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Malz, Allan M.

Financial Risk Management: Models, History, and Institutions (Gebundene Ausgabe)

Reihe: Wiley Finance 538

JOHN WILEY & SONS INC, Wiley, John, & Sons, Inc, Oktober 2011

722 S. - Sprache: Englisch - 238x164x47 mm

ISBN: 0470481803 EAN: 9780470481806

Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: * Market risk, from Value-at-Risk (VaR) to risk models for options * Credit risk, from portfolio credit risk to structured credit products * Model risk and validation * Risk capital and stress testing * Liquidity risk, leverage, systemic risk, and the forms they take * Financial crises, historical and current, their causes and characteristics * Financial regulation and its evolution in the wake of the global crisis * And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

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List of Figures xvii Preface xxi CHAPTER 1: Financial Risk in a Crisis-Prone World 1 1.1 Some History: Why Is Risk a Separate Discipline Today? 1 1.2 The Scope of Financial Risk 34 CHAPTER 2: Market Risk Basics 43 2.1 Arithmetic, Geometric, and Logarithmic Security Returns 44 2.2 Risk and Securities Prices: The Standard Asset Pricing Model 49 2.3 The Standard Asset Distribution Model 63 2.4 Portfolio Risk in the Standard Model 75 2.5 Benchmark Interest Rates 88 CHAPTER 3: Value-at-Risk 93 3.1 Definition of Value-at-Risk 94 3.2 Volatility Estimation 99 3.3 Modes of Computation 108 3.4 Short Positions 113 3.5 Expected Shortfall 114 CHAPTER 4: Nonlinear Risks and the Treatment of Bonds and Options 119 4.1 Nonlinear Risk Measurement and Options 121 4.2 Yield Curve Risk 136 4.3 VaR for Default-Free Fixed Income Securities Using The Duration and Convexity Mapping 148 CHAPTER 5: Portfolio VaR for Market Risk 159 5.1 The Covariance and Correlation Matrices 160 5.2 Mapping and Treatment of Bonds and Options 162 5.3 Delta-Normal VaR 163 5.4 Portfolio VAR via Monte Carlo simulation 174 5.5 Option Vega Risk 175 CHAPTER 6: Credit and Counterparty Risk 191 6.1 Defining Credit Risk 192 6.2 Credit-Risky Securities 193 6.3 Transaction Cost Problems in Credit Contracts 196 6.4 Default and Recovery: Analytic Concepts 199 6.5 Assessing creditworthiness 204 6.6 Counterparty Risk 207 6.7 The Merton Model 213 6.8 Credit Factor Models 222 6.9 Credit Risk Measures 226 CHAPTER 7: Spread Risk and Default Intensity Models 231 7.1 Credit Spreads 231 7.2 Default Curve Analytics 235 7.3 Risk-Neutral Estimates of Default Probabilities 241 7.4 Spread Risk 261 CHAPTER 8: Portfolio Credit Risk 265 8.1 Default Correlation 266 8.2 Credit Portfolio Risk Measurement 270 8.3 Default Distributions and Credit VaR with the Single-Factor Model 275 8.4 Using Simulation and Copulas to Estimate Portfolio Credit Risk 284 CHAPTER 9: Structured Credit Risk 297 9.1 Structured Credit Basics 297 9.2 Credit Scenario Analysis of a Securitization 309 9.3 Measuring Structured Credit Risk via Simulation 318 9.4 Standard Tranches and Implied Credit Correlation 337 9.5 Issuer and Investor Motivations for Structured Credit 342 CHAPTER 10: Alternatives to the Standard Market Risk Model 349 10.1 Real-World Asset Price Behavior 349 10.2 Alternative Modeling Approaches 363 10.3 The Evidence on Non-Normality in Derivatives Prices 372 CHAPTER 11: Assessing the Quality of Risk Measures 393 11.1 Model Risk 393 11.2 Backtesting of VaR 407 11.3 Coherence of VaR Estimates 414 CHAPTER 12: Liquidity and Leverage 421 12.1 Funding Liquidity Risk 422 12.2 Markets for Collateral 437 12.3 Leverage and Forms of Credit in Contemporary Finance 448 12.4 Transactions Liquidity Risk 461 12.5 Liquidity Risk Measurement 464 12.6 Liquidity and Systemic Risk 469 CHAPTER 13: Risk Control and Mitigation 477 13.1 Defining Risk Capital 478 13.2 Risk Contributions 480 13.3 Stress Testing 499 13.4 Sizing Positions 506 13.5 Risk Reporting 509 13.6 Hedging and Basis Risk 512 CHAPTER 14: Financial Crises 517 14.1 Panics, Runs, and Crashes 519 14.2 Self-Reinforcing Mechanisms 539 14.3 Behavior of Asset Prices During Crises 548 14.4 Causes of Financial Crises 562 14.5 Anticipating Financial Crises 583 CHAPTER 15: Financial Regulation 597 15.1 Scope and Structure of Regulation 598 15.2 Methods of Regulation 605 15.3 Public Policy Toward Financial Crises 621 15.4 Pitfalls in Regulation 635 APPENDIX A: Technical Notes 653 A.1 Binomial Distribution 653 A.2 Quantiles and Quantile Transformations 654 A.3 Normal and Lognormal Distributions 656 A.4 Hypothesis Testing 661 A.5 Monte Carlo Simulation 662 A.6 Homogeneous Functions 664 Further Reading 666 APPENDIX B: Abbreviations 667 APPENDIX C: References 671 Index 701

Über den Autor

ALLAN M. MALZ is a Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has also worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management.


Praise for Financial Risk Management "The need for sensible and realistic risk management becomes more obvious daily, and achieving it requires familiarity with both quantitative economic models and regulatory policy. Allan Malz's wide experience on Wall Street and at the Fed provides him with the perfect background for writing this important and uniquely comprehensive book." - Emanuel Derman , Professor of Professional Practice, Columbia University's Industrial Engineering and Operations Research Department; author of My Life as a Quant: Reflections on Physics and Finance "Finance is all about risk and reward. Investors are pretty good at measuring reward-at least after the fact-but many, including more than a few of the most 'sophisticated' are not very good at assessing risk before the fact, which is when of course it matters! There is a better way. Allan Malz provides the road map that investors need to understand the risks they take with the investment decisions they make. Malz has a unique perspective: as an academic, a central banker, and a risk manager-he has been there and done that. His book should be required reading for investors and practitioners alike." - Richard Clarida , C. Lowell Harriss Professor of Economics, Columbia University "It is almost cliche now to point out that the practice of risk management is as much art as it is science. For those new to the field, however, while there are excellent guides to the science and models of risk, there are none that connect the models to the markets, the economy, the banking system, and the history of all of these. Allan Malz's new book does this, providing a perspective that is critical to managing risk in the post-financial crisis world." - Christopher Finger , Executive Director, MSCI Inc. "Allan Malz has done a wonderful job of surveying the challenges that face those who labor in the vineyard of financial risk management. He brings a wealth of experience and insight to this work. The first chapter, which tackles the history of financial market innovation and risks, is a tour de force and may well be worth the price of the book itself." - Galen Burghardt , Director of Research, Newedge USA; coauthor of Managed Futures for Institutional Investors: Analysis and Portfolio Construction "This book provides a wealth of information on the theory and practice of risk management. In clearly written chapters, Malz progresses from simple asset pricing theory to complex derivatives including credit derivatives and CDO tranches. Institutional and historical description is rich and plentiful with a broad discussion of the financial crisis and new regulatory issues." - Robert Engle , 2003 Nobel Laureate in Economics and Michael Armellino Professor of Finance, Stern School of Business, New York University

ISBN 0-470481-80-3, ISBN 0-47-048180-3, ISBN 0-47048-180-3, ISBN 0-470-48180-3, ISBN 0-4704-8180-3

ISBN 978-0-470481-80-6, ISBN 978-0-47-048180-6, ISBN 978-0-47048-180-6, ISBN 978-0-470-48180-6, ISBN 978-0-4704-8180-6

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