Financial Risk Management
A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM)
1st Edition
Published on 27. February 2003
Book
Hardback
416 pages
978-0-471-21977-4 (ISBN)
Description
An insider's view of financial risk management
This complete guide covers the strategies, principles, and measurement techniques necessary to measure and manage financial risk. With a focus on management perspective, this book explores real-world issues such as model validation, risk measurement, valuation methodologies, and much more. Self-contained Excel spreadsheets are included on the companion CD-ROM.
Steve Allen (New York, NY) is Managing Director of Market Risk Management at J.P. Morgan Chase. He has been a key architect of Chase's Value-at-Risk and Stress Testing systems. Allen also serves as Co-Chairman of the Market and Credit Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed Income Investments and Derivative Securities.
More details
Series
Edition
1., Auflage
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 23.6 cm
Width: 16.1 cm
Thickness: 32 mm
Weight
713 gr
ISBN-13
978-0-471-21977-4 (9780471219774)
Schweitzer Classification
Other editions
New editions
Book
02/2013
2nd Edition
Wiley
€121.50
Shipment within 15-20 days
Person
STEVE ALLEN is Managing Director in charge of risk methodology at JPMorgan Chase. He is responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase's value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for all Chase trading activities for over ten years. He also serves as co-chairman of the Credit and Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed-Income Investments and Derivative Securities. Allen is Deputy Director of the Mathematics in Finance Masters' program at New York University's Courant Institute of Mathematical Sciences. He has taught the risk management course in this program for the last five years.
Content
Foreword.
Preface.
Acnowledgments.
Introduction.
The Contents of This Book.
The Use of Mathematics in This Book.
Overview.
Institutional Background.
Moral Hazard--Insiders and Outsiders.
Ponzi Schemes.
Adverse Selection.
The Winner's Curse.
Market Making versus Position Taking.
Operational Risk.
Operations Risk.
Legal Risk.
Reputational Risk.
Accounting Risk.
Funding Liquidity Risk.
Enterprise Risk.
The Identification of Risks.
Operational Risk Capital.
Financial Disasters.
Disasters Due to Misleading Reporting.
Disasters Due to Large Market Moves.
Disasters Due to Conduct of Customer Business.
Managing Market Risk.
Risk Measurement.
Risk Control.
Model Risk.
The Role of Models in Man aging Risk.
Model Control.
Mark to Market vs Mark to Model.
Managing Spot Risk.
Managing Forward Risk.
Instruments.
Mathematical Models of Forward Risk.
Factors Impacting Borrowing and Lending Costs.
Risk Management Reporting and Limits for Forward Risk.
Managing Vanilla Options Risk.
Overview of Options Risk Management.
The Path Dependency of Dynamic Hedging.
A Simulation of Dynamic Hedging.
Risk Reporting and Limits.
Delta Hedging.
Building a Volatility Surface.
Summary.
Managing Exotic Options Risk.
Single-Payout Options.
Time-Dependent Options.
Path-Dependent Options.
Correlation-Dependent Options.
Correlation-Dependent Interest Rate Options.
Value-at-Risk and Stress Testing.
VaR Methodology.
Stress Testing.
Uses of Overall Measures of Firm Position Risk.
Credit Risk.
Short-Term Exposures to Changes in Market Prices.
Long-Term Risk of Default.
Lines of Credit.
Counterparty Credit Risk
Appendix: Spreadsheet Calculators.
Bibliography.
About the CD-ROM.
Index.