Financial Risk Management: Models, History, and Institutions (Wiley Finance)

Book Cover Image for Financial Risk Management: Models, History, and Institutions But the study of risk remains a relatively new discipline in finance and.
Table of contents

• Financial Risk Management: Models, History, and Institutions
• Wiley: Financial Risk Management: Models, History, and Institutions - Allan M. Malz
• Description
• Financial Risk Management

Would you like to change to the United States site? 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. 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.

Models, History, and Institutions. Risk Finance and Asset Pricing: Financial Risk Manager Handbook: Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. 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.

Permissions Request permission to reuse content from this site. 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. Reflections on Physics and Finance. 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: His book should be required reading for investors and practitioners alike. 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. 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.

Analysis and Portfolio Construction. 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. Models, History, and Institutions Allan M. Random Walks and Wiener Processes 2. Geometric Brownian Motion 2. Asset Return Volatility 2. Portfolio Risk in the Standard Model 2. Beta and Market Risk 2.

Benchmark Interest Rates Further Reading 3. Definition of Value-at-Risk 3. Steps in Computing VaR 3. Short-Term Conditional Volatility Estimation 3. Modes Of Computation 3. Monte Carlo Simulation 3. Expected Shortfall Further Reading 4. Nonlinear Risk Measurement and Options 4. Nonlinearity and VaR 4. Simulation for Nonlinear Exposures 4.

Delta-Gamma for Options 4. Delta-Gamma Approach for General Exposures 4. Yield Curve Risk 4. Term Structure of Interest Rates 4. Estimating Yield Curves 4. Covariance and Correlation Matrices 5. Mapping and Treatment of Bonds and Options 5. Delta-Normal Approach for a Portfolio of Securities 5. Option Vega Risk 5. Vega Risk and the Black-Scholes Anomalies 5. Option Implied Volatility Surface 5. Measuring Vega Risk Further Reading 6. Defining Credit Risk 6.

Economic Balance Sheet of the Firm 6. Security, Collateral, and Priority 6. Transaction Cost Problems in Credit Contracts 6. Probability of Default 6. Loss Given Default 6. Credit Risk and Market Risk 6. Credit Ratings and Rating Migration 6. Credit Risk Models 6. Netting and Clearinghouses 6. Measuring Counterparty Risk for Derivatives Positions 6.

Double Default Risk 6. Mitigation of Counterparty Risk 6. Credit Factor Models 6.

Description

Credit Risk Measures 6. Expected and Unexpected Loss 6. Jump-to-Default Risk Further Reading 7. Default Curve Analytics 7. Default Time Distribution Function 7. Default Time Density Function 7. Conditional Default Probability 7. Risk-Neutral Estimates of Default Probabilities 7. Time Scaling of Default Probabilities 7. Credit Default Swaps 7. Building Default Probability Curves 7. Slope of Default Probability Curves 7. Mark-to-Market of a CDS 7. Spread Volatility Further Reading 8. Defining Default Correlation 8. Order of Magnitude of Default Correlation 8.

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Credit Portfolio Risk Measurement 8. Granularity and Portfolio Credit Value-at-Risk 8. Conditional Default Distributions 8. Asset and Default Correlation 8.

Simulating Single-Credit Risk 8. Structured Credit Basics 9. Capital Structure and Credit Losses in a Securitization 9. Credit Scenario Analysis of a Securitization 9. Tracking the Interim Cash Flows 9. Tracking the Final-Year Cash Flows 9.

Measuring Structured Credit Risk via Simulation 9. Simulation Procedure and the Role of Correlation 9. Means of the Distributions 9. Distribution of Losses and Credit VaR 9. Default Sensitivities of the Tranches 9. Summary of Tranche Risks 9. Standard Tranches and Implied Credit Correlation 9. Summary of Default Correlation Concepts 9.

Issuer and Investor Motivations for Structured Credit 9. Incentives of Issuers 9. Incentives of Investors Further Reading Real-World Asset Price Behavior Alternative Modeling Approaches Extreme Value Theory Evidence on Non-Normality in Derivatives Prices