Bugár Gyöngyi

Market and Credit Risk Management

The Mexican Peso Crisis

It began on 20 December 1994 with a 14 percent devaluation of the peso. This led foreign investors to seek to liquidate their Mexican securities portfolios as quickly as possible. This caused a so-called negative spiral, namely the initial devaluation was followed by further devaluations. This forced the Mexican government to float the peso. The ‘contagion’ soon spread to other countries in Latin America and to the Asian financial markets, and so the crisis became global. In the three years preceding the outbreak of the crisis, international investment funds invested a total of USD 45 billion in Mexican securities. They quickly liquidated their investments as the peso fell. They withdrew not only from Mexico but also from other developing countries.

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 Idegen nyelvű

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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