Bugár Gyöngyi

Market and Credit Risk Management

The Recklessly Managed Investment Fund of Orange County

The Orange County case is an extreme example of unmanaged market risk. It caused a loss of USD 1.7 billion for Bob Citron, the county’s treasurer. He swelled the USD 7.5 billion portfolio entrusted to his management to a USD 20 billion base by taking out a USD 12.5 billion loan. The capital of the fund was invested in securities with an average maturity of four years. This strategy worked well as long as the short-term funding costs were lower than the medium-term returns. However, it ‘collapsed’ when interest rates started to rise in February 1994. When news of the losses spread, investors withdrew their money from the fund.

Tartalomjegyzék

Market and Credit Risk Management
Copyright Page
Preface
Introduction
chevron_rightThe concept of risk
chevron_rightTypes of financial risk
chevron_rightThe need for risk management
chevron_rightRisk measures
chevron_rightValue-At-Risk (VaR) and its estimation
chevron_rightCoherent risk measures
- How High is the Risk?
- chevron_rightADEH Axioms
Conditional value-at-risk (CVaR)
chevron_rightExpected shortfall (ES) and the Basel framework
- A Milestone in Basel III
- chevron_rightValidation of Internal Market Risk Model
chevron_rightMeasuring credit risk
chevron_rightCopulas as general dependency measures
- Definition of Copula
- chevron_rightSome Notable Copulas
  - Gaussian copula
  - Archimedean Copulas
- Copulas in Risk Modelling
chevron_rightManaging market risk
- chevron_rightInstruments for Managing Interest Rate Risk
  - Forward Rate Agreement (FRA)
  - Interest Rate Swap
- chevron_rightTechniques of Managing Exchange Rate Risk
chevron_rightManaging credit risk with credit derivatives
References

Kiadó: Akadémiai Kiadó

Online megjelenés éve: 2023

ISBN: 978 963 454 857 7

Gazdaság

International credit crunch, Mexican peso crisis, Asian crisis, sub-prime mortgage crisis... It is enough to think back to the financial crises of the last few decades to see why risk management is essential in the economy. This book will introduce the reader to the basics of financial risk management and the tools for managing market and credit risk. However, the book is not only for those who are starting to be familiar with risk management. Its middle section, where the author describes the various risk indicators and measures, should also provide interesting information for professionals. Particularly commendable that Gyöngyi Bugár guiding us with thematically structured practical examples through this dynamically evolving field.

Bálint Zsoldos - Credit risk analyst of an international investment bank

Hivatkozás: https://mersz.hu/bugar-market-and-credit-risk-management//

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