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Allan M. Malz, "Financial Risk Management: Models, History, and Institutions"
W...y | 2011-10-04 | ISBN: 0470481803 | 722 pages | PDF | 5 MB
Copyright C 2011 by Allan M. Malz. All rights reserved.
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Published simultaneously in Canada.
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Library of Congress Cataloging-in-Publication Data:
Malz, Allan M.
Financial risk management: models, history, and institution : models, history, and
institution / Allan M. Malz.
p. cm. – (Wiley finance series)
Includes bibliographical references and index.
ISBN 978-0-470-48180-6 (cloth); ISBN 978-1-118-02291-7 (ebk);
ISBN 978-1-118-02290-0 (ebk); ISBN 978-1-118-02289-4 (ebk)
1. Financial risk management. I. Title.
HD61.M256 2011
332–dc22 2010043485
Contents
List of Figures xvii
Preface xxi
CHAPTER 1
Financial Risk in a Crisis-Prone World 1
1.1 Some History: Why Is Risk a Separate Discipline Today? 1
1.1.1 The Financial Industry Since the 1960s 2
1.1.2 The “Shadow Banking System” 9
1.1.3 Changes in Public Policy Toward the
Financial System 15
1.1.4 The Rise of Large Capital Pools 17
1.1.5 Macroeconomic Developments Since the
1960s: From the Unraveling of Bretton
Woods to the Great Moderation 20
1.2 The Scope of Financial Risk 34
1.2.1 Risk Management in Other Fields 34
Further Reading 41
CHAPTER 2
Market Risk Basics 43
2.1 Arithmetic, Geometric, and Logarithmic Security Returns 44
2.2 Risk and Securities Prices: The Standard Asset
Pricing Model 49
2.2.1 Defining Risk: States, Security Payoffs, and
Preferences 50
2.2.2 Optimal Portfolio Selection 54
2.2.3 Equilibrium Asset Prices and Returns 56
2.2.4 Risk-Neutral Probabilities 61
vii
2.3 The Standard Asset Distribution Model 63
2.3.1 Random Walks and Wiener Processes 64
2.3.2 Geometric Brownian Motion 71
2.3.3 Asset Return Volatility 74
2.4 Portfolio Risk in the Standard Model 75
2.4.1 Beta and Market Risk 76
2.4.2 Diversification 82
2.4.3 Efficiency 85
2.5 Benchmark Interest Rates 88
Further Reading 91
CHAPTER 3
Value-at-Risk 93
3.1 Definition of Value-at-Risk 94
3.1.1 The User-Defined Parameters 97
3.1.2 Steps in Computing VaR 98
3.2 Volatility Estimation 99
3.2.1 Short-Term Conditional Volatility Estimation 99
3.2.2 The EWMA Model 104
3.2.3 The GARCH Model 106
3.3 Modes of Computation 108
3.3.1 Parametric 108
3.3.2 Monte Carlo Simulation 109
3.3.3 Historical Simulation 111
3.4 Short Positions 113
3.5 Expected Shortfall 114
Further Reading 116
CHAPTER 4
Nonlinear Risks and the Treatment of Bonds and Options 119
4.1 Nonlinear Risk Measurement and Options 121
4.1.1 Nonlinearity and VaR 123
4.1.2 Simulation for Nonlinear Exposures 126
4.1.3 Delta-Gamma for Options 127
4.1.4 The Delta-Gamma Approach for General
Exposures 134
4.2 Yield Curve Risk 136
4.2.1 The Term Structure of Interest Rates 138
4.2.2 Estimating Yield Curves 141
4.2.3 Coupon Bonds 144
4.3 VaR for Default-Free Fixed Income Securities Using
The Duration and Convexity Mapping 148
4.3.1 Duration 149
4.3.2 Interest-Rate Volatility and Bond Price Volatility 150
4.3.3 Duration-Only VaR 152
4.3.4 Convexity 154
4.3.5 VaR Using Duration and Convexity 155
Further Reading 156
CHAPTER 5
Portfolio VaR for Market Risk 159
5.1 The Covariance and Correlation Matrices 160
5.2 Mapping and Treatment of Bonds and Options 162
5.3 Delta-Normal VaR 163
5.3.1 The Delta-Normal Approach for a Single
Position Exposed to a Single Risk Factor 164
5.3.2 The Delta-Normal Approach for a Single
Position Exposed to Several Risk Factors 166
5.3.3 The Delta-Normal Approach for a Portfolio
of Securities 168
5.4 Portfolio VAR via Monte Carlo simulation 174
5.5 Option Vega Risk 175
5.5.1 Vega Risk and the Black-Scholes Anomalies 176
5.5.2 The Option Implied Volatility Surface 180
5.5.3 Measuring Vega Risk 183
Further Reading 190
CHAPTER 6
Credit and Counterparty Risk 191
6.1 Defining Credit Risk 192
6.2 Credit-Risky Securities 193
6.2.1 The Economic Balance Sheet of the Firm 193
6.2.2 Capital Structure 194
6.2.3 Security, Collateral, and Priority 195
6.2.4 Credit Derivatives 196
6.3 Transaction Cost Problems in Credit Contracts 196
6.4 Default and Recovery: Analytic Concepts 199
6.4.1 Default 199
6.4.2 Probability of Default 200
6.4.3 Credit Exposure 201
4.3 VaR for Default-Free Fixed Income Securities Using
The Duration and Convexity Mapping 148
4.3.1 Duration 149
4.3.2 Interest-Rate Volatility and Bond Price Volatility 150
4.3.3 Duration-Only VaR 152
4.3.4 Convexity 154
4.3.5 VaR Using Duration and Convexity 155
Further Reading 156
CHAPTER 5
Portfolio VaR for Market Risk 159
5.1 The Covariance and Correlation Matrices 160
5.2 Mapping and Treatment of Bonds and Options 162
5.3 Delta-Normal VaR 163
5.3.1 The Delta-Normal Approach for a Single
Position Exposed to a Single Risk Factor 164
5.3.2 The Delta-Normal Approach for a Single
Position Exposed to Several Risk Factors 166
5.3.3 The Delta-Normal Approach for a Portfolio
of Securities 168
5.4 Portfolio VAR via Monte Carlo simulation 174
5.5 Option Vega Risk 175
5.5.1 Vega Risk and the Black-Scholes Anomalies 176
5.5.2 The Option Implied Volatility Surface 180
5.5.3 Measuring Vega Risk 183
Further Reading 190
CHAPTER 6
Credit and Counterparty Risk 191
6.1 Defining Credit Risk 192
6.2 Credit-Risky Securities 193
6.2.1 The Economic Balance Sheet of the Firm 193
6.2.2 Capital Structure 194
6.2.3 Security, Collateral, and Priority 195
6.2.4 Credit Derivatives 196
6.3 Transaction Cost Problems in Credit Contracts 196
6.4 Default and Recovery: Analytic Concepts 199
6.4.1 Default 199
6.4.2 Probability of Default 200
6.4.3 Credit Exposure 201
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