Tartalomjegyzék

• Market and Credit Risk Management
• Copyright Page
• Preface
• Introduction
• chevron_rightThe concept of risk
  • Risk and Uncertainty
  • A Recent Definition of Risk
  • Operational Perspective on Risk
• chevron_rightTypes of financial risk
  • Market Risk
  • Credit Risk
  • Liquidity Risk
  • Operational Risk
  • Legal Risk
• chevron_rightThe need for risk management
  • chevron_rightLocal Financial Disasters
    • The Failure of Barings Bank
    • The Huge Loss of Metallgesellschaft
    • The Recklessly Managed Investment Fund of Orange County
  • chevron_rightGlobal Crises
    • International Credit Crisis
    • The Mexican Peso Crisis
    • The Asian Crisis
  • Subprime Mortgage Crisis
• chevron_rightRisk measures
  • chevron_rightMeasuring Risk with Dispersion Measures
    • Variance (V) of Return as a Measure of Risk
    • Semi-Variance (SV)
    • Mean Absolute Deviation (MAD)
    • Mean Difference (MD)
  • One-Sided Risk Measures
  • Absolute Risk Measures
  • Utility-Based Measures of Risk
  • Measure of Market Risk
  • Spectral Risk Measures
• chevron_rightValue-At-Risk (VaR) and its estimation
  • Definition of VaR
  • chevron_rightMethods for Estimating VaR
    • Delta-Normal Method
    • Historical Simulation
    • Structured Monte Carlo Simulation
  • Problems with VaR as a Measure of Risk
  • chevron_rightVaR in Banking Regulation
    • The Basel Regulation
    • Criticism on Basel Regulation
    • Standard Model
    • Internal Model
• chevron_rightCoherent risk measures
  • How High is the Risk?
  • chevron_rightADEH Axioms
    • ADEH 1 Translation Invariance
    • ADEH 2 Subadditivity
    • ADEH 3 Positive Homogeneity
    • ADEH 4 Monotonicity
• 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
    • Elicitability and Its Relevance in Backtesting
    • Backtestability
    • Ridge Backtest for ES as the Resolution of the Non-Elicitability Debate
• chevron_rightMeasuring credit risk
  • chevron_rightDebt Rating Systems
    • Subjective Debt Rating Based on Expert Opinion
    • Statistical Scoring Systems for Debt Rating
    • New Models for Assessing Credit Risk
    • Corporate Credit Rating
  • chevron_rightCredit Risk Models
    • chevron_rightCreditMetrics
      • The Building Blocks of CreditMetrics
      • Credit Risk of a Bond (Credit VaR)
      • Credit Risk of a Two-Bond Portfolio
      • Credit Risk of a Multiple-Bond Portfolio
    • chevron_rightKMV
      • Actual Default Probabilities – Expected Default Frequencies (EDF)
      • Estimation of Market Value of Assets and Volatility of Market Value
      • Determining the Distance-to-Default (DD)
      • Derivation of EDF
      • Valuation of Cashflows Exposed to Credit Risk
      • Derivation of Risk-Neutral Default Probabilities
  • Interaction Between Market and 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
    • Forward Hedge
    • Money Market Hedge
    • Hedging with Options
    • Contingent Hedging
    • Hedging Through the Currency of Payment
    • Hedging by Early or Delayed Payment
• chevron_rightManaging credit risk with credit derivatives
  • Credit Default Swap (CDS)
  • Total Return Swap (TRS)
  • Credit-Linked Note (CLN)
  • Collateralised Debt Obligation (CDO)
  • Advantages and Disadvantages of Credit Derivatives
• References

Kiadó: Akadémiai Kiadó

Online megjelenés éve: 2023

ISBN: 978 963 454 857 7

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//