Advances In Financial Risk Management

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Advanced Financial Risk Management

Donald R. Van Deventer,Kenji Imai,Mark Mesler
Advanced Financial Risk Management Book PDF

Author : Donald R. Van Deventer,Kenji Imai,Mark Mesler
Publisher : John Wiley & Sons
Page : 834 pages
File Size : 41,9 Mb
Release : 2013-02-06
Category : Business & Economics
ISBN : 9781118278550

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Advanced Financial Risk Management by Donald R. Van Deventer,Kenji Imai,Mark Mesler Pdf

Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.

Advanced Financial Risk Management

Donald R. Van Deventer,Mark Mesler,Kenji Imai
Advanced Financial Risk Management Book PDF

Author : Donald R. Van Deventer,Mark Mesler,Kenji Imai
Publisher : John Wiley & Sons
Page : 502 pages
File Size : 48,9 Mb
Release : 2011-09-29
Category : Business & Economics
ISBN : 9781118177327

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Advanced Financial Risk Management by Donald R. Van Deventer,Mark Mesler,Kenji Imai Pdf

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. Donald R. Van Deventer (Hawaii) 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. Kenji Imai (Hawaii) heads Software Development for Kamakura and participates in selected Japan-related financial advisory assignments. Mark Mesler (Hawaii) heads the information production for Kamakura Risk Information Services.

Advances in Financial Risk Management

Jonathan A. Batten,Peter MacKay
Advances in Financial Risk Management Book PDF

Author : Jonathan A. Batten,Peter MacKay
Publisher : Springer
Page : 422 pages
File Size : 48,5 Mb
Release : 2015-12-04
Category : Business & Economics
ISBN : 9781137025098

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Advances in Financial Risk Management by Jonathan A. Batten,Peter MacKay Pdf

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

Risk Management in Finance

Anthony Tarantino,Deborah Cernauskas
Risk Management in Finance Book PDF

Author : Anthony Tarantino,Deborah Cernauskas
Publisher : John Wiley and Sons
Page : 495 pages
File Size : 55,5 Mb
Release : 2009-04-15
Category : Business & Economics
ISBN : 9780470485255

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Risk Management in Finance by Anthony Tarantino,Deborah Cernauskas Pdf

Implement next-generation techniques-before disaster strikes—and improve operation risk management "The recent global economic crisis has brought home the need for realistic operational risk management as an important element of an organization's survival strategy in turbulent times. In Risk Management in Finance Dr. Tarantino and his coauthors provide an operational risk framework for the twenty-first-century organization by culling the state-of-the-arts knowledge on next-generation techniques in financial risk management to forestall major risk management failures. This book represents a landmark contribution in attempting to create a corporate world that is able to cope with major crisis. The book should be on the must read list for all those interested in reforming corporate governance." —Dr. Anwar Shah, Lead Economist and Program Leader, Governance, World Bank Institute "As operational risk management advances, interest in process-centered risk management has grown. This timely book presents a valuable overview of leading-edge theory and practice." —Simon Wills, Executive Director, Operational Riskdata eXchange Association (ORX), the world's largest banking association for sharing operational loss data

Elements of Financial Risk Management

Peter Christoffersen
Elements of Financial Risk Management Book PDF

Author : Peter Christoffersen
Publisher : Academic Press
Page : 346 pages
File Size : 51,6 Mb
Release : 2011-11-22
Category : Business & Economics
ISBN : 9780123744487

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Elements of Financial Risk Management by Peter Christoffersen Pdf

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises

Advanced Strategies in Financial Risk Management

Robert J. Schwartz
Advanced Strategies in Financial Risk Management Book PDF

Author : Robert J. Schwartz
Publisher : Prentice Hall
Page : 698 pages
File Size : 50,5 Mb
Release : 1993
Category : Business & Economics
ISBN : UCSD:31822016887952

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Advanced Strategies in Financial Risk Management by Robert J. Schwartz Pdf

Readers will learn how to evaluate interest rate and currency risks; gain insight into futures, forwards, swaps and options; and see how to better manage assets and liabilities. Expert guidance is provided on how to employ swaps and hybrid investments to manage corporate liabilities and protect against default risk. There is also a thorough analysis of innovative applications of financial engineering to new products and advanced techniques to hedge business cycle risk.

Financial Risk Management

Jimmy Skoglund,Wei Chen
Financial Risk Management Book PDF

Author : Jimmy Skoglund,Wei Chen
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 53,6 Mb
Release : 2015-09-04
Category : Business & Economics
ISBN : 9781119157236

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Financial Risk Management by Jimmy Skoglund,Wei Chen Pdf

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Advances in Credit Risk Modeling and Management

Frédéric Vrins
Advances in Credit Risk Modeling and Management Book PDF

Author : Frédéric Vrins
Publisher : MDPI
Page : 190 pages
File Size : 53,5 Mb
Release : 2020-07-01
Category : Business & Economics
ISBN : 9783039287604

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Advances in Credit Risk Modeling and Management by Frédéric Vrins Pdf

Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.

Financial Risk Management

Jimmy Skoglund,Wei Chen
Financial Risk Management Book PDF

Author : Jimmy Skoglund,Wei Chen
Publisher : John Wiley & Sons
Page : 580 pages
File Size : 53,6 Mb
Release : 2015-10-12
Category : Business & Economics
ISBN : 9781119135517

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Financial Risk Management by Jimmy Skoglund,Wei Chen Pdf

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Advanced Financial Risk Management

Mashenka Dmitrievna
Advanced Financial Risk Management Book PDF

Author : Mashenka Dmitrievna
Publisher : Koros Press
Page : 290 pages
File Size : 40,5 Mb
Release : 2013-04
Category : Financial risk management
ISBN : 178163338X

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Advanced Financial Risk Management by Mashenka Dmitrievna Pdf

Managing financial risks is all about understanding how to reduce a complex business environment to workable concepts and models. This book provides the tools for dealing with what are arguably the most important areas of financial decision making.

Financial Risk Management: An End User Perspective

Don M Chance
Financial Risk Management An End User Perspective Book PDF

Author : Don M Chance
Publisher : World Scientific
Page : 861 pages
File Size : 46,7 Mb
Release : 2019-10-07
Category : Business & Economics
ISBN : 9789811201851

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Financial Risk Management: An End User Perspective by Don M Chance Pdf

In the field of financial risk management, the 'sell side' is the set of financial institutions who offer risk management products to corporations, governments, and institutional investors, who comprise the 'buy side'. The sell side is often at a significant advantage as it employs quantitative experts who provide specialized knowledge. Further, the existing body of knowledge on risk management, while extensive, is highly technical and mathematical and is directed to the sell side.This book levels the playing field by approaching risk management from the buy side instead, focusing on educating corporate and institutional users of risk management products on the essential knowledge they need to be an intelligent buyer. Rather than teach financial engineering, this volume covers the principles that the buy side should know to enable it to ask the right questions and avoid being misled by the complexity often presented by the sell side.Written in a user-friendly manner, this textbook is ideal for graduate and advanced undergraduate classes in finance and risk management, MBA students specializing in finance, and corporate and institutional investors. The text is accompanied by extensive supporting material including exhibits, end-of-chapter questions and problems, solutions, and PowerPoint slides for lecturers.

Advanced Financial Risk Management

Anonim
Advanced Financial Risk Management Book PDF

Author : Anonim
Publisher : Unknown
Page : 830 pages
File Size : 42,7 Mb
Release : 2018-11-20
Category : Electronic
ISBN : 1547416157

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Advanced Financial Risk Management by Anonim Pdf

Advanced Financial Risk Management, Third Edition, bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. The book explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the authors cover integrated interest rate risk, market risk, credit risk, value at risk, and the most accurate implementation of regulatory risk management standards and accounting standards like the International Financial Reporting Standard 9. Revised and updated with lessons from the 2007-2010 financial crisis and a database of securities prices and default probabilities spanning the last decade, Advanced Financial Risk Management outlines a framework for fully integrated risk management. The book shows how a practical implementation of multi-factor interest rate models should be integrated with macro factor models and probability models for default, prepayment, mortality and other random events.

Recent Applications of Financial Risk Modelling and Portfolio Management

Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan
Recent Applications of Financial Risk Modelling and Portfolio Management Book PDF

Author : Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan
Publisher : IGI Global
Page : 432 pages
File Size : 55,8 Mb
Release : 2020-09-25
Category : Business & Economics
ISBN : 9781799850847

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Recent Applications of Financial Risk Modelling and Portfolio Management by Škrinjari?, Tihana,?ižmešija, Mirjana,Christiansen, Bryan Pdf

In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.

Handbook of Research on New Challenges and Global Outlooks in Financial Risk Management

Madaleno, Mara,Vieira, Elisabete,B?rbu??-Mi?u, Nicoleta
Handbook of Research on New Challenges and Global Outlooks in Financial Risk Management Book PDF

Author : Madaleno, Mara,Vieira, Elisabete,B?rbu??-Mi?u, Nicoleta
Publisher : IGI Global
Page : 470 pages
File Size : 51,8 Mb
Release : 2022-01-14
Category : Business & Economics
ISBN : 9781799886112

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Handbook of Research on New Challenges and Global Outlooks in Financial Risk Management by Madaleno, Mara,Vieira, Elisabete,B?rbu??-Mi?u, Nicoleta Pdf

Risk affects many different companies, industries, and institutions, and the COVID-19 pandemic has caused more challenges than before to arise. In the wake of these new challenges, new risk management strategies must arise. Risk affects many companies differently, though in the aftermath of a global pandemic, similar management strategies may be adapted to maintain a flourishing business. Financial risk management has become increasingly important in the last years, and a profound understanding of this subject is vital. The Handbook of Research on New Challenges and Global Outlooks in Financial Risk Management discusses the financial instruments firms use to manage the difference kinds of financial risks and risk management practices in a variety of different countries. This book offers an international focus of risk management, comparing different practices from all over the world. Covering topics such as bank stability, environmental assets, and perceived risk theory, this book is a valuable research source for regulatory authorities, accountants, managers, academicians, students, researchers, graduate students, researchers, faculty, and practitioners.

Understanding Financial Risk Management

Angelo Corelli
Understanding Financial Risk Management Book PDF

Author : Angelo Corelli
Publisher : Emerald Group Publishing
Page : 605 pages
File Size : 41,6 Mb
Release : 2024-05-27
Category : Business & Economics
ISBN : 9781837532506

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Understanding Financial Risk Management by Angelo Corelli Pdf

Financial risk management is a topic of primary importance in financial markets. It is important to learn how to measure and control risk, how to be primed for the opportunity of compensative return, and how to avoid useless exposure.