Exposure
474
21.2.2
Time Profile
475
21.2.3
Exposure Profile for Interest Rate Swaps
476
21.2.4
Exposure Profile for Currency Swaps
484
21.2.5
Exposure Profile for Different Coupons
486
21.3
Exposure Modifiers
487
21.3.1
Marking to Market
488
21.3.2
Exposure Limits
489
21.3.3
Recouponing
490
21.3.4
Netting Arrangements
490
21.4
Credit Risk Modifiers
496
21.4.1
Credit Triggers
496
21.4.2
Time Puts
496
21.5
Important Formulas
496
21.6
Answers to Chapter Examples
497
CHAPTER
22
Credit Derivatives and Structured Products
500
22.1
Introduction
500
22.2
Types of Credit Derivatives
501
22.2.1
Credit Default Swaps
501
22.2.2
Total Return Swaps
506
22.2.3
Credit Spread Forward and Options
507
22.3
Pricing and Hedging Credit Derivatives
509
22.3.1
Methods
510
22.3.2
Example: Credit Default Swap
510
22.4
Structured Products
514
22.4.1
Creating Structured Products
514
22.4.2
Credit-Linked Notes
514
22.4.3
Collateralized Debt Obligations
515
22.5
CDO Market
517
22.5.1
Balance Sheet and Arbitrage CDOs
517
22.5.2
Cash Flow and Synthetic CDOs
518
22.5.3
Cash Flow and Market Value CDOs
518
22.5.4
Static and Managed CDOs
519
22.5.5
Other Products
519
22.6
Conclusions
522
22.7
Important Formulas
524
22.8
Answers to Chapter Examples
524
CHAPTER
23
527
23.1
Measuring the Distribution of Credit Losses
528
23.2
Measuring Expected Credit Loss
530
23.2.1
Expected Loss over a Target Horizon
530
23.2.2
The Time Profile of Expected Loss
531
23.3
Measuring Credit
VAR
533
23.4
Portfolio Credit Risk Models
535
23.4.1
Approaches to Portfolio Credit Risk Models
535
mrt
_
contents
23.4.2
CreditMetrics
536
23.4.3
С^Жѕкч-
539
23.4.4
Moody's KMV
539
23.4.5
Credit Portfolio View
540
23.4.6
Comparison
540
23.5
Important Formulas
544
23.6
Answers to Chapter Examples
545
PART SIX
Operational and Integrated Risk Management
CHAPTER
24
Operational Risk
551
24.1
The Importance of Operational Risk
551
24.1.1
Case Histories
552
24.1.2
Business Lines
552
24.2
Identifying Operational Risk
553
24.3
Assessing Operational Risk
556
24.3.1
Comparison of Approaches
556
24.3.2
Actuarial Models
557
24.4
Managing Operational Risk
561
24.4.1
Capital Allocation and Insurance
561
24.4.2
Mitigating Operational Risk
563
24.4.3
Conceptual Issues
564
24.5
Answers to Chapter Examples
565
Appendix: Causal Networks
567
CHAPTER
25
Risk Capital and RAROC
569
25.1
RAROC
569
25.1.1
Risk Capital
570
25.1.2
RAROC Methodology
571
25.1.3
Application to Compensation
572
25.2
Performance Evaluation and Pricing
573
25.3
Important Formulas
575
25.4
Answers to Chapter Examples
575
CHAPTER
26
Firm-Wide Risk Management
577
26.1
Integrated Risk Management
577
26.1.1
Types of Risk
577
26.1.2
Risk Interactions
578
26.2
Best Practices Reports
580
26.2.1
The G-30 Report
580
26.2.2
The Bank of England Report on Barings
582
26.2.3
The CRMPG Report on LTCM
582
26.3
Organizational Structure
584
26.4
Controlling Traders
588
26.4.1
Trader Compensation
588
26.4.2
Trader Limits
589
26.5
Answers to Chapter Examples
592
Contents_
ХУЙ
PARTSEVEN
Legal,
Accounting,
and Tax Risk
Management
CHAPTER
27
Legal
Issues
597
27.1 Legal
Risks with
Derivatives 597
27.2
Netting
600
27.2.1
Netting under the Basel Accord
601
27.2.2
Walk-Away Clauses
602
27.2.3
Netting and Exchange Margins
602
27.3
ISDA Master Netting Agreement
603
27.4
The
2002
Sarbanes-Oxley Act
606
27.5
Glossary
608
27.5.1
General Legal Terms
608
27.5.2
Bankruptcy Terms
608
27.5.3
Contract Terms
609
27.6
Answers to Chapter Examples
610
CHAPTER
28
Accounting and Tax Issues
611
28.1
Internal Reporting
612
28.1.1
Purpose of Internal Reporting
612
28.1.2
Comparison of Methods
612
28.2
Major Issues in Reporting
613
28.2.1
Valuation Issues
613
28.2.2
Reporting Method for Derivatives
615
28.3
External Reporting: FASB
616
28.3.1
FAS
133 617
28.3.2
Definition of Derivative
617
28.3.3
Embedded Derivatives
618
28.3.4
Disclosure Rules
619
28.3.5
Hedge Effectiveness
620
28.3.6
General Evaluation of FAS
133 621
28.3.7
Accounting Treatment of SPEs
622
28.4
External Reporting: IASB
625
28.4.1
IAS
39 625
28.5
Tax Considerations
627
28.6
Answers to Chapter Examples
628
PABJB6HF
Regulation and Compliance
CHAPTER
2Э
Regulation
of financial Institutions
633
29.1
Definition of Financial Institutions
633
29.2
Systemic Risk
634
29.3
Regulation of Commercial Banks
635
29.4
Regulation of Securities Houses
638
29.5
Tools and Objectives of Regulation
639
29.6
Answers to Chapter Examples
642
ХУН!
_CONTENTS
СНАРШІЗО
The Basel Accord
643
30.1
Steps in the Basel Accord
643
30.1.1
The Basel I Accord
643
30.1.2
The
1996
Amendment
644
30.1.3
The Basel II Accord
644
30.2
The
1988
Basel Accord
646
30.2.1
Risk Capital
646
30.2.2
On-Balance Sheet Risk Charges
649
30.2.3
Off-Balance Sheet Risk Charges
649
30.2.4
Total Risk Charge
654
30.3
Illustration
655
30.4
The New Basel Accord
658
30.4.1
Issues with the
1988
Basel Accord
658
30.4.2
Definition of Capital
658
30.4.3
The Credit Risk Charge
659
30.4.4
The Operational Risk Charge
663
30.4.5
Evaluation
666
30.5
Conclusions
667
30.6
Important Formulas
668
30.7
Answers to Chapter Examples
668
CHAPTER
31
The Basel Market Risk Charge
671
31.1
The Standardized Method
671
31.2
The Internal Models Approach
672
31.2.1
Qualitative Requirements
673
31.2.2
The Market Risk Charge
673
31.2.3
Combination of Approaches
675
31.3
Stress Testing
677
31.4
Backtesting
679
31.4.1
Measuring Exceptions
679
31.4.2
Statistical Decision Rules
679
31.4.3
The Penalty Zones
680
31.5
Important Formulas
683
31.6
Answers to Chapter Examples
683
About the CD-ROM
685
Index
887 |
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| author | Jorion, Philippe 1955- |
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| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 4. ed. |
| format | Book |
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| id | DE-604.BV022752184 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:31:14Z |
| indexdate | 2024-07-09T21:05:18Z |
| institution | BVB |
| isbn | 9780470126301 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015957892 |
| oclc_num | 255540716 |
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| physical | XXII, 713 S. graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2007 |
| publishDateSearch | 2007 |
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| publisher | Wiley |
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| series2 | Wiley finance Risk management library |
| spelling | Jorion, Philippe 1955- Verfasser (DE-588)124050638 aut Financial risk manager handbook Philippe Jorion. GARP Handbook 4. ed. Hoboken, NJ Wiley 2007 XXII, 713 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance Risk management library Finanzsektor / Internationaler Finanzmarkt / Finanzdienstleistung / Investitionsrisiko / Portfolio-Management / Risikomanagement / Welt Handbuch / Handbook - 41 Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 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=015957892&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jorion, Philippe 1955- Financial risk manager handbook Finanzsektor / Internationaler Finanzmarkt / Finanzdienstleistung / Investitionsrisiko / Portfolio-Management / Risikomanagement / Welt Handbuch / Handbook - 41 Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4121590-4 |
| title | Financial risk manager handbook |
| title_alt | Handbook |
| title_auth | Financial risk manager handbook |
| title_exact_search | Financial risk manager handbook |
| title_exact_search_txtP | Financial risk manager handbook |
| title_full | Financial risk manager handbook Philippe Jorion. GARP |
| title_fullStr | Financial risk manager handbook Philippe Jorion. GARP |
| title_full_unstemmed | Financial risk manager handbook Philippe Jorion. GARP |
| title_short | Financial risk manager handbook |
| title_sort | financial risk manager handbook |
| topic | Finanzsektor / Internationaler Finanzmarkt / Finanzdienstleistung / Investitionsrisiko / Portfolio-Management / Risikomanagement / Welt Handbuch / Handbook - 41 Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzsektor / Internationaler Finanzmarkt / Finanzdienstleistung / Investitionsrisiko / Portfolio-Management / Risikomanagement / Welt Handbuch / Handbook - 41 Kapitalmarkt Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015957892&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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