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- Product code: 21042
- ISBN: 0471491446,
ISBN13: 9780471491446,
424 pages, hardback
Published by John Wiley & Sons Inc on 2005
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Description of Value at Risk |
The aim of this book is to study three essential components of modern finance - Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together. It is divided into five parts. Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions. Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options. Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology. Part IV is the point at which Asset Management and Risk Management meet.It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe's simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.
Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet. The book is aimed both at financial professionals and at students whose studies contain a financial aspect. 'Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management' - Harry M Markowitz, San Diego, USA.
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Contents of Value at Risk |
Collaborators
Foreword by Philippe Jorion
Acknowledgements
Introduction
Areas covered
Who is this book for?
PART ONE: MASSIVE CHANGES IN THE WORLD OF FINANCE
Introduction
1. The Regulatory Context
1.1 Precautionary surveillance
1.2 The Basle Committee
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 TWO: EVALUATING FINANCIAL ASSETS
Introduction
3. Shares
3.1 The basics
3.2 Portfolio diversification and management
3.3 Model of financial asset equilibrium and applications
3.4 Share development models
4. Debentures
4.1 Characteristics and evaluation
4.2 Debentures and financial risk
4.3 Determinist structure of interest rates
4.4 Debenture portfolio management strategies
4.5 Stochastic debenture development models
5. Options
5.1 Definitions
5.2 Value of an option
5.3 Evaluation models
5.4 Strategies on options
PART THREE: GENERAL THEORY OF VA
Introduction
6. Theory of VAR
6.1 The concept of "risk per share"
6.2 VAR for an isolated asset
6.3 VAR for a portfolio
7. VAR Estimation Techniques
7.1. General problems in estimating VAR
7.2 Estimated variation and co-variation matrix method
7.3 The Monte Carlo simulation
7.4 Historical simulation
7.5 Advantages and shortcomings
8. Setting up a VAR Methodology
8.1 Putting together the database
8.2 Calculations
8.3 The normality hypothesis
PART FOUR: FROM RISK MANAGEMENT TO ASSET MANAGEMENT
Introduction
9. Portfolio Risk Management
9.1 General principles
9.2 Method of portfolio risk management
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 SICAV
11.1 Absolute global risk
11.2 Relative global risk / tracking error
11.3 Relative fund risk abacus compared to benchmark
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 FIVE: FROM RISK MANAGEMENT TO ASSET AND LIABILITY MANAGEMENT
Introduction
12. Techniques for Measuring Structural Balance Sheet Risks
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 revisable rates)
12.5 Replicating portfolios
ANNEXES
Annex 1: Mathematical Concepts
Annex 2: Probability Concepts
Annex 3: Statistical Concepts
Annex 4: Extreme Value Theory
Annex 5: Canonical Correlations
Annex 6: Algebraic Presentation of Logistical Regression
Annex 7: Temporal Series Models: ARCH-GARCH - EGARCH
Annex 8: Numerical Methods for Resolving Non-linear Equations
Bibliography
Index
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About Louis Esch, Robert Kieffer and Thierry Lopez |
Louis Esch Doctor of Mathematical Science at the University of Liege, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liege, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liege. Robert Kieffer Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training. Thierry Lopez Certificated Business Engineer at the School of Higher Business Studies in Liege, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liege, Professor of Honour at the School of Higher Business Studies in Liege, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals). Assisted by: Christian Berbe, Pascal Damel, Michel Debay, Jean-Francois Hannosset.
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