Asset and risk management
Risk Oriented Finance
Louis Esch, Robert Kieffer, Thierry Lopez - Collection Wiley Finance
Résumé
The aim of this book is to study three essential components of modern finance - Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.
It is divided into five parts:
- Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.
- Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options.
- Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology.
- Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe's simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.
- Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet.
The book is aimed both at financial professionals and at students whose studies contain a financial aspect.
Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management.''
Harry M Markowitz, San Diego, USA
L'auteur - Louis Esch
Louis Esch: Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liège.
L'auteur - Robert Kieffer
Robert Kieffer: Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training.
L'auteur - Thierry Lopez
Thierry Lopez: Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals).
Sommaire
- The Massive Changes In The World Of Finance
- The Regulatory Context 3
- Changes in Financial Risk Management
- Evaluating Financial Assets
- Equities
- Bonds
- Options
- General Theory Of VaR
- TheoryofVaR
- VaR Estimation Techniques
- Setting Up a VaR Methodology
- From Risk Management To Asset Management
- Portfolio Risk Management
- Optimising the Global Portfolio via VaR
- Institutional Management: APT Applied to Investment Funds
- From Risk Management to Asset and Liability Management
- Techniques for Measuring Structural Risks in Balance Sheets.
- Appendices
- Appendix 1: Mathematical Concepts
- Appendix 2: Probabilistic Concepts
- Appendix 3: Statistical Concepts
- Appendix 4: Extreme Value Theory
- Appendix 5: Canonical Correlations
- Appendix 6: Algebraic Presentation of Logistic Regression
- Appendix 7: Time Series Models: ARCH-GARCH and EGARCH
- Appendix 8: Numerical Methods for Solving Nonlinear Equations
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Wiley |
| Auteur(s) | Louis Esch, Robert Kieffer, Thierry Lopez |
| Collection | Wiley Finance |
| Parution | 14/02/2005 |
| Nb. de pages | 396 |
| Format | 17 x 25 |
| Couverture | Relié |
| Poids | 964g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780471491446 |
| ISBN13 | 978-0-471-49144-6 |
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