Advanced financial risk management
Tools and techniques for integrated credit risk and interest rate risk management
Donald R. Van Deventer, Kenji Imai, Mark Mesler - Collection Wiley Finance
Résumé
An in-depth look at financial risk management
Advanced Financial Risk Management integrates interest rate risk, credit risk, foreign exchange risk, and capital allocation using a consistent risk management approach. It explains, in detailed, yet understandable terms, the analytics of these issues from A to Z. Written by experienced risk managers, this book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions. It covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models.
L'auteur - Donald R. Van Deventer
Donald R. Van Deventer founded the Kamakura Corporation in April 1990 and is currently President. In 2003, he was voted into the Risk Hall of Fame for having made a profound contribution to the field of risk management. He has been involved in financial advisory assignments involving both risk management and mergers and acquisitions, for the municipalities affected in the Orange County bankruptcy, in a major derivatives dispute between JPMorgan and a Korean securities firm, Bank Negara Malaysia, ITT Financial Corporation and many other leading institutions. Prior to founding Kamakura Corporation, he was Senior Vice President of in the investment banking department of Lehman Brothers (then Shearson Lehman Hutton). From 1982 to 1987, he was the treasurer for First Interstate Bancorp in LA, USA. He holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration.
L'auteur - Kenji Imai
Kenji Imai heads Software Development for Kamakura and participates in selected Japan-related financial advisory assignments. A member of the Managing Committee of Kamakura, he is fluent in both Japanese and English. He graduated from the University of Tokyo with a B.Sc. in Civil Engineering and from the Sloan School of the Massachusetts Institute of Technology with a M.Sc. in Management, concentrating on finance.
L'auteur - Mark Mesler
Mark Wlesler is Managing Director and heads the information production for Kamakura Risk Information Services, Kamakura's innovative Basel II - compliant default probability service. Mr Mesler is in charge of the daily production of the KRIS-cr Merton model, reduced form model, and hybrid model default probabilities. Mr Mesler has an MBA from New York University -and a bachelor's degree in mathematics from Michigan State University, where he was captain of the cross-country team and qualifier for the U.S. Olympic trials in the marathon.
Sommaire
- Introduction
- Risk Management: Definitions and Objectives
- A Risk Management Synthesis: Market Risk, Credit Risk, Liquidity Risk and Asset and Liability Management
- Risk, Return and Performance Capital Regulation, Risk Management and Performance Interest Rate Risk: Introduction and Overview Interest Rate Risk Mismatching and Hedging
- Traditional Interest Rate Risk Analysis: Gap Analysis and Simulation Models
- Fixed Income Mathematics: The Basic Tools Yield Curve Smoothing
- Interest Rate Analytics
- Duration and Convexity
- Duration as a Term Structure Model
- The Vasicek and Extended Vasicek Models
- Alternative Term Structure Models
- Estimating the Parameters of Term Structure Models
- Credit Risk Models
- An Introduction to Credit Risk: Using Market Signals in Loan Pricing and Performance Measurement
- Traditional Approaches to Credit Risk: Ratings and Transition Matrices
- Structural Credit Models: An Introduction to the Merton Approach
- Reduced Form Credit Models Credit Spread Fitting and Modeling
- Interest Rate and Credit Model Testing
- Tests of Credit Models Using Historical Data Tests of Credit Models Using Market Data
- Tests of Interest Rate Models Using a Credit Risk Approach
- Risk Management Applications, Instrument by Instrument
- Valuing Credit Risky Bonds
- Credit Derivatives and Collateralized Debt Obligations
- European Options on Bonds
- Forward and Futures Contracts
- European Options on Forward and Futures Contracts
- Caps and Floors
- Interest Rate Swaps and Swaptions
- Exotic Swap and Option Structures
- American Fixed Income Options
- Irrational Exercise of Fixed Income Options
- Mortgage-Backed Securities and Asset-Backed Securities Non-Maturity Deposits
- Foreign Exchange Markets: A Term Structure Model Approach
- The Impact of Collateral on Valuation Models
- Pricing and Valuing Revolving Credit and Other Facilities
- Modeling Common Stock and Convertible Bonds on a Default-Adjusted Basis
- Valuing Insurance Policies and Pension Obligations
- Risk Management Objectives Revisited at the Portfolio and Company Level
- Liquidity Risk Analysis and Management
- Performance Measurement: Plus Alpha versus Transfer Pricing
- Managing Institutional Default Risk and 'Safety and Soundness'
- Information Technology Considerations Shareholder Value Creation and Destruction
- Bibliography
- Index
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Wiley |
| Auteur(s) | Donald R. Van Deventer, Kenji Imai, Mark Mesler |
| Collection | Wiley Finance |
| Parution | 02/03/2005 |
| Nb. de pages | 668 |
| Format | 16 x 23,5 |
| Couverture | Relié |
| Poids | 1090g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780470821268 |
| ISBN13 | 978-0-470-82126-8 |
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