Understanding financial risk management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Routledge
2015
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Routledge advanced texts in economics and finance
23 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 467 S. graph. Darst. |
| ISBN: | 9780415746175 9780415746182 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804152675156099072 |
|---|---|
| adam_text | Contents
List
oj
figures
xiii
List of tables
xv
Preface
xvi
1
Risk: an overview
1
1.1
Introduction
2
1.2
The process of risk management
15
1.3
Theory of markets
22
Summary
32
Bibliography
33
Exercises
34
Appendix: Types of market failure
35
2
Financial markets and volatility
38
2.1
Modern portfolio theory
39
2.2
The Capital Asset Pricing Model
50
2.3
Volatility and correlation
62
Summary
72
Bibliography
12
Exercises
73
Appendix: The table of the standard normal distribution
76
3
Statistical analysis
78
3.1
Relevant distributions
79
3.2
Probabilistic approaches
92
3.3
Time series analysis
98
Summary
108
Bibliography
108
Exercises
109
Appendix: Ito s Lemma
112
χ
Contents
4 Financial
derivatives
115
4.1
Options and futures
116
4.2
Pricing of derivatives
126
4.3
Interest rate derivatives
139
Summary
147
Bibliography
148
Exercises
149
Appendix: The market price of risk
151
5
Market risk
154
5.1
Market risk metrics
155
5.2
VaR calculation methods
164
5.3
Inside VaR
171
Summary
178
Bibliography
179
Exercises
179
Appendix: Factor mapping for VaR
181
6
Interest rate risk
183
6.1
The dynamics of interest rates
184
6.2
Short-rate models
198
6.3 IRR
management
208
Summary
215
Bibliography
216
Exercises
216
Appendix: Principal component analysis of the term structure
219
7
Credit risk
221
7.1
Basic concepts
222
7.2
Structural models
231
7.3
Reduced-form models
240
Summary
247
Bibliography
247
Exercises
248
Appendix: The Markov process for transition matrices
250
8
Liquidity risk
252
8.1
Market prices
253
8.2
Models of liquidity
264
8.3
Liquidity risk and regulation
275
Summary
282
Bibliography
283
Exercises
284
Appendix: Liquidity CAPM
285
Contents xi
9
Other risks
288
9.1
Operational risk
289
9.2
Currency risk
297
9.3
Volatility risk
305
Summary
313
Bibliography
314
Exercises
315
Appendix: Risk-adjusted return on capital
315
10
Financial crisis and securitization
318
10.1
Crisis and regulation
319
10.2
Credit derivatives
328
10.3
Securitization
339
Summary
347
Bibliography
348
Exercises
349
Appendix: A model of SPVs
349
11
Hedging techniques
352
11.1
Market risk hedging
353
11.2
Credit risk hedging
360
11.3
Advanced
IRR
hedging
371
Summary
379
Bibliography
380
Exercises
381
12
Beyond normality and correlation
383
12.1
Copula functions
384
12.2
Extreme value theory
393
12.3
Beyond VaR
400
Summary
408
Bibliography
408
Exercises
410
Appendix: VaR for portfolios of derivatives
410
13
Advanced topics
412
13.1
VaR advances
413
13.2
Alternative risk transfer
419
13.3
High-frequency trading
426
Summary
432
Bibliography
433
Exercises
434
Appendix: Power laws for intraday data
435
xii Contents
14
The future of financial risk management
437
14.1
The role of corporate governance
438
14.2
The banking sector
443
14.3
Challenges for research
451
Summary
458
Bibliography
458
Exercises
459
Index
461
|
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| isbn | 9780415746175 9780415746182 |
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| physical | XVIII, 467 S. graph. Darst. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
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| publisher | Routledge |
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| series | Routledge advanced texts in economics and finance |
| series2 | Routledge advanced texts in economics and finance |
| spelling | Corelli, Arcangelo 1653-1713 Verfasser (DE-588)11901176X aut Understanding financial risk management Angelo Corelli 1. publ. London [u.a.] Routledge 2015 XVIII, 467 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Routledge advanced texts in economics and finance 23 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikoverteilung (DE-588)4138417-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Kreditmarkt (DE-588)4073788-3 s Risikoverteilung (DE-588)4138417-9 s Risikomanagement (DE-588)4121590-4 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-315-79753-3 Routledge advanced texts in economics and finance 23 (DE-604)BV037241432 23 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027610680&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Corelli, Arcangelo 1653-1713 Understanding financial risk management Routledge advanced texts in economics and finance Risikomanagement (DE-588)4121590-4 gnd Risikoverteilung (DE-588)4138417-9 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4138417-9 (DE-588)4073788-3 (DE-588)4123623-3 |
| title | Understanding financial risk management |
| title_auth | Understanding financial risk management |
| title_exact_search | Understanding financial risk management |
| title_full | Understanding financial risk management Angelo Corelli |
| title_fullStr | Understanding financial risk management Angelo Corelli |
| title_full_unstemmed | Understanding financial risk management Angelo Corelli |
| title_short | Understanding financial risk management |
| title_sort | understanding financial risk management |
| topic | Risikomanagement (DE-588)4121590-4 gnd Risikoverteilung (DE-588)4138417-9 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Risikomanagement Risikoverteilung Kreditmarkt Lehrbuch |
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