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Financial Risk Manager Handbook
Fourth Edition
PHILIPPE JORION
GARP
正版电子书 非扫描版 一共736页
Preface xix
Introduction xxi
PART ONE
Quantitative Analysis
CHAPTER 1
Bond Fundamentals 3
1.1 Discounting, Present, and Future Value 3
1.2 Price-Yield Relationship 6
1.2.1 Valuation 6
1.2.2 Taylor Expansion 8
1.3 Bond Price Derivatives 9
1.3.1 Interpreting Duration and Convexity 16
1.3.2 Portfolio Duration and Convexity 23
1.4 Important Formulas 25
1.5 Answers to Chapter Examples 26
Appendix: Applications of Infinite Series 29
CHAPTER 2
Fundamentals of Probability 31
2.1 Characterizing Random Variables 31
2.1.1 Univariate Distribution Functions 32
2.1.2 Moments 33
2.2 Multivariate Distribution Functions 37
2.2.1 Joint Distributions 37
2.2.2 Copulas 38
2.2.3 Covariances and Correlations 38
2.3 Functions of Random Variables 40
2.3.1 Linear Transformation of Random Variables 41
2.3.2 Sum of Random Variables 41
2.3.3 Portfolios of Random Variables 42
2.3.4 Product of Random Variables 43
2.3.5 Distributions of Transformations of RVs 44
2.4 Important Distribution Functions 46
2.4.1 Uniform Distribution 46
2.4.2 Normal Distribution 47
2.4.3 Lognormal Distribution 51
2.4.4 Student’s t Distribution 54
2.4.5 Binomial Distribution 55
2.4.6 Poisson Distribution 57
vii
viii CONTENTS
2.5 Limit Distributions 58
2.5.1 Distribution of Averages 58
2.5.2 Distribution of Tails 59
2.6 Important Formulas 60
2.7 Answers to Chapter Examples 61
Appendix: Review of Matrix Multiplication 63
CHAPTER 3
Fundamentals of Statistics 65
3.1 Real Data 65
3.1.1 Measuring Returns 66
3.1.2 Time Aggregation 67
3.1.3 Portfolio Aggregation 70
3.2 Parameter Estimation 71
3.3 Regression Analysis 74
3.3.1 Bivariate Regression 74
3.3.2 Autoregression 76
3.3.3 Multivariate Regression 77
3.3.4 Example 77
3.3.5 Pitfalls with Regressions 80
3.4 Important Formulas 82
3.5 Answers to Chapter Examples 83
CHAPTER 4
Monte Carlo Methods 85
4.1 Simulations with One Random Variable 85
4.1.1 Simulating Markov Processes 85
4.1.2 The Geometric Brownian Motion 86
4.1.3 Simulating Yields 90
4.1.4 Binomial Trees 92
4.2 Implementing Simulations 95
4.2.1 Simulation for VAR 95
4.2.2 Simulation for Derivatives 95
4.2.3 Accuracy 96
4.3 Multiple Sources of Risk 98
4.3.1 The Cholesky Factorization 99
4.3.2 The Curse of Dimensionality 100
4.4 Important Formulas 101
4.5 Answers to Chapter Examples 102
PART TWO
Capital Markets
CHAPTER 5
Introduction to Derivatives 107
5.1 Overview of Derivatives Markets 107
5.2 Forward Contracts 109
5.2.1 Definition 109
5.2.2 Valuing Forward Contracts 111
Contents ix
5.2.3 Valuing an Off-Market Forward Contract 113
5.2.4 Valuing Forward Contracts with
Income Payments 113
5.3 Futures Contracts 117
5.3.1 Definitions of Futures 117
5.3.2 Valuing Futures Contracts 119
5.4 Swap Contracts 120
5.5 Important Formulas 121
5.6 Answers to Chapter Examples 121
CHAPTER 6
Options 123
6.1 Option Payoffs 123
6.1.1 Basic Options 123
6.1.2 Put-Call Parity 126
6.1.3 Combination of Options 128
6.2 Option Premiums 132
6.2.1 General Relationships 132
6.2.2 Early Exercise of Options 134
6.3 Valuing Options 136
6.3.1 Pricing by Replication 136
6.3.2 Black-Scholes Valuation 137
6.3.3 Extensions 140
6.3.4 Market versus Model Prices 141
6.4 Other Option Contracts 143
6.5 Valuing Options by Numerical Methods 146
6.6 Important Formulas 148
6.7 Answers to Chapter Examples 149
CHAPTER 7
Fixed-Income Securities 152
7.1 Overview of Debt Markets 152
7.2 Fixed-Income Securities 155
7.2.1 Instrument Types 155
7.2.2 Methods of Quotation 157
7.3 Analysis of Fixed-Income Securities 158
7.3.1 The NPV Approach 158
7.3.2 Pricing 159
7.3.3 Duration 161
7.4 Spot and Forward Rates 162
7.5 Prepayment 167
7.5.1 Describing Prepayment Speed 167
7.5.2 Prepayment Risk 169
7.6 Securitization 174
7.6.1 Principles of Securitization 174
7.6.2 Tranching 176
7.6.3 Tranching: Inverse Floaters 178
7.6.4 Tranching: CMOs 180
7.7 Important Formulas 182
7.8 Answers to Chapter Examples 182
x CONTENTS
CHAPTER 8
Fixed-Income Derivatives 186
8.1 Forward Contracts 186
8.2 Futures 189
8.2.1 Eurodollar Futures 189
8.2.2 T-bond Futures 190
8.3 Swaps 193
8.3.1 Instruments 193
8.3.2 Pricing 194
8.4 Options 199
8.4.1 Caps and Floors 199
8.4.2 Swaptions 202
8.4.3 Exchange-Traded Options 204
8.5 Important Formulas 205
8.6 Answers to Chapter Examples 206
CHAPTER 9
Equity, Currency, and Commodity Markets 209
9.1 Equities 209
9.1.1 Overview 209
9.1.2 Valuation 211
9.2 Convertible Bonds and Warrants 212
9.2.1 Definitions 212
9.2.2 Valuation 214
9.3 Equity Derivatives 216
9.3.1 Stock Index Futures 216
9.3.2 Single Stock Futures 219
9.3.3 Equity Options 219
9.3.4 Equity Swaps 220
9.3.5 Variance Swaps 220
9.4 Currency Markets 221
9.5 Currency Swaps 223
9.5.1 Instruments 223
9.5.2 Pricing 224
9.6 Commodities 228
9.6.1 Products 228
9.6.2 Pricing of Futures 229
9.6.3 Futures and Expected Spot Prices 231
9.7 Important Formulas 234
9.8 Answers to Chapter Examples 235
PART THREE
Market Risk Management
CHAPTER 10
Introduction to Market Risk Measurement 241
10.1 Introduction to Financial Market Risks 241
10.1.1 Types of Financial Risks 241
10.1.2 Risk Management Tools 242
10.2 VAR as a Downside Risk Measure 244
10.2.1 VAR: Definition 244
Contents xi
10.2.2 VAR: Caveats 246
10.2.3 Alternative Measures of Risk 247
10.2.4 Cash Flow at Risk 249
10.3 VAR Parameters 250
10.3.1 Confidence Level 251
10.3.2 Horizon 251
10.3.3 Application: The Basel Rules 253
10.4 Elements of VAR Systems 254
10.4.1 Portfolio Positions 254
10.4.2 Risk Factors 255
10.4.3 VAR Methods 255
10.5 Stress-Testing 256
10.6 Liquidity Risk 259
10.7 Important Formulas 262
10.8 Answers to Chapter Examples 262
Appendix: Desirable Properties for
Risk Measures 264
CHAPTER 11
Sources of Market Risk 267
11.1 Sources of Loss: A Decomposition 267
11.2 Currency Risk 268
11.2.1 Currency Volatility 269
11.2.2 Correlations 270
11.2.3 Cross-Rate Volatility 271
11.3 Fixed-Income Risk 271
11.3.1 Factors Affecting Yields 272
11.3.2 Bond Price and Yield Volatility 274
11.3.3 Correlations 276
11.3.4 Global Interest Rate Risk 278
11.3.5 Real Yield Risk 279
11.3.6 Credit Spread Risk 280
11.3.7 Prepayment Risk 280
11.4 Equity Risk 281
11.4.1 Stock Market Volatility 281
11.5 Commodity Risk 282
11.5.1 Commodity Volatility 282
11.5.2 Futures Risk 282
11.6 Risk Simplification 285
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xviii CONTENTS
CHAPTER 30
The Basel Accord 643
30.1 Steps in the Basel Accord 643
30.1.1 The Basel I Accord 643
30.1.2 The 1996 Amendment 644
30.1.3 The Basel II Accord 644
30.2 The 1988 Basel Accord 646
30.2.1 Risk Capital 646
30.2.2 On–Balance Sheet Risk Charges 649
30.2.3 Off–Balance Sheet Risk Charges 649
30.2.4 Total Risk Charge 654
30.3 Illustration 655
30.4 The New Basel Accord 658
30.4.1 Issues with the 1988 Basel Accord 658
30.4.2 Definition of Capital 658
30.4.3 The Credit Risk Charge 659
30.4.4 The Operational Risk Charge 663
30.4.5 Evaluation 666
30.5 Conclusions 667
30.6 Important Formulas 668
30.7 Answers to Chapter Examples 668
CHAPTER 31
The Basel Market Risk Charge 671
31.1 The Standardized Method 671
31.2 The Internal Models Approach 672
31.2.1 Qualitative Requirements 673
31.2.2 The Market Risk Charge 673
31.2.3 Combination of Approaches 675
31.3 Stress Testing 677
31.4 Backtesting 679
31.4.1 Measuring Exceptions 679
31.4.2 Statistical Decision Rules 679
31.4.3 The Penalty Zones 680
31.5 Important Formulas 683
31.6 Answers to Chapter Examples 683
About the CD-ROM 685
Index 687