Elements of financial risk management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Academic Press Elsevier
2012
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 326 S. Ill. |
| ISBN: | 9780123744487 9780128102350 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804148932125655040 |
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| adam_text | Titel: Elements of financial risk management
Autor: Christoffersen, Peter F
Jahr: 2012
Contents
Preface xiii
Acknowledgments xv
Part I Background 1
1 Risk Management and Financial Returns 3
1 Chapter Outline 3
2 Learning Objectives 3
3 Risk Management and the Firm 4
4 A Brief Taxonomy of Risks 6
5 Asset Returns Definitions 7
6 Stylized Facts of Asset Returns 9
7 A Generic Model of Asset Returns 11
8 From Asset Returns to Portfolio Returns 12
9 Introducing the Value-at-Risk (VaR) Risk Measure 12
10 Overview of the Book 16
Appendix: Return VaR and $VaR 17
Further Resources 18
References 18
Empirical Exercises 19
2 Historical Simulation, Value-at-Risk, and Expected Shortfall 21
1 Chapter Overview 21
2 Historical Simulation 21
3 Weighted Historical Simulation (WHS) 24
4 Evidence from the 2008-2009 Crisis 28
5 The True Probability of Breaching the HS VaR 31
6 VaR with Extreme Coverage Rates 32
7 Expected Shortfall 33
8 Summary 36
Further Resources 37
References 37
Empirical Exercises 38
3 A Primer on Financial Time Series Analysis 39
1 Chapter Overview 39
2 Probability Distributions and Moments 40
3 The Linear Model 45
4 Univariate Time Series Models 48
5 Multivariate Time Series Models 59
6 Summary 62
Further Resources 63
References 63
Empirical Exercises 64
Part II Univariate Risk Models 65
4 Volatility Modeling Using Daily Data 67
1 Chapter Overview 67
2 Simple Variance Forecasting 68
3 The GARCH Variance Model 70
4 Maximum Likelihood Estimation 73
5 Extensions to the GARCH Model 76
6 Variance Model Evaluation 82
7 Summary 86
Appendix A: Component GARCH and GARCH(2,2) 86
Appendix B: The HYGARCH Long-Memory Model 88
Further Resources 89
References 89
Empirical Exercises 91
5 Volatility Modeling Using Intraday Data 93
1 Chapter Overview 93
2 Realized Variance: Four Stylized Facts 94
3 Forecasting Realized Variance 98
4 Realized Variance Construction 103
5 Data Issues 107
6 Range-based Volatility Modeling 110
7 GARCH Variance Forecast Evaluation Revisited 115
8 Summary 116
Further Resources 116
References 117
Empirical Exercises 119
6 Nonnormal Distributions 121
1 Chapter Overview 121
2 Learning Objectives 121
3 Visualizing Nonnormality Using QQ Plots 123
4 The Filtered Historical Simulation Approach 125
5 The Cornish-Fisher Approximation to VaR 126
6 The Standardized / Distribution 128
7 The Asymmetric t Distribution 133
8 Extreme Value Theory (EVT) 137
9 Summary 143
Appendix A: ES for the Symmetric and Asymmetric t Distributions 144
Appendix B: Cornish-Fisher ES 145
Appendix C: Extreme Value Theory ES 146
Further Resources 147
References 147
Empirical Exercises 149
Part III Multivariate Risk Models 151
7 Covariance and Correlation Models 153
1 Chapter Overview 153
2 Portfolio Variance and Covariance 154
3 Dynamic Conditional Correlation (DCC) 159
4 Estimating Daily Covariance from Intraday Data 165
5 Summary 168
Further Resources 169
References 170
Empirical Exercises 171
8 Simulating the Term Structure of Risk 173
1 Chapter Overview 173
2 The Risk Term Structure in Univariate Models 174
3 The Risk Term Structure with Constant Correlations 182
4 The Risk Term Structure with Dynamic Correlations 186
5 Summary 189
Further Resources 189
References 190
Empirical Exercises 191
9 Distributions and Copulas for Integrated Risk Management 193
1 Chapter Overview 193
2 Threshold Correlations 194
3 Multivariate Distributions 195
4 The Copula Modeling Approach 203
5 Risk Management Using Copula Models 210
6 Summary 213
Further Resources 213
References 214
Empirical Exercises 215
Part IV Further Topics in Risk Management 217
10 Option Pricing 219
1 Chapter Overview 219
2 Basic Definitions 220
3 Option Pricing Using Binomial Trees 222
4 Option Pricing under the Normal Distribution 230
5 Allowing for Skewness and Kurtosis 235
6 Allowing for Dynamic Volatility 239
7 Implied Volatility Function (IVF) Models 244
8 Summary 245
Appendix: The CFG Option Pricing Formula 245
Further Resources 247
References 248
Empirical Exercises 249
11 Option Risk Management 251
1 Chapter Overview 251
2 The Option Delta 252
3 Portfolio Risk Using Delta 257
4 The Option Gamma 259
5 Portfolio Risk Using Gamma 261
6 Portfolio Risk Using Full Valuation 265
7 A Simple Example 267
8 Pitfall in the Delta and Gamma Approaches 271
9 Summary 273
Further Resources 273
References 274
Empirical Exercises 275
12 Credit Risk Management 277
1 Chapter Overview 277
2 A Brief History of Corporate Defaults 278
3 Modeling Corporate Default 280
4 Portfolio Credit Risk 284
5 Other Aspects of Credit Risk 290
6 Summary 295
Further Resources 295
References 296
Empirical Exercises 297
13 Backtesting and Stress Testing 299
1 Chapter Overview 299
2 Backtesting VaRs 301
3 Increasing the Information Set 307
4 Backtesting Expected Shortfall 308
5 Backtesting the Entire Distribution 309
6 Stress Testing 312
7 Summary 316
Further Resources 317
References 318
Empirical Exercises 319
Index 321
|
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| spelling | Christoffersen, Peter F. 1967-2018 Verfasser (DE-588)128551224 aut Elements of financial risk management Peter F. Christoffersen 2. ed. Amsterdam [u.a.] Academic Press Elsevier 2012 XVI, 326 S. Ill. txt rdacontent n rdamedia nc rdacarrier Gestion du risque Risk management gtt Financial risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s DE-604 Anlagepolitik (DE-588)4206018-7 s Mathematisches Modell (DE-588)4114528-8 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024816030&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Christoffersen, Peter F. 1967-2018 Elements of financial risk management Gestion du risque Risk management gtt Financial risk management Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4206018-7 (DE-588)4114528-8 (DE-588)4139075-1 |
| title | Elements of financial risk management |
| title_auth | Elements of financial risk management |
| title_exact_search | Elements of financial risk management |
| title_full | Elements of financial risk management Peter F. Christoffersen |
| title_fullStr | Elements of financial risk management Peter F. Christoffersen |
| title_full_unstemmed | Elements of financial risk management Peter F. Christoffersen |
| title_short | Elements of financial risk management |
| title_sort | elements of financial risk management |
| topic | Gestion du risque Risk management gtt Financial risk management Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| topic_facet | Gestion du risque Risk management Financial risk management Risikomanagement Anlagepolitik Mathematisches Modell Finanzmanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024816030&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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