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Second Edition
Donald R. van Deventer, Kenji Imai, Mark Mesler
《高级金融风险管理 - 整合信贷风险与利率风险管理的工具与技术》
Donald R. van Deventer, Kenji Imai, Mark Mesler(auth.)-Advanced Financial Risk M.pdf
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【Introduction】
This book is written by experienced risk managers, integrating interest rate risk, credit risk, FX risk and capital allocation using a consistent risk management approach. It explains, in detailed yet understandable terms, the analytics of interest rate risk, credit risk, foreign exchange risk and capital allocation from A to Z. This book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions, and includes:he basics of present value, forward rates and interest rate compounding;merican fixed income options vs. European options;efault probability modelsrepayment modelsortality modelshe wide variety of alternatives term structure models to the basic Vasicek model. Advanced Financial Risk Management outlines an integrated framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a fully integrated basis. In Advanced Financial Risk Management Donald R. van Deventer and Kenji Imai, joined by Mark Mesler, extend the concepts outlined in their previous book Credit Risk Models and the Basel Accords and update their 1996 work Financial Risk Analytics. The authors lay out a comprehensive strategy of risk management measures, objectives, and hedging techniques that apply to all types of institutions. They describe a performance measurement approach that goes far beyond traditional capital allocation techniques in measuring risk-adjusted shareholder value creation. Most important, the authors supplement this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives.
【Contents】
Introduction: Wall Street Lessons from Bubbles xxiii
Key Fallacies in Risk Management xxiii
Selected Events in the Credit Crisis xxviii
PART ONE Risk Management: Definitions and Objectives
CHAPTER 1
A Risk Management Synthesis: Market Risk, Credit Risk, Liquidity Risk, and Asset and Liability Management 3
CHAPTER 2
Risk, Return, Performance Measurement, and Capital Regulation 15
PART TWO Risk Management Techniques for Interest Rate Analytics
CHAPTER 3
Interest Rate Risk Introduction and Overview 45
CHAPTER 4
Fixed Income Mathematics: The Basic Tools 59
CHAPTER 5
Yield Curve Smoothing 73
CHAPTER 6
Introduction to Heath, Jarrow, and Morton Interest Rate Modeling 123
CHAPTER 7
HJM Interest Rate Modeling with Rate and Maturity-Dependent Volatility 142
CHAPTER 8
HJM Interest Rate Modeling with Two Risk Factors 161
CHAPTER 9
HJM Interest Rate Modeling with Three Risk Factors 190
CHAPTER 10
Valuation, Liquidity, and Net Income 230
CHAPTER 11 Interest Rate Mismatching and Hedging 250
CHAPTER 12
Legacy Approaches to Interest Rate Risk Management 257
CHAPTER 13
Special Cases of Heath, Jarrow, and Morton Interest Rate Modeling 283
CHAPTER 14
Estimating the Parameters of Interest Rate Models 316
PART THREE Risk Management Techniques for Credit Risk Analytics
CHAPTER 15
An Introduction to Credit Risk: Using Market Signals in Loan Pricing and Performance Measurement 335
CHAPTER 16
Reduced Form Credit Models and Credit Model Testing 359
CHAPTER 17
Credit Spread Fitting and Modeling 396
CHAPTER 18
Legacy Approaches to Credit Risk 421
CHAPTER 19
Valuing Credit Risky Bonds 453
CHAPTER 20
Credit Derivatives and Collateralized Debt Obligations 473
PART FOUR Risk Management Applications: Instrument by Instrument
CHAPTER 21
European Options on Bonds 495
CHAPTER 22
Forward and Futures Contracts 513
CHAPTER 23
European Options on Forward and Futures Contracts 531
CHAPTER 24
Caps and Floors 548
CHAPTER 25
Interest Rate Swaps and Swaptions 567
CHAPTER 26
Exotic Swap and Options Structures 580
CHAPTER 27
American Fixed Income Options 596
CHAPTER 28
Irrational Exercise of Fixed Income Options 622
CHAPTER 29
Mortgage-Backed Securities and Asset-Backed Securities 639
CHAPTER 30
Nonmaturity Deposits 656
CHAPTER 31
Foreign Exchange Markets 675
CHAPTER 32
Impact of Collateral on Valuation Models: The Example of Home Prices in the Credit Crisis 682
CHAPTER 33
Pricing and Valuing Revolving Credit and Other Facilities 694
CHAPTER 34
Modeling Common Stock and Convertible Bonds on a Default-Adjusted Basis 700
CHAPTER 35
Valuing Insurance Policies and Pension Obligations 708
PART FIVE Portfolio Strategy and Risk Management
CHAPTER 36
Value-at-Risk and Risk Management Objectives Revisited at the Portfolio and Company Level 719
CHAPTER 37
Liquidity Analysis and Management: Examples from the Credit Crisis 735
CHAPTER 38
Performance Measurement: Plus Alpha vs. Transfer Pricing 765
CHAPTER 39
Managing Institutional Default Risk and Safety and Soundness 783
CHAPTER 40
Information Technology Considerations 793
CHAPTER 41
Shareholder Value Creation and Destruction 800
Postscript 808
Bibliography 809
Index 819
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