Hedging Market Exposures · Identifying and Managing Market Risks (Wiley Finance) by Bychuk, Oleg V. -- Read -- Imperial Library of Trantor

Index

Series Title Page Copyright Preface Introduction

PORTFOLIO RISKS RISK MANAGEMENT TRIAD RISK MANAGEMENT IN PRACTICE INTENDED AUDIENCE BOOK OUTLINE

About the Authors Chapter 1: The Economic Environment

1.1. INTRODUCTION 1.2. INFLATION AND UNEMPLOYMENT 1.3. CENTRAL BANKS AND THE MONEY SUPPLY 1.4. THE BUSINESS CYCLE 1.5. PREDICTING THE FUTURE? 1.6. ECONOMIC INDICATORS

Chapter 2: Risk: An Introduction

2.1. WHAT IS RISK? 2.2. RISKS OF FINANCIAL INSTRUMENTS 2.3. OPERATIONAL RISK 2.4. WHAT RISKS ARE IN YOUR PORTFOLIO? HIDDEN HAZARDS 2.5. HEDGING MARKET RISKS

Chapter 3: Asset Modeling

3.1. ASSET VALUE 3.2. FINANCIAL MODELS 3.3. VALUATION PRINCIPLES 3.4. DISCOUNT RATES SELECTION 3.5. CASH FLOW PROJECTION AND ASSET VALUATION 3.6. STOCHASTIC ASSET VALUATION 3.7. THE MONTE CARLO METHOD 3.8. STOCHASTIC EXTRAPOLATION

Chapter 4: Market Exposures and Factor Sensitivities

4.1. FROM VALUATION TO RESPONSES AND SENSITIVITIES 4.2. RESPONSE MATRIX AND SCENARIO GRID 4.3. STRESS-TESTING 4.4. SENSITIVITIES 4.5. INTEREST RATE SENSITIVITIES: DURATION, PV01, CONVEXITY, KEY RATE MEASURES 4.6. NUMERICAL EVALUATION OF SENSITIVITIES 4.7. PERFORMANCE ATTRIBUTION AND COMPLETENESS TEST

Chapter 5: Quantifying Portfolio Risks

5.1. THE NATURE OF RISK 5.2. STANDARD RISK MEASURES 5.3. OPTIMAL HEDGE SIZING 5.4. TAIL-RISK MEASURES

Chapter 6: The Decision to Hedge

6.1. TO HEDGE OR NOT TO HEDGE? 6.2. THE HEDGING PROCESS

Chapter 7: Constructing a Hedge

7.1. AN IDEAL HEDGE 7.2. A SAMPLE HEDGE 7.3. STATIC AND DYNAMIC HEDGING 7.4. PROXY HEDGING 7.5. PROTECTION VERSUS UPSIDE 7.6. BASIS RISK 7.7. UNINTENDED CONSEQUENCES 7.8. HEDGING CREDIT RISK 7.9. HEDGING PREPAYMENT, REDEMPTION, AND OTHER HUMAN BEHAVIOR RISKS 7.10 EXECUTION

Appendix A: Basics of Probability Theory

PROBABILITY AND RANDOM PHENOMENA PROBABILITY DISTRIBUTION FUNCTION EXPECTED VALUES MOMENTS OF PROBABILITY DISTRIBUTION MEASURES OF CENTRAL TENDENCY SOME COMMONLY USED DISTRIBUTIONS MULTIVARIATE DISTRIBUTIONS CENTRAL LIMIT THEOREM

Appendix B: Elements of Statistics and Time Series Analysis References Glossary Index