Risk and liquidity:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2010
|
| Edition: | 1. publ. |
| Series: | Clarendon lectures in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 192 S. graph. Darst. |
| ISBN: | 9780199546367 |
Staff View
MARC
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| 245 | 1 | 0 | |a Risk and liquidity |c Hyun Song Shin |
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| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2010 | |
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| 650 | 4 | |a Risk | |
| 650 | 4 | |a Liquidity (Economics) | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Global Financial Crisis, 2008-2009 | |
| 650 | 4 | |a Global Financial Crisis, 2008-2009 | |
| 650 | 4 | |a Liquidity (Economics) | |
| 650 | 4 | |a Risk | |
| 650 | 4 | |a Risk management | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Acknowledgments
v
List of Figures
ix
List of Tables
xii
1.
Nature of Financial Risk
1
2.
Value-at-Risk and Capital
16
2.1
Portfolio Choice under VaR Constraint
19
2.2
Upward-Sloping Demand Reactions
23
2.3
Notes on Further Reading
26
3.
Boom and Bust Driven by Value-at-Risk
28
3.1
General Equilibrium with Value-at-Risk
29
3.2
Pricing of Risk and Credit Supply
35
3.3
Long-Short Strategy Hedge Fund
41
3.4
Hedge Fund with VaR Constraint
47
3.5
Endogenous Risk
51
3.6
Notes on Further Reading
54
4.
Dynamic Hedging
56
4.1
Portfolio Insurance
56
4.2
Delta Hedging
58
4.3
Stock Market Crash of
1987 71
5.
Asset-Liability Management
75
5.1
Review of Basic Concepts
77
5.2
Example of a Pension Fund
84
5.3
Example of Ivy College
88
5.4
Prices as Signals for Investment
91
6.
Financial System
96
6.1
Accounting Framework
102
6.2
Realized Allocations
104
6.3
Market Value of Debt
109
7.
Lending Booms
116
7.1
Credit Risk Model
116
7.2
Value-at-Risk and Lending
118
7.3
Credit Boom
122
7.4
Global Imbalances
125
viii Contents
7.5
Foreign Holding of US Debt Securities
127
7.6
Related Literature
131
8.
Case of Northern Rock
132
8.1
Background
135
8.2
Securitization Process
137
8.3
The Run on Northern Rock
140
8.4
Reassessing the Run on Northern Rock
143
8.5
Implications for Financial Regulation
149
9.
Securitization and the Financial System
152
9.1
Accounting Framework Revisited
157
9.2
Boom Scenario
159
9.3
Bust Scenario
161
9.4
Prescriptions
161
9.5
Size of Banking Sector
167
10.
A Fresh Start
171
References
176
Index
183
|
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| indexdate | 2024-07-09T22:10:31Z |
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| isbn | 9780199546367 |
| language | English |
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| physical | XI, 192 S. graph. Darst. |
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| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Clarendon lectures in finance |
| spelling | Shin, Hyun Song 1959- Verfasser (DE-588)170758095 aut Risk and liquidity Hyun Song Shin 1. publ. Oxford [u.a.] Oxford Univ. Press 2010 XI, 192 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Clarendon lectures in finance Risk Liquidity (Economics) Risk management Global Financial Crisis, 2008-2009 Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Weltwirtschaft (DE-588)4065468-0 gnd rswk-swf Weltwirtschaft (DE-588)4065468-0 s Konjunkturzyklus (DE-588)4032134-4 s Finanzkrise (DE-588)7635855-0 s Risikomanagement (DE-588)4121590-4 s b DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018950461&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shin, Hyun Song 1959- Risk and liquidity Risk Liquidity (Economics) Risk management Global Financial Crisis, 2008-2009 Konjunkturzyklus (DE-588)4032134-4 gnd Finanzkrise (DE-588)7635855-0 gnd Risikomanagement (DE-588)4121590-4 gnd Weltwirtschaft (DE-588)4065468-0 gnd |
| subject_GND | (DE-588)4032134-4 (DE-588)7635855-0 (DE-588)4121590-4 (DE-588)4065468-0 |
| title | Risk and liquidity |
| title_auth | Risk and liquidity |
| title_exact_search | Risk and liquidity |
| title_full | Risk and liquidity Hyun Song Shin |
| title_fullStr | Risk and liquidity Hyun Song Shin |
| title_full_unstemmed | Risk and liquidity Hyun Song Shin |
| title_short | Risk and liquidity |
| title_sort | risk and liquidity |
| topic | Risk Liquidity (Economics) Risk management Global Financial Crisis, 2008-2009 Konjunkturzyklus (DE-588)4032134-4 gnd Finanzkrise (DE-588)7635855-0 gnd Risikomanagement (DE-588)4121590-4 gnd Weltwirtschaft (DE-588)4065468-0 gnd |
| topic_facet | Risk Liquidity (Economics) Risk management Global Financial Crisis, 2008-2009 Konjunkturzyklus Finanzkrise Risikomanagement Weltwirtschaft |
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