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Before coming to Princeton in 2006, he was Professor of Finance at the London School of Economics.
His current research interests are in financial economics with particular reference to financial institutions, disclosures, risk and financial stability issues, topics on which he has published widely both in academic and practitioner outlets.
He has served as editor or editorial board member of several scholarly journals, and has served in an advisory capacity to central banks and policy organizations on financial stability issues. He is a fellow of the Econometric Society and of the British Academy.
Risk and Liquidity, 2008 Clarendon Lectures in Finance, Oxford University Press
Table of Contents
1 Nature of Financial Risk
2 Value-at-Risk and Capital
2.1 Portfolio Choice under VaR Constraint
2.2 Upward-Sloping Demand Reactions
2.3 Notes on Further Reading
3 Boom and Bust Driven by Value-at-Risk
3.1 General Equilibrium with Value-at-Risk
3.2 Pricing of Risk and Credit Supply
3.3 Long-Short Strategy Hedge Fund
3.4 Hedge Fund with VaR Constraint
3.5 Endogenous Risk
3.6 Notes on Further Reading
4 Dynamic Hedging
4.1 Portfolio Insurance
4.2 Delta hedging
4.2.1 Examples without Feedback
4.2.2 Examples with Feedback
4.3 Stock Market Crash of 1987
5 Asset-Liability Management
5.1 Review of Basic Concepts
5.2 Example of Pension Fund
5.3 Example of Ivy College
5.4 Prices as Signals for Investment
6 Financial System
6.1 Accounting Framework
6.2 Realised Allocations
6.2.1 Nature of the Problem
6.2.2 Unique Value of Realised Debt
6.3 Market Value of Debt
6.3.1 Financial System Accounting Identities
6.3.2 Banking Sector Leverage
7 Lending Booms
7.1 Credit Risk Model
7.2 Value-at-Risk and Balance Sheet Management
7.3 Credit Boom
7.4 Global Imbalances
7.5 Foreign Holding of US Debt Securities
7.6 Related Literature
8 Case of Northern Rock
8.1 Background
8.2 Securitisation Process
8.3 The Run on Northern Rock
8.4 Reassessing the Run on Northern Rock
8.5 Implications for Financial Regulation
9 Securitisation and the Financial System
9.1 Accounting Framework Revisited
9.2 Boom Scenario
9.3 Bust Scenario
9.4 Prescriptions
9.5 Size of Banking Sector
10 A Fresh Start
This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the recent global financial crisis and he has been a central figure in the policy debates.
The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy.
This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
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本文标题：Hyun Song Shin:Risk and Liquidity
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