Verfügbarkeit: Understanding risk | Technische Universität München

Understanding risk: the theory and practice of financial risk management

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Bibliographische Detailangaben
Beteilige Person:	Murphy, David (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Boca Raton, Fla. [u.a.] Chapman & Hall/CRC 2008
Schriftenreihe:	Chapman & Hall/CRC financial mathematics series
Schlagwörter:	Financial risk management Investment analysis Portfolio management Risikomanagement Portfoliomanagement Finanzanalyse Finanzmanagement Kreditmarkt
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015705214&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XVII, 452 S. graph. Darst.
ISBN:	9781584888932 1584888938

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Datensatz im Suchindex

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adam_text	Contents INTRODUCTION xv Part One Risk Management and the Behaviour of Products Chapter 1 ■ Markets, Risks and Risk Management in Context 3 1.1 FINANCIAL MARKETS OVERVIEW 3 1.1.1 Introducing the Markets 3 1.1.2 Securities 5 1.1.3 Other Instruments 7 1.1.4 Equity Markets 9 1.1.5 Interest Rate Instruments 12 1.1.6 Foreign Exchange Markets 21 1.1.7 Derivatives Markets 22 1.1.8 Principal Investment and Private Equity 25 1.1.9 (A Short Section on) Commodities Markets 27 1.2 TRADING AND MARKET BEHAVIOUR 28 1.2.1 The Difficulty of Forecasting Market Levels 29 1.2.2 lhe Anatomy of a Market Crisis 29 1.2.3 Current and Past Markets 32 1.3 BASIC IDEAS IN RISK MANAGEMENT 39 1.3.1 Types of Risk 39 1.3.2 The Aims of Risk Management 46 1.3.3 Sensitivities 47 1.3.4 Daily Risk Controls: P/L, Limits and P/L Explanation 47 1.3.5 What Do You Own? lhe Deal Review Process 50 1.3.6 Trader Mandates 51 VII viii ■ Contents 1.4 CULTURE AND ORGANISATION 52 1.4.1 Risk Management in the Broader Institution 52 1.4.2 Cultural Issues 54 1.4.3 A Taxonomy of Financial Institutions 56 1.4.4 Some Large Losses in the Wholesale Markets 61 1.5 SOME EXTERNAL CONSTRAINTS 63 1.5.1 Regulation 64 1.5.2 Accounting 68 1.5.3 Marking to Fair Value 74 1.5.4 Special Purpose Vehicles and Consolidation 76 Ci iAHTER 2 ■ Derivatives and Quantitative Market Risk Management 79 2.1 RETURNS, OPTIONS AND SENSITIVITIES 79 2.1.1 Asset Returns and Risk Factors 79 2.1.2 Risk Factor Selection 80 2.1.3 Risk Reporting with a Single Risk Factor 81 2.1.4 Forwards and Arbitrage 84 2.1.5 Models of Market Returns 88 2.1.6 Risk Reporting in a Return Model 91 2.1.7 Introducing Options 93 2.1.8 The Greeks 95 2.1.9 Options Risk Reporting 97 2.1.10 P/L Explanation for Options 99 2.2 PORTFOLIOS AND RISK AGGREGATION 99 2.2.1 The Varieties of Trading Portfolio and Their Management 100 2.2.2 Diversification and Correlation 102 2.2.3 Reporting and Risk in a Return Model: Multiple Factors 105 2.2.4 Scenario Analysis 107 2.2.5 Stress Testing 108 2.3 UNDERSTANDING THE BEHAVIOUR OF DERIVATIVES 112 2.3.1 Overview of the Theory of Options Pricing: Black-Schołes and the Replicating Portfolio 112 2.3.2 Implied Volatility and Hedging 116 2.3.3 Retail Equity-Linked Products: Some Simple Structures and Their Problems 121 Contents ■ ¡χ 2.3.4 A Little More about Exotic Options 123 2.3.5 Local and Stochastic Volatility 126 2.4 INTEREST RATE DERIVATIVES AND YIELD CURVE MODELS 129 2.4.1 Futures and Forwards on Interest Rates 130 2.4.2 Interest Rate and Asset Swaps 131 2.4.3 Credit Risk in Swap Structures 135 2.4.4 Other Interest Rate Swap Structures 1 36 2.4.5 Cross-Currency Swaps 137 2.4.6 Basis Swaps 137 2.4.7 Caps, Floors and Yield Curve Models 139 2.4.8 Swaptions 142 2.4.9 Exotic Interest Rate Derivatives 143 2.5 SINGLE-NAME CREDIT DERIVATIVES 146 2.5.1 Products 146 2.5.2 Credit Events and Documentation 147 2.5.3 Credit Derivatives Valuation 151 2.5.4 Risk Reporting for Credit Derivatives 152 2.6 VALUATION, HEDGING AND MODEL RISK 153 2.6.1 Mark-to-Market and Mark-to-Model 153 2.6.2 Marking and Model Risk 154 2.6.3 Hedging, P/L and Mark Adjustments 157 Part Two Economic and Regulatory Capital Models Chapter 3 ■ Capital: Motivation and Provision 163 3.1 MOTIVATIONS FOR CAPITAL 163 3.1.1 What Is Capital for? 163 3.1.2 Earnings Volatility and Capital 164 3.1.3 The Optimisation Problem 165 3.1.4 Capital, More or Less 167 3.2 CAPITAL INSTRUMENT FEATURES 167 3.2.1 Seniority and Subordination 168 3.2.2 Deferral and Dividends 169 3.2.3 Maturity and Replacement 169 3.2.4 Convertibility and Write-Down 169 3.2.5 Example Capital Securities 170 χ ■ Contents 3.3 REGULATORY CAPITAL PROVISION 171 3.3.1 The Tiers of Basel Capital 171 3.3.2 Insurance Capital 173 3.3.3 Consolidated Capital 173 3.3.4 Capital Management: Issues and Strategies 174 Chapter 4 ■ Market Risk Capital Models_______________________________177 4.1 GENERAL MARKET RISK CAPITAL MODELS 177 4.1.1 Value at Risk Techniques I: Variance/Covariance 177 4.1.2 Value at Risk Techniques II: Revaluation and Historical Simulation 182 4.1.3 Value at Risk Techniques III: Monte Carlo Approaches 184 4.1.4 Relative VAR 186 4.1.5 Backtesting, VAR Exceptions and the VAR Hypothesis 186 4.2 SOME LIMITATIONS OF VALUE AT RISK MODELS 188 4.2.1 Specific Risk 188 4.2.2 Volatility and Correlation Instabilities 189 4.2.3 The Holding Period Assumption 190 4.2.4 What Is the VAR Good for? 192 4.3 RISK SYSTEMS AND RISK DATA 193 4.3.1 Effective Risk Reporting 193 4.3.2 Market Data 196 Chapter 5 ■ Credit Risk and Credit Risk Capital Models 201 5.1 THE BANKING BOOK: INTRODUCING THE PRODUCTS AND THE RISKS 201 5.1.1 Retail Banking 201 5.1.2 Commercial Banking 203 5.1.3 Forces for Change 205 5.2 CREDIT RISK FOR SMALL NUMBERS OF OBLIGATORS 205 5.2.1 Single Transaction Exposure 206 5.2.2 Potential Future Credit Exposure 209 5.2.3 What Is a Credit Spread Compensation for? 211 5.2.4 Partial Credit Mitigation 212 5.2.5 Introducing Basket Credit Derivatives 213 Contents ■ xi 5.3 AN INTRODUCTION TO TRANCHING AND PORTFOLIO CREDIT DERIVATIVES 216 5.3.1 Funding and Loss Absorption 216 5.3.2 Securitisation and Tranching 217 5.3.3 Collateralised Debt Obligations 220 5.3.4 Structuring and the Waterfall 222 5.3.5 Index Credit Products 223 5.3.6 (The Problem with) Credit Event Correlation 224 5.3.7 Practical Credit-Adjusted Pricing 226 5.4 CREDIT PORTFOLIO RISK MANAGEMENT 227 5.4.1 The Portfolio Credit Risk Loss Distribution 227 5.4.2 Some Models of Portfolio Credit Risk 229 5.4.3 Stress Testing Credit Portfolios 233 5.4.4 Active Credit Portfolio Management 234 5.4.5 Credit Scoring and Internal Rating 237 5.5 POLITICAL AND COUNTRY RISK 240 5.5.1 Examples of Country Risk 241 5.5.2 The Effect of Country Risk 242 5.5.3 Measuring Country Risk 243 5.5.4 Country Risk Management 245 Chapter 6 ■ Operational Risk and Further Topics in Capital Estimation 247 6.1 AN INTRODUCTION TO OPERATIONAL RISK 247 6.1.1 Operational Risk Classes and Losses 248 6.1.2 Scorecard Approaches to Operational Risk 252 6.1.3 Some Issues in Operational Risk Management 253 6.2 THE TAILS AND OPERATIONAL RISK MODELLING 257 6.2.1 The Tails and Extreme Value Theory 258 6.2.2 The Case of Long Term Capital Management 259 6.2.3 The Stable Process Assumption 263 6.2.4 Operational Risk Modelling 263 6.3 ALLOCATING CAPITAL AND OTHER RISKS 264 6.3.1 Capital Allocation and Portfolio Contributions 265 6.3.2 Reputational and Other Risks 268 6.3.3 Hedging versus Capital 273 xii ш Contents Chapter 7 ■ Bank Regulation and Capital Requirements 275 7.1 REGULATORY CAPITAL AND THE BASEL ACCORDS 276 7.1.1 Before Basel II: Basel I and the Market Risk Amendment 276 7.1.2 An Overview of Basel II 285 7.1.3 Basel II: Credit Risk without Mitigation 287 7.1.4 Basel II: Credit Risk Mitigation in the IRB Approaches 295 7.1.5 Basel II: Capital Rules for Positions That Have Been Securitised 298 7.1.6 Implications of the Basel Credit Risk Framework 299 7.1.7 Operational Risk in Basel II 300 7.1.8 Floors and Transitional Arrangements 303 7.2 BASEL II: BEYOND THE CAPITAL RULES 303 7.2.1 Pillar 2 in Basel II 303 7.2.2 Pillar 3 and Banks Disclosures 305 7.2.3 The Impact of Basel II 306 Part Three Treasury and Liquidity Risks Chapter 8 ■ The Treasury and Asset/Liability Management ___________ 311 8.1 AN INTRODUCTION TO ASSET/LIABILITY MANAGEMENT 3i7 8.1.1 The Trading Book, the Banking Book and the Treasury 312 8.1.2 Accounting for an Old-Fashioned Bank 314 8.1.3 Assets and Liabilities through Time 316 8.1.4 What Is ALM? 318 8.2 BANKING BOOK INCOME AND FUNDING THE BANK 319 8.2.1 Transfer Pricing 319 8.2.2 Interest Rate Risk in the Banking Book 323 8.2.3 Non-Interest Income and Operating Expenses 325 8.3 ALM IN PRACTICE 326 8.3.1 Risk in the Transfer Pricing Book 326 8.3.2 The Market Value of Portfolio Equity 328 8.3.3 Strategic Risk and Real Options 330 8.3.4 ALM Risk Reporting 331 83.5 P/L Translation and Hedging 332 8.3.6 The Role of the ALCO 333 Contents ■ xiii 8.4 TRADING BOOK ALM 334 8.4.1 Repo and Other Forms of Secured Funding 334 8.4.2 Practical Issues in the Funding of Trading Books 335 Chapter 9 ■ Liquidity Risk Management 337 9.1 LIQUIDITY OF SECURITIES AND DEPOSITS 337 9.1.1 What Is Liquidity Risk? 338 9.1.2 Liability Liquidity 340 9.1.3 Asset Liquidity under Ordinary Conditions 341 9.2 LIQUIDITY MANAGEMENT 345 9.2.1 Measures of Liquidity Risk and the Firm s Liquidity Profile 345 9.2.2 Policies, Procedures and the Regulatory Perspective 347 9.2.3 Upstreaming, Downstreaming and Corporate Structure 348 9.2.4 The Implications of Illiquidity for Pricing and Risk Measurement 348 9.3 OFF-BALANCE-SHEET LIQUIDITY AND CONTINGENT FUNDING 350 9.3.1 Positive Contingent Liquidity 350 9.3.2 Conduits 351 9.3.3 Negative Contingent Liquidity 353 9.4 STRESSES OF LIQUIDITY 353 9.4.1 Liquidity in a Crisis 354 9.4.2 Liquidity Stress Testing 356 9.4.3 The Liquidity Plan 357 Part Four Some Trading Businesses and Their Challenges Chapter 10 ■ An Introduction to Structured Finance 361 10.1 CONTRACTUAL RELATIONS 361 10.1.1 The Documentation of Derivatives and Credit Risk Mitigation 362 10.1.2 Credit Derivatives in the Form of Insurance 365 10.1.3 Enforceability and the Pros and Cons of Enforcement 367 10.2 ASSET-BACKED SECURITIES 368 10.2.1 Mortgage-Backed Securities 368 10.2.2 Other ABS and Pool Modelling 375 10.2.3 ABS Tranche Analysis 378 xiv ■ Contents 10.3 SECURITISATION STRUCTURES 379 10.3.1 CDO, CLO and Related Structures 379 10.3.2 Banking Using Securitisation 382 10.3.3 ABS in Principal Finance and Whole Business Securitisation 383 10.3.4 Some Revolving and Blind Securitisations 387 Chapter 11 ■ Novel Asset Classes, Basket Products, and Cross-Asset Trading 391 11.1 INFLATION-LINKED PRODUCTS 391 11.1.1 Inflation Indices 392 11.1.2 Inflation-Linked Bond Design 394 11.1.3 Retail Inflation-Linked Products 396 11.1.4 Lags and the Inflation-Linked Curve 397 11.1.5 Inflation Swaps 399 11.1.6 Pension Fund Risk Management 401 11.2 EQUITY BASKET PRODUCTS 405 11.2.1 Basket Options and Rainbow Products 405 11.2.2 Copulas and the Problem with Gaussian Correlation 407 11.3 CONVERTIBLE BONDS 411 11.3.1 Convertible Bond Structures 412 11.3.2 The Behaviour of Convertible Bonds 413 11.3.3 Modelling Convertibles 414 11.4 EQUITY/CREDIT TRADING 419 11.4.1 The Merton Model of Capital Structure 419 11.4.2 More Sophisticated Capital Structure Models 424 11.4.3 Equity/Credit Optionality and Hybrid Security Modelling 425 11.4.4 Credit Copulas and Credit Event Association 427 11.5 NEW PRODUCTS 429 11.5.1 The New Product Approval Process 429 11.5.2 Managing Product Complexity 432 11.5.3 Hedge Fund Risk Management 433 CONCLUDING REMARKS 437 FIGURES 441 INDEX 445
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spellingShingle	Murphy, David Understanding risk the theory and practice of financial risk management Financial risk management Investment analysis Portfolio management Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Finanzmanagement (DE-588)4139075-1 gnd Kreditmarkt (DE-588)4073788-3 gnd
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title	Understanding risk the theory and practice of financial risk management
title_auth	Understanding risk the theory and practice of financial risk management
title_exact_search	Understanding risk the theory and practice of financial risk management
title_full	Understanding risk the theory and practice of financial risk management David Murphy
title_fullStr	Understanding risk the theory and practice of financial risk management David Murphy
title_full_unstemmed	Understanding risk the theory and practice of financial risk management David Murphy
title_short	Understanding risk
title_sort	understanding risk the theory and practice of financial risk management
title_sub	the theory and practice of financial risk management
topic	Financial risk management Investment analysis Portfolio management Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Finanzmanagement (DE-588)4139075-1 gnd Kreditmarkt (DE-588)4073788-3 gnd
topic_facet	Financial risk management Investment analysis Portfolio management Risikomanagement Portfoliomanagement Finanzanalyse Finanzmanagement Kreditmarkt
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Teilbibliothek Stammgelände

Bestandsangaben von Teilbibliothek Stammgelände
Signatur:	0002 WIR 680f 2009 B 2023 Lageplan
Exemplar 1	Ausleihbar Am Standort