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Author: Marcus Schulmerich
Publisher: Springer
ISBN: 364255444X
Category : Business & Economics
Languages : en
Pages : 491
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Book Description
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.
Author: Marcus Schulmerich
Publisher: Springer
ISBN: 364255444X
Category : Business & Economics
Languages : en
Pages : 491
Get Book Here
Book Description
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.
Author: Louis Esch
Publisher: John Wiley & Sons
ISBN: 0470012587
Category : Business & Economics
Languages : en
Pages : 424
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Book Description
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
Author: Clifford Rossi
Publisher: John Wiley & Sons
ISBN: 1118953045
Category : Business & Economics
Languages : en
Pages : 573
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Book Description
Balanced, practical risk management for post – financial crisis institutions A Risk Professional's Survival Guide fills a critical gap left by existing risk management texts. Instead of focusing only on quantitative risk analysis or only on institutional risk management, this book takes a comprehensive approach. The disasters of the recent financial crisis taught us that managing risk is both an art and a science, and it is critical for practitioners to understand how individual risks are integrated at the enterprise level. This book is the only resource of its kind to introduce all of the key risk management concepts in a cohesive case study spanning each chapter. A hypothetical bank drawn from elements of several real world institutions serves as a backdrop for topics from credit risk and operational risk to understanding big-picture risk exposure. You will be able to see exactly how each rigorous concept is applied in actual risk management contexts. This book includes: Supplemental Excel-based Visual Basic (VBA) modules, so you can interact directly with risk models Clear explanations of the importance of risk management in preventing financial disasters Real world examples and lessons learned from past crises Risk policies, infrastructure, and activities that balance limited quantitative models This book provides the element of hands-on application necessary to put enterprise risk management into effective practice. The very best risk managers rely on a balanced approach that leverages every aspect of financial operations for an integrative risk management strategy. With this book, you can identify and control risk at an expert level.
Author: Michele Leonardo Bianchi
Publisher: World Scientific
ISBN: 9813276215
Category : Business & Economics
Languages : en
Pages : 598
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Book Description
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Author: Mark H A Davis
Publisher: World Scientific
ISBN: 9814578061
Category : Business & Economics
Languages : en
Pages : 414
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Book Description
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
Author: Alexander Borek
Publisher: Newnes
ISBN: 0124058612
Category : Computers
Languages : en
Pages : 315
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Book Description
How well does your organization manage the risks associated with information quality? Managing information risk is becoming a top priority on the organizational agenda. The increasing sophistication of IT capabilities along with the constantly changing dynamics of global competition are forcing businesses to make use of their information more effectively. Information is becoming a core resource and asset for all organizations; however, it also brings many potential risks to an organization, from strategic, operational, financial, compliance, and environmental to societal. If you continue to struggle to understand and measure how information and its quality affects your business, this book is for you. This reference is in direct response to the new challenges that all managers have to face. Our process helps your organization to understand the "pain points" regarding poor data and information quality so you can concentrate on problems that have a high impact on core business objectives. This book provides you with all the fundamental concepts, guidelines and tools to ensure core business information is identified, protected and used effectively, and written in a language that is clear and easy to understand for non-technical managers. - Shows how to manage information risk using a holistic approach by examining information from all sources - Offers varied perspectives of an author team that brings together academics, practitioners and researchers (both technical and managerial) to provide a comprehensive guide - Provides real-life case studies with practical insight into the management of information risk and offers a basis for broader discussion among managers and practitioners
Author: Attilio Meucci
Publisher: Springer Science & Business Media
ISBN: 3642009646
Category : Business & Economics
Languages : en
Pages : 547
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Book Description
Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
Author: Jimmy Skoglund
Publisher: John Wiley & Sons
ISBN: 1119157234
Category : Business & Economics
Languages : en
Pages : 578
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Book Description
A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.
Author: Dennis Uyemura
Publisher: McGraw-Hill
ISBN: 9780071747189
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Presents an in-depth review of the tremendous risk and volatility in bank financial management. This book provides a comprehensive overview of aggressive asset and liability management (ALM) and demonstrates how ALM can strengthen the capital position of a financial institution.
Author: Julian Talbot
Publisher: John Wiley & Sons
ISBN: 111821126X
Category : Business & Economics
Languages : en
Pages : 486
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Book Description
A framework for formalizing risk management thinking in today¿s complex business environment Security Risk Management Body of Knowledge details the security risk management process in a format that can easily be applied by executive managers and security risk management practitioners. Integrating knowledge, competencies, methodologies, and applications, it demonstrates how to document and incorporate best-practice concepts from a range of complementary disciplines. Developed to align with International Standards for Risk Management such as ISO 31000 it enables professionals to apply security risk management (SRM) principles to specific areas of practice. Guidelines are provided for: Access Management; Business Continuity and Resilience; Command, Control, and Communications; Consequence Management and Business Continuity Management; Counter-Terrorism; Crime Prevention through Environmental Design; Crisis Management; Environmental Security; Events and Mass Gatherings; Executive Protection; Explosives and Bomb Threats; Home-Based Work; Human Rights and Security; Implementing Security Risk Management; Intellectual Property Protection; Intelligence Approach to SRM; Investigations and Root Cause Analysis; Maritime Security and Piracy; Mass Transport Security; Organizational Structure; Pandemics; Personal Protective Practices; Psych-ology of Security; Red Teaming and Scenario Modeling; Resilience and Critical Infrastructure Protection; Asset-, Function-, Project-, and Enterprise-Based Security Risk Assessment; Security Specifications and Postures; Security Training; Supply Chain Security; Transnational Security; and Travel Security.
