Esch / Kieffer / Lopez Asset and Risk Management

Risk Oriented Finance
1. Auflage 2005
ISBN: 978-0-470-01258-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 424 Seiten, E-Book

Reihe: Wiley Finance Series

The aim of this book is to study three essential components ofmodern finance - Risk Management, Asset Management and Assetand Liability Management, as well as the links that bind themtogether.
It is divided into five parts:
* Part I sets out the financial and regulatory contexts thatexplain the rapid development of these three areas during the lastfew years and shows the ways in which the Risk Management functionhas developed recently in financial institutions.
* Part II is dedicated to the underlying theories of AssetManagement and deals in depth with evaluation of financial assetsand with theories relating to equities, bonds and options.
* Part III deals with a central theory of Risk Management, thegeneral theory of Value at Risk or VaR, its estimation techniquesand the setting up of the methodology.
* Part IV is the point at which Asset Management and RiskManagement meet. It deals with Portfolio Risk Management (theapplication of risk management methods to private assetmanagement), with an adaptation of Sharpe's simple indexmethod and the EGP method to suit VaR and application of the APTmethod to investment funds in terms of behavioural analysis.
* Part V is the point at which Risk Management and Asset andLiability Management (ALM) meet, and touches on techniques formeasuring structural risks within the on and off balancesheet.
The book is aimed both at financial professionals and atstudents whose studies contain a financial aspect.
"Esch, Kieffer and Lopez have provided us with a comprehensiveand well written treatise on risk. This is a must read, must keepvolume for all those who need or aspire to a professionalunderstanding of risk and its management."
--Harry M Markowitz, San Diego, USA

Autoren/Hrsg.

Esch, Louis

Kieffer, Robert

Lopez, Thierry

Inhaltsverzeichnis

Collaborators.
Foreword by Philippe Jorion.
Acknowledgements.
Introduction.
Areas covered.
Who is this book for?
PART I: THE MASSIVE CHANGES IN THE WORLD OF FINANCE.
Introduction.
1 The Regulatory Context
1.1 Precautionary surveillance.
1.2 The Basle Committee.
1.2.1 General information.
1.2.2 Basle II and the philosophy of operational risk.
1.3 Accounting standards.
2 Changes in Financial Risk Management.
2.1 Definitions.
2.2 Changes in financial risk management.
2.3 A new risk-return world.
PART II: EVALUATING FINANCIAL ASSETS.
Introduction
3 Equities.
3.1 The basics.
3.2 Portfolio diversification and management.
3.3 Model of financial asset equilibrium and applications.
3.4 Equity dynamic models.
4 Bonds.
4.1 Characteristics and valuation.
4.2 Bonds and financial risk.
4.3 Deterministic structure of interest rates.
4.4 Bond portfolio management strategies.
4.5 Stochastic bond dynamic models.
5 Options.
5.1 Definitions.
5.2 Value of an option.
5.3 Valuation models.
5.4 Strategies on options.
PART III: GENERAL THEORY OF VaR.
Introduction.
6 Theoryof VaR.
6.1 The concept of 'risk per share'.
6.2 VaR for a single asset.
6.3 VaR for a portfolio.
7 VaR Estimation Techniques.
7.1 General questions in estimating VaR.
7.2 Estimated variance-covariance matrix method.
7.3 Monte Carlo simulation.
7.4 Historical simulation.
7.5 Advantages and drawbacks.
8 Setting Up a VaR Methodology.
8.1 Putting together the database.
8.2 Calculations.
8.3 The normality hypothesis.-
PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction.
9 Portfolio Risk Management.
9.1 General principles.
9.2 Portfolio risk management method.
10 Optimising the Global Portfolio via VaR.
10.1 Taking account of VaR in Sharpe's simple index method.
10.2 Taking account of VaR in the EGP method.
10.3 Optimising a global portfolio via VaR.
11 Institutional Management: APT Applied to Investment Funds.
11.1 Absolute global risk.
11.2 Relative global risk/tracking error.
11.3 Relative fund risk vs. benchmark abacus.
11.4 Allocation of systematic risk.
11.5 Allocation of performance level.
11.6 Gross performance level and risk withdrawal.
11.7 Analysis of style.
PART V: FROM RISK MANAGEMENT TO ASSET AND LIABILITY MANAGEMENT.
Introduction.
12 Techniques for Measuring Structural Risks in Balance Sheets.
12.1 Tools for structural risk analysis in asset and liability management.
12.2 Simulations.
12.3 Using VaR in ALM.
12.4 Repricing schedules (modelling of contracts with floating rates).
12.5 Replicating portfolios.
APPENDICES.
Appendix 1: Mathematical Concepts.
1.1 Functions of one variable.
1.2 Functions of several variables.
1.3 Matrix calculus.
Appendix 2: Probabilistic Concepts.
2.1 Random variables.
2.2 Theoretical distributions.
2.3 Stochastic processes.
Appendix 3: Statistical Concepts.
3.1 Inferential statistics.
3.2 Regressions.
Appendix 4: Extreme Value Theory.
4.1 Exact result.
4.2 Asymptotic results.
Appendix 5 Canonical Correlations.
5.1 Geometric presentation of the method.
5.2 Search for canonical characters.
Appendix 6: Algebraic Presentation of Logistic Regression.
Appendix 7: Time Series Models: ARCH-GARCH and EGARCH.
7.1 ARCH-GARCH models.
7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations.
8.1 General principles for iterative methods.
8.2 Principal methods.
8.3 Nonlinear equation systems.
Bibliography.
Index.

Über Autor(innen)

Louis Esch Doctor of Mathematical Science at the Universityof Liège, and a researcher there in the Department ofProbability Theory and Mathematical Statistics. He currentlyteaches quantitative methods and financial modelling at the Schoolof Higher Business Studies in Liège, where he is sciencemanager for post-graduate education in Finance and Insurance andPresident of the "Quantitative Management Methods" unit. He is alsoconference master at the University of Liège.
Robert Kieffer Treasurer at Banque Degroof Luxembourg SA,honorary board member of ACI Luxembourg and Course Manager at theLuxembourg Institute of Banking Training.
Thierry Lopez Certificated Business Engineer at theSchool of Higher Business Studies in Liège, and manager of theRisk Management Group at Kredietbank SA in Luxembourg, ConferenceMaster at the University of Liège, Professor of Honour at theSchool of Higher Business Studies in Liège, Course Manager atthe Luxembourg Institute of Banking Training and at the LuxembourgRisk Management Finance Technology Transfer Agency, HonoraryPresident and Vice-President of PRIM (Luxembourg Association ofRisk Management Professionals).
Assisted by: Christian Berbé, Pascal Damel, Michel Debay,Jean-François Hannosset.