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Managing financial risk: a guide to derivative products, financial engineering, and value maximization

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Bibliographische Detailangaben
Beteilige Person:	Smithson, Charles W. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	New York [u.a.] McGraw-Hill 1998
Ausgabe:	3. ed.
Schriftenreihe:	Irwin library of investment & finance
Schlagwörter:	Finanzierung - Risikomanagement Risikomanagement Finanzmanagement
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008354596&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008354596&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XI, 663 S. graph. Darst.
ISBN:	007059354X

Internformat

MARC


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Datensatz im Suchindex

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adam_text	Contents Preface 1 The Evolution of Risk Management Products 1 The World Becomes a Riskier Place 2 Volatility of Foreign Exchange Rates 3 Volatility of Interest Rates 4 Volatility of Commodity Prices 4 The Impact of Increased Financial Price Risk on Firms 5 Exchange Rate Risk 7 Illustration 1-1: Laker Airlines an FX Risk 7 Illustration 1-2: Caterpillar s FXWhammy 8 Illustration 1-3: A Summer of Discontent for Japanese Manufacturers 9 Interest Rate Risk 11 Illustration 1-4: Time to Blame FX? 12 Illustration 1-5: From Money Machines to Money Pits: U.S. S&Ls 13 Illustration 1-6: Inherent Exposures to Interest Rates: Residential Construction 14 Commodity-Price Risk 11 Illustration 1-7: A Gulf War Casualty: Continental Airlines 14 The Forecasters Flunk 15 Illustration 1-8: Making Millions Trading Wheat Futures 17 The Markets Response: Tools to Manage Financial Price Risk 18 Exchange Rate Risk Management Products 18 Interest Rate Risk Management Products 20 Commodity-Price Risk Management Products 22 How Much Is Really New? 23 Concluding Remarks 25 An Overview of the Risk Management Process 27 A Building-Block Approach to Forwards, Futures, Swaps, Options, and Hybrid Securities 27 An Overview of the Risk Management Products 27 Forward Contracts 29 Futures Contracts 30 Swap Contracts 31 Option Contracts 34 The Box of Financial Building Blocks 39 3 Impact of the Introduction of the Risk Management Products 42 The Impact of Risk Management on the Markets for the Underlying Assets 42 The Impact on Price Volatility 43 Authored Box: Less Is Brewing in Witching Hours John Rozario, CIBC World Markets 45 The Impact on Adjustment Speed 48 The Impact on the Bid-Ask Spread 49 The Impact on Trading Volume of the Underlying Assets 49 Summary 50 The Impact of Risk Management on the Economy 51 The Impact of the Derivative Markets on Each Other 52 4 Forward Contracts 54 The Structure of a Forward Contract 54 ASIDE: Notional Principal 56 A Framework for Forward Pricing 57 Forward Prices Must Reflect Costs and Benefits 58 Forward Prices Must Be Arbitrage-Free 58 Forward Contracts and Default 60 Foreign Exchange Forwards 60 The Contract 61 The Forward Foreign Exchange Rate 62 ASIDE: Interest Rate Parity 64 Illustration 4-1: Pricing an FX Forward Contract 65 Bid-Ask Spreads 66 Illustration 4-2: Pricing an FX Forward Contract Again 66 Forward-Rate Agreements 67 The Contract 67 The Forward Interest Rate 68 Illustration 4-3: Deriving a Forward Rate 68 Bid-Ask Spreads 69 Authored Box: Pricing an FRA George François, CIBC World Markets 71 5 Applications of Forwards 74 The Markets 74 Foreign Exchange Forwards 74 FRAs 76 The Trading Rooms 77 Foreign Exchange Forward Trading 77 Illustration 5-1: Laying Off an FX Forward 77 FRA Trading 79 Illustration 5-2: Using FRAs for Asset-Liability Management 79 End Users 81 Managing Foreign Exchange Risk 81 Illustration 5-3: Hedging Transaction Exposures 81 Managing Interest Rate Risk 83 Illustration 5-4: Using FRAs in an Insurance Company 86 6 Futures 89 The Futures Contract 89 Institutional Features That Reduce Credit Risk 91 Illustration 6-1 : Implementing Daily Settlement 92 Daily Settlement 91 Margin Requirements 93 Illustration 6-2: Tracing Margin Balances 95 The Clearinghouse 94 Price Limits 96 Institutional Features That Promote Liquidity 100 Standardized Contracts 100 Organized Exchanges 100 Futures Prices 101 Future Prices and the Cost of Carry 101 Illustration 6-3: Cash and Carry Limits on Wheat Futures Prices 104 Futures Prices and Expected Future Spot Prices 106 Cost of Carry versus Expectations 107 Illustration 6-4: Speculation and the Expectations Model 106 Illustration 6-5: Backwardation and Contango in Bond Futures 108 Futures Prices and the Cost of Hedging: Basis 109 Changes in the Convergence of the Futures Price to the Cash Price 110 Changes in Factors That Affect the Cost of Carry 111 Mismatches between the Exposure Being Hedged and the Futures Contract Being Used as the Hedge 111 Random Deviations from the Cost-of- Carry Relation 113 7 Applications of Futures 116 Authored Box: To Hedge or Not to Hedge 119 Ira G. Kawaller, Kawaller & Co. 119 Using Futures to Hedge an Underlying Exposure 120 Illustration 7-1 : No Basis Risk 122 Mismatches on Maturities: Basis Risk 123 Illustration 7-2: Basis Risk 123 Mismatches on Maturities: Strip and Rolling Hedges 124 Mismatches in the Asset: Cross-Hedging 124 Illustration 7-3 : A Strip Hedge 125 Illustration 7-4: A Rolling Hedge 125 Illustration 7-5: A Rolling Hedge Again 126 Illustration 7-6A: A Cross-Hedge: Selecting the Appropriate Futures Contract 127 Illustration 7-6B: A Cross-Hedge: Selecting the Appropriate Number of Contracts, Parti 129 Illustration 7-6C: A Cross-Hedge: Selecting the Appropriate Number of Contracts Part 2 129 Illustration 7-6D: A Cross-Hedge 130 Illustration 7-6E: The Results of the Cross-Hedge 131 Adjusting for the Margin Account: Tailing the Hedge 132 Illustration 7-7: A Tailed Hedge 134 Authored Box: Waging War against Currency Exposure Ira G. Kawaller, Chicago Mercantile Exchange 135 Managing a Futures Hedge 138 8 Swaps 140 Evolution of the Swap Contract 140 From Parallel Loans to Currency Swaps 141 Illustration 8-1: Hedging a U.S. Parent/UK Subsidiary with a Parallel Loan 142 ASIDE: Currency Swap versus FX Swaps 146 From Currency Swaps to Interest Rate, Commodity, and Equity Swaps 145 Development of the Swap Market 150 Growth of the Swap Market 151 Comparative Advantage 153 ASIDE: Comparative Advantage 153 Underpriced Credit Risk (Risk Shifting) 153 Differential Cash Flow Packages 154 Illustration 8-2: Embedded Interest Rate Options 154 Information Asymmetries 155 Tax and Regulatory Arbitrage 156 Illustration 8-3: Arbitraging Japan s Tax and Regulatory Authorities 157 Exposure Management 162 Synthetic Instruments 162 Liquidity 162 Pricing and Valuing Swaps 162 Pricing an At-Market Swap 163 Illustration 8-4: Pricing an Interest Rate Swap 164 Swap Pricing Conventions 167 Valuing a Swap (Marking the Swap to Market) 167 Illustration 8-5: Valuing an Interest Rate Swap 168 9 Applications of Swaps 170 Using Swaps to Manage Interest Rate Risk 171 Using Swaps to Manage Foreign Exchange Rate Risk 173 Using Swaps to Manage Commodity-Price Risk 174 Using Swaps to Manage Equity Price Risk 176 Using Swaps to Reduce Transaction Costs 177 Authored Box: Using Swaps at McDonald s Carleton Pearl, McDonald s Corporation 178 Using Swaps to Increase Debt Capacity (or Gain Access to Debt Markets) 181 Illustration 9-1: Mexicana de Cobre 182 Using Swaps to Create Synthetic Instruments 184 Authored Box: Using Interest Rate Swaps to Synthesize a Long-Dated Foreign Exchange Forward Jacques Tierney 185 10 A Primer on Options 190 The Option Contract 190 The Contracting Parties 190 The Right to Buy or to Sell 190 The Specif ied Asset 191 The Specified Price and Date 191 The Graphics of Options 191 Illustration 10—1: Reading the Options Quotes 192 Option Valuation 195 Put-Call Parity 195 Bounding the Value of the Option 197 A Simplified Approach to Option Valuation 201 Illustration 10-2: A Realistic Approach? 201 Illustration 10-3: Calculating the Hedge Ratio 203 Illustration 10-4: An Option Payoff Diagram 204 Authored Box: Risk Neutral Valuation Greg Hayt, CIBC World Markets 210 A Note on American Options 214 American Calls 215 American Puts 216 11 First-Generation Options 218 The Black-Scholes Option Pricing Model 219 ASIDE: A Continuous Ito Process 220 ASIDE: Ito s Lemma 221 ASIDE: Differential Equations 224 The Analytical Models 227 Generalizations of the Black-Scholes Model 227 ASIDE: Interpreting the Black-Scholes Formula 228 Extensions to the Black-Scholes Model 230 Options on Futures 230 Options on Currencies 231 Compound Options 232 Path-Dependent Options 232 American-Style Options 232 The Numerical Models 233 The Binomial Models 233 The Finite Difference Methodology 235 Monte Carlo Simulations 235 ASIDE: Evolution of Models to Value Interest Rate Options 236 The Analytic Approximation Models 238 The Family Tree 238 ASIDE: Precursors to the Black-Scholes Model 238 12 Applications of Options 241 Activity Levels in the Option Markets 242 Exchange-Traded Options 242 Over-the-Counter Options 242 Using Options to Manage Interest Rate Risk 244 Authored Box: To Hedge or Not to Hedge—Part 2 Ira G. Kawaller, Chicago Mercantile Exchange 246 ASIDE: Hartmarx Corporation 249 Using Options to Manage Foreign Exchange Rate Risk 250 Illustration 12-1: Constructing a Currency Hedge 251 Using Options to Manage Commodity-Price Risk 253 Using Options to Manage Equity Price Risk 257 ASIDE: A Note on U.S. Tax Law Changes 260 Using Options to Increase Debt Capacity 261 Using Options as a Competitive Tool 263 13 Second-Generation Options 266 Path-Dependent Options 267 Mean-Dependent Options 267 Average Price 267 Average Strike 269 Cumulative 270 Extremum-Dependent Options 270 Barrier Options 270 Knock-Out Options Illustration 13-1: Using Knock-Out Caps 272 Capped Options 273 Lookback Options 274 Ladder Options 274 Shout Options 275 Illustration 13-2: Using a Ladder Option to Hedge FX Risk 276 Illustration 13-3: Using a Shout Option to Hedge FX Risk 277 Valuing Path-Dependent Options 277 Analytic Method 277 Analytic Approximation Method 277 Binomial Model (Lattice) Method 278 Monte Carlo Simulation 278 Multifactor Options 278 Rainbow Options 279 Better-of Options 279 Outperformance Options 279 Max/Min Options 280 Quanto Options 280 Basket Options 282 Exchange-Traded Multifactor Options 283 Pricing and Risk Management for Multifactor Options 283 Time-Dependent Options 283 Chooser Options 283 Forward Start Options 284 Illustration 13-4: A Periodic Cap 284 Cliquet Options 284 Single-Payoff Options 285 Binary Options 285 Contingent Premium Options 286 14 Engineering New Risk Management Products 288 Combining Building Blocks to Produce New Instruments 288 Combining Forwards with Swaps 288 Combining Options with Forwards 290 ASIDE: Why Break Forwards? 291 Combining Options with Swaps 294 Combining Options with Other Options 296 Restructuring the Building Blocks to Produce New Instruments 298 Restructured Swaps 298 Delayed Reset Swaps 298 Diff Swaps 299 Illustration: A Delayed LIBOR Reset Swap 300 Option on Forwards or Futures or Swaps or Other Options 303 Options on Futures 303 Options on Swaps: Swaptions 304 Options on Options: Compound Options 305 Restructured Options 306 Applying the Building Blocks to New Underlying Markets to Produce New Instruments 306 Exchange-Traded Products 307 Catastrophe Insurance Futures and Options 307 Futures and Options on Commodity Indexes 307 Futures and Options on Financial Instruments of Emerging Economies 307 Electricity Futures 308 New OTC Swaps and Options 309 Commodity Derivatives 309 Electricity Derivatives 310 Real Estate Swaps 311 Derivatives on Emerging Country Debt 311 Credit Derivatives 312 Forward Agreements 312 Total Return Swaps ЗІЗ Credit Swaps 313 Evolution of the Market 314 How Prevalent Are Credit Derivatives? 316 15 Hybrid Securities 319 The Evolution of Hybrid Securities 320 A Taxonomy of Hybrid Securities 320 Hybrids Composed of Debt and Derivatives 321 Authored Box: Decomposing Hybrids to Assess Value Walter D. Hosp, Ciba Specialty Chemicals 322 Debt Plus Forward Contract 324 Dual-Currency Bond 324 Petrobonds 324 Debt Plus Swap 325 Inverse Floating-Rate Note 325 Adjustable-Rate Convertible Notes 326 Debt Plus One Option 326 Bonds with Equity Warrants 327 Convertible Bonds and Exchangeable Bonds 328 Bonds with Indexed Principal 328 Principal Indexed to Commodity Prices 328 Principal Indexed to Exchange Rates 330 Principal Indexed to Interest Rates 330 Principal Indexed to Equity Indexes 330 Bonds with Options on Issuer s Creditworthiness or Shareholder/ Manager Behavior 331 Puttable, Callable, Extendable Debt 331 Convertible Debt 331 LYON 332 Authored Box: The End of the LYON Tyrone Po 333 Explicit Options on Issuer s Creditworthiness 332 Bonds with Options on Catastrophes 335 Debt Plus a Package of Options 338 Commodity Interest-Indexed Bonds 338 Bonds with Interest Payments Determined by Equity Returns 340 Bonds with Packages of Interest Rate Options 340 Floored Floating-Rate Bonds 340 Step-Up Bonds 340 Index-Amortizing Notes 341 Range Notes 341 Inflation-Rate Interest-Indexed Bonds 343 Hybrids Composed of Equity and Derivatives 343 Equity Plus Swap 343 Equity Plus an Option 344 Convertible Preferred 344 Options on Equity or Equity Indexes 344 Hybrids Designed to Decompose Equity Claims 344 ASIDE: Index Participations 346 Authored Box: Observations on the Shad-Johnson Accord and SEC-CFTC Jurisdictional Disputes, Kenneth Lehn, University of Pittsburgh 347 Options on a Commodity 350 Options on Managerial Behavior 350 Options on the Outcome of Litigation 351 Why Hybrids? Part 1: The Economic Rationale for Issuing a Hybrid Security 351 To Provide Investors with a Play 351 To Arbitrage Tax and/or Regulatory Authorities 352 To Align Interests of Shareholders and Bondholders 353 Why Hybrids? Part 2: Investor Strategies for Using Hybrids 354 Using Hybrids to Enhance Yield 355 Using Hybrids to Enhance Yield by Reducing Transaction Costs 355 Using Hybrids to Enhance Yield by Taking a View 355 Using Hybrids to Control Risk 356 16 The Dealer s Perspective 360 Who are the Dealers? 360 The Functions of a Dealer 366 The Trend Toward Integrated Risk Management 367 Integrating Different Market Risks 367 Integrating Market, Credit, and Operational Risks 367 17 Measuring and Managing Default Risk 370 ASIDE: The Basle Accord 371 Using the Building Blocks to Examine Default Risk 372 ASIDE: Approach of the Basle Committee on Banking Supervision 374 Exposure 375 Current and Potential Exposures 376 Exposure over the Life of the Transaction 378 The Amortization Effect 378 The Diffusion Effect 379 Combining the Amortization and Diffusion Effects 381 Maximum versus Expected Exposures 383 Maximum Exposure 383 Expected Exposure 385 Measuring the Exposure for an Individual Transaction 385 The Worst-Case Approach 386 The Simulation Approach 387 Measuring the Exposure for a Portfolio of Transactions 388 General Portfolio Effects 388 ASIDE: Probability of Default: Swap versus Loan 388 The Effect of Netting 389 Netting by Novation 389 Closeout Netting 389 Cross-Product Netting 389 Measuring the Probability of Default 390 Authored Box: International Bank Insolvencies and the Enforceability of Multibranch Master Netting Agreements Dan Cunningham, Cravath Swaine and Moore 391 Methods for Reducing Credit Risk 395 Termination Provisions 395 Collateral 395 Coupon Resets 397 Assignments and Pair-Offs 398 Evidence on Defaults for the Risk Manage¬ ment Instruments 398 Settlement Risk 399 Authored Box: Settlement Risks for OTC Derivatives Ronald D. Watson, The Bear Stearns Companies, Inc. 400 18 Managing Price Risk in a Portfolio of Derivatives 405 Measuring Price Risk — Fraternity Row 405 Delta 405 Gamma 406 Vega 408 Authored Box: The Curse of Negative Convexity Kosrow Dehnad, Chase Manhattan Bank 409 Managing the Price Risk in a Simplified Warehouse 411 Delta-Hedging a Warehouse 411 Delta-Hedging a Swap 412 Delta-Hedging a Cap 416 Delta-Hedging a Warehouse 418 Hedging the Warehouse against Risk Other Than Delta 419 Hedging the Warehouse against Term Structure Twists 420 Hedging Gamma and Vega 422 Hedging the Warehouse against Jumps 422 Implementing the Hedge 424 Hedging Beyond Delta-Gamma- Vega 426 Authored Box: The Market Risk Manage¬ ment Process Peter D. Hancock, J. P. Morgan 427 19 Risk Governance 433 ASIDE: The Role of the Board of Direc¬ tors in Risk Governance 434 Precursors to VAR 435 Interest Rate Sensitivity Measures 435 Maturity Gap 435 Value of an 01 and Duration 435 Convexity 436 Option-Based Sensitivity Measures 436 Weaknesses of Traditional Measures 438 Value-at-Risk — A Summary Measure of Market Risk 438 The VAR Concept 438 Calculating VAR 440 Historical Simulation Method 440 Illustration 19-1: Obtaining a Historical Simulation VAR 442 Monte Carlo Simulation Method 446 Illustration 19-2: Obtaining A Monte Carlo Simulation VAR 447 Analytic Variance-Covariance Method 449 ASIDE: Analytic Variance- Covariance — General Frame¬ work 451 Illustration 19-3: Obtaining an Analytic Variance-Covariance VAR 452 Authored Box: Diversified versus Undiversified VARs Ziad Zakharia, CIBC World Markets 462 Comparison of Calculated VARs 464 Comparison of VARs Generated by Different Methods 464 Comparison of VARs Generated by Same Method 469 Choosing Among the Methods 471 Authored Box: The Tradeoff: Accuracy vs. Computational Time Matthew Pritsker, Federal Reserve Bank 472 The Users 475 Derivatives Dealers and Other Financial Institutions 476 End-users — Institutional Investors 477 End-users — Nonfinancial Corporations 477 Authored Box: Using Derivatives at British Petroleum R. K. Hinkley, British Petroleum 477 ASIDE: VAR: In Their Own Words 482 Regulators — Bank and Securities Firms Regulators 483 ASIDE: The Basle Internal Models Approach 483 Regulators — Securities and Exchange Commissions 484 Implementing VAR — Parameter Selection 484 Time Horizon 484 ASIDE: Using the Square Root of Time to Scale Up One-Day VARs 485 Confidence Level 486 Variance-Covariance Data 486 Implementing VAR — Beyond a Single VAR Number 487 Sensitivity Analysis 487 Scenario Analysis 487 Stress Testing 488 Back Testing 488 20 Risk Management and the Value of a Nonfinancial Firm 492 Tactical Risk Management 492 Using Risk Management to Reduce Funding Costs by Acting on a View 492 Authored Box: Do Corporations Have a Duty to Hedge ? Daniel P. Cunningham, Cravath, Swaine & Moore 493 Using Risk Management to Reduce Funding Costs by Arbitraging the Markets 498 Authored Box: Do Forward Rates Predict Future Interest Rates? Greg Hayt, CIBC World Market 499 Using Risk Management to Reduce Fund¬ ing Costs by Reducing Transaction Costs 500 Using Risk Management to Reduce Funding Costs by Selling Options 500 Strategic Risk Management 501 Theory 1— Risk Management Can Add Value by Decreasing Taxes 503 Illustration 20-1 : Reducing Taxes Statement of Consolidated with Risk Management 504 Income* 527 Theory 2— Risk Management Can Add Illustration 21-3: Looking for Financial Value by Decreasing Costs of Price Risk in the Firm s Statement Financial Distress 505 of Changes in Financial Illustration 20-2: The Impact of Finan- Position 529 cial Risk on Sales: The Case External Measures of Financial of Wang 507 Price Risk 531 Theory 3— Risk Management Can Illustration 21-4: Looking for Financial Add Value by Facilitating Price Risk in the Letter to the Optimal Investment 507 Shareholders 532 Illustration 20-3: The Impact of Box: Duration in the Context of a Volatility on Debt Factor Model 534 Capacity 509 Internal Measures of Financial Illustration 20-4: Cutting Rate Risk on Price Risk 536 Buyout Debt 509 Statistical Analysis of Revenues Illustration 20-5: Controlling Underin- and Expenses 536 vestment with Hedging 510 Simulation Analyses — Cash Flow Illustration 20-6: The Impact of Sensitivity Earnings Volatility on Investment — VAR Doesn t Fit Many The Case of Merck 513 Nonfinancial Firms 537 Evidence 513 The Logic of the Cash Flow Sensitivity Approach 537 ~i ля . XT *· · ι Defining Exposures 539 21 Measuring a Nonfinancial та 6_ . „ _._ ™ , t7 , τ-,. . , Box: Framing Exposures 540 Firm s Exposure to Financial _. , . c . ιπ. -λΛ η · г.· i «o Simulating Financial Prices 541 Pnce Risk 518 Т11 . %, , _ ,„, Illustration 21-5: Cash Flow Financial Price Risk Reflected in the Firm s Sensitivity for a Hypothetical Financial Statements 518 Manufacturing Firm 544 Authored Box: Risk Management at British Petroleum -. T . .. „. , „„„.,,„.., 22 Implementing a Risk R. K. Hinkley, British ,. ť . „ __л , Management Program 550 Petroleum 519 & & The Balance Sheet 520 Lessons Learned from the Events Statement of Consolidated Income of 1994 550 and Statement of Changes Losses by Industrial Corporations 550 in Financial Position 522 Codelco 550 Illustration 21-1: Looking for Financial Gibson Greetings 550 Price Risk in the Firm s Box: Leveraged Swaps 551 Balance Sheet 523 Procter & Gamble 552 The Letter to the Shareholders in the Mead 552 Annual Report 526 Air Products 552 Illustration 21-2: Looking for Federal Paper 552 Financial Price Risk in the Firm s Caterpillar 552 Lessons Learned 552 Rule 1 : Make Sure You Know How Much Is at Risk 553 Rule 2: Make Sure That Everyone Is on the Same Page 553 Designing Effective Policies and Procedures 553 Goals for Risk Management 554 Identify and Quantify Exposures 557 Define a Risk Management Philosophy 558 One-Off or Integrated Risk Management? 558 Integrating the Management of Different Market Risks 558 Integrating the Management of Market and Property/ Casualty Risk 558 Integrating the Management of Market Risk throughout the Firm 559 Implementation 559 Derivatives versus Natural Hedges 559 Box: Arguments against Managing FX Risk by Matching Currencies 560 Passive versus Active Risk Management 560 Box: Active Hedging 560 Which Instruments? For What Purposes? By Whom? In What Amounts? 561 Authored Box: Hedging Interest Rate Risk without Using Up Bank Lines Roger Bürge, Eurotunnel 562 Counterparties: Who? How Much Exposure? 565 Box: Calculating Credit Exposures 566 Evaluate and Control 569 The Role of the Board of Directors 569 Responsibility 1— Approval of Policies 569 Box-G-30 Recommendation 1 570 Responsibility 2— Ensuring Capability 570 Responsibility 3— Evaluate Performance 570 Responsibility 4— Maintain Oversight 571 Some Items for a Directors Checklist 573 23 Uses of Risk Management Products by Banks and Other Financial Institutions 576 Asset-Liability Management 576 Measuring the Institution s Exposure to Interest Rate Risk 577 Cash Flow Exposures — Maturity Gap 577 Illustration 23-1: Using Financial Statement Data to Quantify the Im¬ pact of Interest Rate Changes on a Bank s Net Interest Income: The Gap Methodology 577 Value Exposures — Duration and Convexity 579 Illustration 23-2: Using Market Data to Quantify the Impact of Interest Rate Changes on the Value of a Bank s Portfolio or Equity 581 Managing Cash Flow Risk 584 Rate Mismatches 584 Maturity Mismatches 585 Managing Value Risk 585 Changing the Duration of the Portfolio 585 Illustration 23-3: Using an Interest Rate Swap to Change the Dura¬ tion of a Portfolio 586 Changing the Convexity of the Portfolio 587 Hedging Callable Bonds 587 Hedging Mortgages or Mortgage-Backed Securities 588 The Impact on the Financial Institution 589 The Investment Portfolio 589 The Credit Portfolio 591 Applying Modern Portfolio Theory to the Loan Book 591 ASIDE: CreditMetrics 592 Using Credit Derivatives to Restructure the Loan Book 597 24 Uses of Risk Management Products by Institutional Investors 599 Authored Box: Integrating Risk Management and Strategy Lisa K. Polsky, Morgan Stanley 605 Using Derivatives in Portfolio Construction 608 Using Derivatives in Strategic Asset Allocation 608 Using Derivatives for Portfolio Rebalancing 608 ASIDE: Using Derivatives to Re¬ balance a Portfolio 609 Using Derivatives for Alpha Transport 610 ASIDE: Alpha 610 Using Derivatives to Satisfy Constraints 611 Authored Box: Using Derivatives to Optimize a Portfolio Claude R. Lamoureaux and s Robert G. Bertram, Ontario Teachers Pension Plan 612 Using Derivatives in Tactical or Insured Asset Allocation 614 Tactical Asset Allocation 614 Insured Asset Allocation (a.k.a. Portfolio Insurance) 614 ASIDE: Using Derivatives in In¬ sured Asset Allocation 616 Using Derivatives to Reduce the Riskiness of the Portfolio 617 Using Derivatives to Reduce Interest Rate Risk 617 Protecting Future Cash Flows 618 Protecting the Value of a Bond 618 Asset-Liability Management 619 Using Derivatives to Reduce Foreign Exchange Rate Risk 619 Authored Box: Should FX Be Treated as an Asset Class? Ronald G. Layard-Liesching, Pareto Partners 620 Illustration 24-1: Using Derivatives to Hedge Currency Risk 622 Using Derivatives to Reduce Asset Price Risk—Equity Price Risk 622 Using Derivatives to Increase the Expected Return of the Portfolio 626 By Reducing Transaction Costs 626 By Exploiting Mispricing, i.e., Arbitrage 628 ASIDE: Using Derivatives to Ex¬ ploit Mispricing 629 By Accessing Otherwise Unavailable Assets 630 By Using Derivatives to Implementing a View More Effectively 630 Concluding Remarks 634 Controls 634 Obligations? 636 Authored Box: A Fiduciary Duty to Use Derivatives? George Crawford, Stanford Law School 637 References 644 Index 654 Firms that could once rely on technological supe¬ riority and innovative marketing programs to compete effectively have encountered a host of new challenges over the past two decades. Volatility in exchange rates, interest rates, and commodity prices — long considered a minor annoyance in a firm s long-term performance — has become a central strategic factor in today s global economy. The necessity for effective, adaptable methods for controlling financial price risk (in effect transferring that risk to a third party) has led to a dizzying array of forwards, futures, swaps options, and hybrid securities. In Managing Financial Risk, managers have found the one comprehensive resource they need for trustworthy and instantly accessible information. Because of this important and influential book, tens of thousands of financial professionals today understand and know how to harness derivatives, integrating these powerful tools into a risk-mini¬ mizing, cost-effective program. Managing Financial Risk, 3r Edition, advances the standard set by the first two land¬ mark editions. It once again covers the full range of important derivatives issues — from the most basic to the most complex — while delivering the new, updated information and research findings that finance professionals require. Between the covers of this all-inclusive edition you will find the answers you need to use derivatives with creativity, intelligence, and effectiveness, including: ■ The impact of increased financial risk on firms, complete with detailed case histories of both successes and failures ■ Techniques for establishing a risk manage¬ ment philosophy, implementing a risk management program, and accurately evaluating its performance ■ A discussion of how risk management can increase the value of your firm by decreasing taxes, lowering transaction costs, and reducing the likelihood of bad investment decisions ■ Methods for measuring a firm s exposure to financial price risk, both internally and externally ■ Authored Boxes that provide fascinating insights from the perspectives of both dealers and end users Managing Financial Risk, 3rd Edition, is the most comprehensive risk management text available today. Packed with new information on current products and strategies, plus contributions from leading companies including British Petroleum, Citibank, J.P. Morgan, McDonald s, Morgan Stanley, Ontario Teachers Pension Plan, and others, this valued addition to the Irwin Library of Investment & Finance covers every aspect of risk management and the derivatives marketplace with insight and authority.
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id	DE-604.BV012322893
illustrated	Illustrated
indexdate	2024-12-20T10:28:14Z
institution	BVB
isbn	007059354X
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-008354596
oclc_num	245892894
open_access_boolean
owner	DE-703 DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-91 DE-BY-TUM DE-706 DE-11
owner_facet	DE-703 DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-91 DE-BY-TUM DE-706 DE-11
physical	XI, 663 S. graph. Darst.
publishDate	1998
publishDateSearch	1998
publishDateSort	1998
publisher	McGraw-Hill
record_format	marc
series2	Irwin library of investment & finance
spellingShingle	Smithson, Charles W. Managing financial risk a guide to derivative products, financial engineering, and value maximization Finanzierung - Risikomanagement Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd
subject_GND	(DE-588)4121590-4 (DE-588)4139075-1
title	Managing financial risk a guide to derivative products, financial engineering, and value maximization
title_auth	Managing financial risk a guide to derivative products, financial engineering, and value maximization
title_exact_search	Managing financial risk a guide to derivative products, financial engineering, and value maximization
title_full	Managing financial risk a guide to derivative products, financial engineering, and value maximization Charles W. Smithson
title_fullStr	Managing financial risk a guide to derivative products, financial engineering, and value maximization Charles W. Smithson
title_full_unstemmed	Managing financial risk a guide to derivative products, financial engineering, and value maximization Charles W. Smithson
title_short	Managing financial risk
title_sort	managing financial risk a guide to derivative products financial engineering and value maximization
title_sub	a guide to derivative products, financial engineering, and value maximization
topic	Finanzierung - Risikomanagement Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd
topic_facet	Finanzierung - Risikomanagement Risikomanagement Finanzmanagement
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008354596&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008354596&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT smithsoncharlesw managingfinancialriskaguidetoderivativeproductsfinancialengineeringandvaluemaximization

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