Финансовые риски стали фокусом внимания как финансовых, так и нефинансовых компаний, частных лиц и лиц, определяющих политику. Но изучение риска остается относительно новой дисциплиной в финансах и продолжает совершенствоваться. Финансовый кризис, начавшийся в 2007 году, высветил проблемы управления финансовыми рисками. Теперь, в книге "Финансовый риск-менеджмент", автор Аллан Мальц затрагивает ключевые вопросы этой дисциплины, делясь своим обширным опытом работы в качестве исследователя рисков, риск-менеджера и центрального банкира.
В книге представлены стандартные модели измерения рисков, а также альтернативные модели, описывающие опционы, структурированные кредитные риски и реалии моделирования рисков. Также дается институциональный и исторический фон финансовых инноваций, ликвидности, левериджа и финансовых кризисов, критически важный для практиков и студентов финансов, чтобы понимать современный мир.
Книга одинаково подходит для управляющих рисками компаний, экономистов и лиц, определяющих политику, ищущих основы предмета. Этот своевременный гид искусно охватывает ландшафт финансовых рисков и финансовые события последних десятилетий, которые привели к кризису.
Книга дает всесторонний обзор разных типов финансовых рисков, с которыми мы сталкиваемся, а также методов их измерения и управления. Освещаются такие темы:
- Рыночный риск от VaR до моделей риска для опционов
- Кредитный риск от портфельного кредитного риска до структурированных кредитных продуктов
- Модельный риск и валидация
- Риск-капитал и стресс-тестирование
- Риск ликвидности, леверидж, системный риск и их проявления
- Финансовые кризисы, исторические и текущие, их причины и характеристики
- Эволюция финансового регулирования после глобального кризиса
И многое другое. Сочетая более ориентированный на модели подход к управлению рисками, как он развивался в последние два десятилетия, с подходом экономиста к тем же вопросам, книга "Финансовый риск-менеджмент" - незаменимое руководство по этой теме для современного сложного мира.
Financial risk has come to be at the heart of attention for both financial and non-financial firms, individual investors, and regulators. Yet the study of how best to meet this risk’s uncertain consequences remains a developing discipline within finance, which continues to develop and refine itself.
The financial crisis starting in 2007 brought into stark relief the difficulties encountered in managing financial risks. Now Allan Malz provides a detailed account of this critical area of finance in Financial Risk Management: Models, History, Institutions. An accomplished risk modeler, researcher, and manager who spent time in prominent positions in the banking and central banking sectors, Malz brings together his vast professional experience and expertise for your benefit.
This book covers risk model measurement as developed by traditional approaches such as Value at Risk as well as innovatives focusing on options, structured products, or the complexities of modern risk modeling. It provides the historical and institutional frame allowing you to understand the longstanding history of events that shaped modern innovation and eventual crisis in financial markets.
Building on his wide-ranging expertise, Malz skillfully explains the differences between the types of financial risks we are now facing, the relevant measures and strategies we employ in their management, and extensively reviews market, credit, model, liquidity, and other types of risk. You will learn how these risks are conceived, classified, measured, compared, and quantified so that they can be effectively managed. Key among these topics are:
* market risks and their traditional measurement using VaR, followed by a review of options-based approaches * the wider notion of credit risks as part of portfolio risk but also as underlying constituent risk of structured products * further consideration given to model risks and methods used to assess them * an examination of sound risk capital management and its numerous elements * a thorough review of regulatory issues impacting financial intermediaries at the turn of the century
Put forth in an accessible manner, Financial Risk Measurement is ideally suited for those managing firm risk, advising policy, or inquiring into the core tenets of finance. Allan Malz strives to present the vital connections that presented today’s volatile financial ecosystem requires, making this a clearly indispensable primer on modern financial frontiers.
Электронная Книга «Financial Risk Management. Models, History, and Institutions» написана автором Allan Malz M. в году.
Минимальный возраст читателя: 0
Язык: Английский
ISBN: 9781118022894
Описание книги от Allan Malz M.
Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.
