{"product_id":"financial-risk-management-a-practitioners-guide-to-managing-market-and-credit-risk-hardback-9781118175453","title":"Financial Risk Management; A Practitioner's Guide to Managing Market and Credit Risk (Hardback) 9781118175453","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eFinancial Risk Management\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eA Practitioner's Guide to Managing Market and Credit Risk\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eSteven Allen (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781118175453, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 12 February 2013\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e608 pages\u003cbr\u003e23.1 x 16 x 4.8 cm, 0.839 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cb\u003eA top risk management practitioner addresses the essential aspects of modern financial risk management\u003c\/b\u003e  \u003cp\u003eIn the \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eFinancial Risk Management + Website,\u003c\/i\u003e market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management.\u003c\/p\u003e \u003cp\u003eAllen explores real-world issues such as proper mark-to-market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement and reporting.\u003c\/p\u003e \u003cul\u003e \u003cli\u003ePresents key insights on how risks can be isolated, quantified, and managed from a top risk management practitioner\u003c\/li\u003e \u003cli\u003eOffers up-to-date examples of managing market and credit risk\u003c\/li\u003e \u003cli\u003eProvides an overview and comparison of the various derivative instruments and their use in risk hedging\u003c\/li\u003e \u003cli\u003eCompanion Website contains supplementary materials that allow you to continue to learn in a hands-on fashion long after closing the book\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eFocusing on the management of those risks that can be successfully quantified, the \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eFinancial Risk Management + Website\u003c\/i\u003eis the definitive source for managing market and credit risk.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eForeword xvii\u003c\/p\u003e \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003eAcknowledgments xxiii\u003c\/p\u003e \u003cp\u003eAbout the Author xxvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Lessons from a Crisis 1\u003c\/p\u003e \u003cp\u003e1.2 Financial Risk and Actuarial Risk 2\u003c\/p\u003e \u003cp\u003e1.3 Simulation and Subjective Judgment 4\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Institutional Background 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Moral Hazard—Insiders and Outsiders 7\u003c\/p\u003e \u003cp\u003e2.2 Ponzi Schemes 17\u003c\/p\u003e \u003cp\u003e2.3 Adverse Selection 19\u003c\/p\u003e \u003cp\u003e2.4 The Winner’s Curse 21\u003c\/p\u003e \u003cp\u003e2.5 Market Making versus Position Taking 24\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Operational Risk 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Operations Risk 31\u003c\/p\u003e \u003cp\u003e3.1.1 The Risk of Fraud 31\u003c\/p\u003e \u003cp\u003e3.1.2 The Risk of Nondeliberate Incorrect Information 35\u003c\/p\u003e \u003cp\u003e3.1.3 Disaster Risk 36\u003c\/p\u003e \u003cp\u003e3.1.4 Personnel Risk 36\u003c\/p\u003e \u003cp\u003e3.2 Legal Risk 37\u003c\/p\u003e \u003cp\u003e3.2.1 The Risk of Unenforceable Contracts 37\u003c\/p\u003e \u003cp\u003e3.2.2 The Risk of Illegal Actions 40\u003c\/p\u003e \u003cp\u003e3.3 Reputational Risk 41\u003c\/p\u003e \u003cp\u003e3.4 Accounting Risk 42\u003c\/p\u003e \u003cp\u003e3.5 Funding Liquidity Risk 42\u003c\/p\u003e \u003cp\u003e3.6 Enterprise Risk 44\u003c\/p\u003e \u003cp\u003e3.7 Identification of Risks 44\u003c\/p\u003e \u003cp\u003e3.8 Operational Risk Capital 45\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Financial Disasters 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Disasters Due to Misleading Reporting 49\u003c\/p\u003e \u003cp\u003e4.1.1 Chase Manhattan Bank\/Drysdale Securities 52\u003c\/p\u003e \u003cp\u003e4.1.2 Kidder Peabody 53\u003c\/p\u003e \u003cp\u003e4.1.3 Barings Bank 55\u003c\/p\u003e \u003cp\u003e4.1.4 Allied Irish Bank (AIB) 57\u003c\/p\u003e \u003cp\u003e4.1.5 Union Bank of Switzerland (UBS) 59\u003c\/p\u003e \u003cp\u003e4.1.6 Société Générale 61\u003c\/p\u003e \u003cp\u003e4.1.7 Other Cases 66\u003c\/p\u003e \u003cp\u003e4.2 Disasters Due to Large Market Moves 68\u003c\/p\u003e \u003cp\u003e4.2.1 Long‐Term Capital Management (LTCM) 68\u003c\/p\u003e \u003cp\u003e4.2.2 Metallgesellschaft (MG) 75\u003c\/p\u003e \u003cp\u003e4.3 Disasters Due to the Conduct of Customer Business 77\u003c\/p\u003e \u003cp\u003e4.3.1 Bankers Trust (BT) 77\u003c\/p\u003e \u003cp\u003e4.3.2 JPMorgan, Citigroup, and Enron 79\u003c\/p\u003e \u003cp\u003e4.3.3 Other Cases 80\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 The Systemic Disaster of 2007–2008 83\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Overview 83\u003c\/p\u003e \u003cp\u003e5.2 The Crisis in CDOs of Subprime Mortgages 85\u003c\/p\u003e \u003cp\u003e5.2.1 Subprime Mortgage Originators 86\u003c\/p\u003e \u003cp\u003e5.2.2 CDO Creators 88\u003c\/p\u003e \u003cp\u003e5.2.3 Rating Agencies 89\u003c\/p\u003e \u003cp\u003e5.2.4 Investors 92\u003c\/p\u003e \u003cp\u003e5.2.5 Investment Banks 93\u003c\/p\u003e \u003cp\u003e5.2.6 Insurers 106\u003c\/p\u003e \u003cp\u003e5.3 The Spread of the Crisis 108\u003c\/p\u003e \u003cp\u003e5.3.1 Credit Contagion 108\u003c\/p\u003e \u003cp\u003e5.3.2 Market Contagion 109\u003c\/p\u003e \u003cp\u003e5.4 Lessons from the Crisis for Risk Managers 111\u003c\/p\u003e \u003cp\u003e5.4.1 Subprime Mortgage Originators 111\u003c\/p\u003e \u003cp\u003e5.4.2 CDO Creators 111\u003c\/p\u003e \u003cp\u003e5.4.3 Rating Agencies 111\u003c\/p\u003e \u003cp\u003e5.4.4 Investors 111\u003c\/p\u003e \u003cp\u003e5.4.5 Investment Banks 112\u003c\/p\u003e \u003cp\u003e5.4.6 Insurers 114\u003c\/p\u003e \u003cp\u003e5.4.7 Credit Contagion 115\u003c\/p\u003e \u003cp\u003e5.4.8 Market Contagion 115\u003c\/p\u003e \u003cp\u003e5.5 Lessons from the Crisis for Regulators 115\u003c\/p\u003e \u003cp\u003e5.5.1 Mortgage Originators 116\u003c\/p\u003e \u003cp\u003e5.5.2 CDO Creators 116\u003c\/p\u003e \u003cp\u003e5.5.3 Rating Agencies 117\u003c\/p\u003e \u003cp\u003e5.5.4 Investors 118\u003c\/p\u003e \u003cp\u003e5.5.5 Investment Banks 118\u003c\/p\u003e \u003cp\u003e5.5.6 Insurers 126\u003c\/p\u003e \u003cp\u003e5.5.7 Credit Contagion 126\u003c\/p\u003e \u003cp\u003e5.5.8 Market Contagion 129\u003c\/p\u003e \u003cp\u003e5.6 Broader Lessons from the Crisis 132\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Managing Financial Risk 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Risk Measurement 133\u003c\/p\u003e \u003cp\u003e6.1.1 General Principles 133\u003c\/p\u003e \u003cp\u003e6.1.2 Risk Management of Instruments That Lack Liquidity 144\u003c\/p\u003e \u003cp\u003e6.1.3 Market Valuation 147\u003c\/p\u003e \u003cp\u003e6.1.4 Valuation Reserves 152\u003c\/p\u003e \u003cp\u003e6.1.5 Analysis of Revenue 156\u003c\/p\u003e \u003cp\u003e6.1.6 Exposure to Changes in Market Prices 157\u003c\/p\u003e \u003cp\u003e6.1.7 Risk Measurement for Position Taking 159\u003c\/p\u003e \u003cp\u003e6.2 Risk Control 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 VaR and Stress Testing 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 VaR Methodology 170\u003c\/p\u003e \u003cp\u003e7.1.1 Simulation of the P\u0026amp;L Distribution 173\u003c\/p\u003e \u003cp\u003e7.1.2 Measures of the P\u0026amp;L Distribution 187\u003c\/p\u003e \u003cp\u003e7.2 Stress Testing 192\u003c\/p\u003e \u003cp\u003e7.2.1 Overview 192\u003c\/p\u003e \u003cp\u003e7.2.2 Economic Scenario Stress Tests 193\u003c\/p\u003e \u003cp\u003e7.2.3 Stress Tests Relying on Historical Data 197\u003c\/p\u003e \u003cp\u003e7.3 Uses of Overall Measures of Firm Position Risk 201\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Model Risk 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 How Important Is Model Risk? 210\u003c\/p\u003e \u003cp\u003e8.2 Model Risk Evaluation and Control 212\u003c\/p\u003e \u003cp\u003e8.2.1 Scope of Model Review and Control 213\u003c\/p\u003e \u003cp\u003e8.2.2 Roles and Responsibilities for Model Review and Control 214\u003c\/p\u003e \u003cp\u003e8.2.3 Model Verification 219\u003c\/p\u003e \u003cp\u003e8.2.4 Model Verification of Deal Representation 222\u003c\/p\u003e \u003cp\u003e8.2.5 Model Verification of Approximations 223\u003c\/p\u003e \u003cp\u003e8.2.6 Model Validation 226\u003c\/p\u003e \u003cp\u003e8.2.7 Continuous Review 232\u003c\/p\u003e \u003cp\u003e8.2.8 Periodic Review 234\u003c\/p\u003e \u003cp\u003e8.3 Liquid Instruments 237\u003c\/p\u003e \u003cp\u003e8.4 Illiquid Instruments 241\u003c\/p\u003e \u003cp\u003e8.4.1 Choice of Model Validation Approach 241\u003c\/p\u003e \u003cp\u003e8.4.2 Choice of Liquid Proxy 243\u003c\/p\u003e \u003cp\u003e8.4.3 Design of Monte Carlo Simulation 245\u003c\/p\u003e \u003cp\u003e8.4.4 Implications for Marking to Market 247\u003c\/p\u003e \u003cp\u003e8.4.5 Implications for Risk Reporting 249\u003c\/p\u003e \u003cp\u003e8.5 Trading Models 250\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Managing Spot Risk 253\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Overview 253\u003c\/p\u003e \u003cp\u003e9.2 Foreign Exchange Spot Risk 257\u003c\/p\u003e \u003cp\u003e9.3 Equity Spot Risk 258\u003c\/p\u003e \u003cp\u003e9.4 Physical Commodities Spot Risk 259\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Managing Forward Risk 263\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Instruments 270\u003c\/p\u003e \u003cp\u003e10.1.1 Direct Borrowing and Lending 270\u003c\/p\u003e \u003cp\u003e10.1.2 Repurchase Agreements 271\u003c\/p\u003e \u003cp\u003e10.1.3 Forwards 272\u003c\/p\u003e \u003cp\u003e10.1.4 Futures Contracts 272\u003c\/p\u003e \u003cp\u003e10.1.5 Forward Rate Agreements 274\u003c\/p\u003e \u003cp\u003e10.1.6 Interest Rate Swaps 275\u003c\/p\u003e \u003cp\u003e10.1.7 Total Return Swaps 276\u003c\/p\u003e \u003cp\u003e10.1.8 Asset‐Backed Securities 278\u003c\/p\u003e \u003cp\u003e10.2 Mathematical Models of Forward Risks 282\u003c\/p\u003e \u003cp\u003e10.2.1 Pricing Illiquid Flows by Interpolation 284\u003c\/p\u003e \u003cp\u003e10.2.2 Pricing Long‐Dated Illiquid Flows by Stack and Roll 291\u003c\/p\u003e \u003cp\u003e10.2.3 Flows Representing Promised Deliveries 293\u003c\/p\u003e \u003cp\u003e10.2.4 Indexed Flows 295\u003c\/p\u003e \u003cp\u003e10.3 Factors Impacting Borrowing Costs 299\u003c\/p\u003e \u003cp\u003e10.3.1 The Nature of Borrowing Demand 299\u003c\/p\u003e \u003cp\u003e10.3.2 The Possibility of Cash‐and‐Carry Arbitrage 300\u003c\/p\u003e \u003cp\u003e10.3.3 The Variability of Storage Costs 301\u003c\/p\u003e \u003cp\u003e10.3.4 The Seasonality of Borrowing Costs 302\u003c\/p\u003e \u003cp\u003e10.3.5 Borrowing Costs and Forward Prices 303\u003c\/p\u003e \u003cp\u003e10.4 Risk Management Reporting and Limits for Forward Risk 304\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Managing Vanilla Options Risk 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Overview of Options Risk Management 313\u003c\/p\u003e \u003cp\u003e11.2 The Path Dependence of Dynamic Hedging 318\u003c\/p\u003e \u003cp\u003e11.3 A Simulation of Dynamic Hedging 321\u003c\/p\u003e \u003cp\u003e11.4 Risk Reporting and Limits 329\u003c\/p\u003e \u003cp\u003e11.5 Delta Hedging 344\u003c\/p\u003e \u003cp\u003e11.6 Building a Volatility Surface 346\u003c\/p\u003e \u003cp\u003e11.6.1 Interpolating between Time Periods 346\u003c\/p\u003e \u003cp\u003e11.6.2 Interpolating between Strikes—Smile and Skew 347\u003c\/p\u003e \u003cp\u003e11.6.3 Extrapolating Based on Time Period 352\u003c\/p\u003e \u003cp\u003e11.7 Summary 355\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Managing Exotic Options Risk 359\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Single‐Payout Options 364\u003c\/p\u003e \u003cp\u003e12.1.1 Log Contracts and Variance Swaps 367\u003c\/p\u003e \u003cp\u003e12.1.2 Single‐Asset Quanto Options 369\u003c\/p\u003e \u003cp\u003e12.1.3 Convexity 370\u003c\/p\u003e \u003cp\u003e12.1.4 Binary Options 371\u003c\/p\u003e \u003cp\u003e12.1.5 Contingent Premium Options 377\u003c\/p\u003e \u003cp\u003e12.1.6 Accrual Swaps 378\u003c\/p\u003e \u003cp\u003e12.2 Time‐Dependent Options 378\u003c\/p\u003e \u003cp\u003e12.2.1 Forward‐Starting and Cliquet Options 378\u003c\/p\u003e \u003cp\u003e12.2.2 Compound Options 379\u003c\/p\u003e \u003cp\u003e12.3 Path‐Dependent Options 381\u003c\/p\u003e \u003cp\u003e12.3.1 Standard Analytic Models for Barriers 383\u003c\/p\u003e \u003cp\u003e12.3.2 Dynamic Hedging Models for Barriers 385\u003c\/p\u003e \u003cp\u003e12.3.3 Static Hedging Models for Barriers 387\u003c\/p\u003e \u003cp\u003e12.3.4 Barrier Options with Rebates, Lookback, and Ladder Options 402\u003c\/p\u003e \u003cp\u003e12.3.5 Broader Classes of Path‐Dependent Exotics 403\u003c\/p\u003e \u003cp\u003e12.4 Correlation‐Dependent Options 404\u003c\/p\u003e \u003cp\u003e12.4.1 Linear Combinations of Asset Prices 405\u003c\/p\u003e \u003cp\u003e12.4.2 Risk Management of Options on Linear Combinations 409\u003c\/p\u003e \u003cp\u003e12.4.3 Index Options 413\u003c\/p\u003e \u003cp\u003e12.4.4 Options to Exchange One Asset for Another 415\u003c\/p\u003e \u003cp\u003e12.4.5 Nonlinear Combinations of Asset Prices 417\u003c\/p\u003e \u003cp\u003e12.4.6 Correlation between Price and Exercise 422\u003c\/p\u003e \u003cp\u003e12.5 Correlation‐Dependent Interest Rate Options 425\u003c\/p\u003e \u003cp\u003e12.5.1 Models in Which the Relationship between Forwards is Treated as Constant 426\u003c\/p\u003e \u003cp\u003e12.5.2 Term Structure Models 430\u003c\/p\u003e \u003cp\u003e12.5.3 Relationship between Swaption and Cap Prices 437\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Credit Risk 445\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Short‐Term Exposure to Changes in Market Prices 446\u003c\/p\u003e \u003cp\u003e13.1.1 Credit Instruments 447\u003c\/p\u003e \u003cp\u003e13.1.2 Models of Short‐Term Credit Exposure 451\u003c\/p\u003e \u003cp\u003e13.1.3 Risk Reporting for Market Credit Exposures 456\u003c\/p\u003e \u003cp\u003e13.2 Modeling Single‐Name Credit Risk 457\u003c\/p\u003e \u003cp\u003e13.2.1 Estimating Probability of Default 458\u003c\/p\u003e \u003cp\u003e13.2.2 Estimating Loss Given Default 465\u003c\/p\u003e \u003cp\u003e13.2.3 Estimating the Amount Owed at Default 468\u003c\/p\u003e \u003cp\u003e13.2.4 The Option‐Theoretic Approach 471\u003c\/p\u003e \u003cp\u003e13.3 Portfolio Credit Risk 479\u003c\/p\u003e \u003cp\u003e13.3.1 Estimating Default Correlations 479\u003c\/p\u003e \u003cp\u003e13.3.2 Monte Carlo Simulation of Portfolio Credit Risk 482\u003c\/p\u003e \u003cp\u003e13.3.3 Computational Alternatives to Full Simulation 486\u003c\/p\u003e \u003cp\u003e13.3.4 Risk Management and Reporting for Portfolio Credit Exposures 490\u003c\/p\u003e \u003cp\u003e13.4 Risk Management of Multiname Credit Derivatives 493\u003c\/p\u003e \u003cp\u003e13.4.1 Multiname Credit Derivatives 493\u003c\/p\u003e \u003cp\u003e13.4.2 Modeling of Multiname Credit Derivatives 495\u003c\/p\u003e \u003cp\u003e13.4.3 Risk Management and Reporting for Multiname Credit Derivatives 498\u003c\/p\u003e \u003cp\u003e13.4.4 CDO Tranches and Systematic Risk 500\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Counterparty Credit Risk 505\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Overview 505\u003c\/p\u003e \u003cp\u003e14.2 Exchange‐Traded Derivatives 506\u003c\/p\u003e \u003cp\u003e14.3 Over‐the‐Counter Derivatives 512\u003c\/p\u003e \u003cp\u003e14.3.1 Overview 512\u003c\/p\u003e \u003cp\u003e14.3.2 The Loan‐Equivalent Approach 513\u003c\/p\u003e \u003cp\u003e14.3.3 The Collateralization Approach 515\u003c\/p\u003e \u003cp\u003e14.3.4 The Collateralization Approach—Wrong‐Way Risk 521\u003c\/p\u003e \u003cp\u003e14.3.5 The Active Management Approach 526\u003c\/p\u003e \u003cp\u003eReferences 533\u003c\/p\u003e \u003cp\u003eAbout the Companion Website 547\u003c\/p\u003e \u003cp\u003eIndex 553\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52475087618328,"sku":"9781118175453","price":63.49,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781118175453.jpg?v=1785804483","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/financial-risk-management-a-practitioners-guide-to-managing-market-and-credit-risk-hardback-9781118175453","provider":"Freshly Printed Books","version":"1.0","type":"link"}