Models at Work [electronic resource] : A Practitioner's Guide to Risk Management /
Farid, J.author.
This book provides a much needed 'middle ground' for risk practitioners who need an in-depth understanding of risk management without excessive formulae or theory. Written to appeal to a broad but financially-minded audience, it provides coverage of risk management and the frameworks commonly applied in the financial services industry.
Description based upon print version of record.
Cover; Half-Title; Series List; Title; Copyright; Dedication; Contents; List of Figures; Preface; Acknowledgments; About the Author; Part I; 1 What is Risk?; Price volatility; 1. Price volatility: a first look - Methods 1 and 2; 2. Ramping up sophistication - Method 3; 3. A histogram of volatility distribution - Method 4; What is risk?; 1. How should one think about risk?; 2. Thinking about risk - from exposure to impact; Estimating exposure and impact - Emirates airline; 1. What is Emirates' exposure?; 2. What is the trend for Emirates' exposure?; 3. What is the impact?
4. What is Emirates' risk appetite?5. Conclusions from the Emirates example; Parting words; Annexure 1 - Building a histogram in EXCEL; Annexure 2 - Trailing (rolling) correlations and volatilities; 1. Rolling volatilities; 2. Rolling correlations; 2 Measuring Risk; Exploring target accounts; 1. Target accounts and management action: value at risk and stop loss limits; Introducing value at risk; 1. What is value at risk?; 2. Value at risk methods; 3. Caveats, qualifications, limitations and issues; 4. Risk or factor sensitivities; Calculating value at risk - step by step walkthrough
1. Methodology2. VaR approach specific steps; 3. Proof of equivalence: short-cut method versus VCV matrix approaches to portfolio VaR; Value at risk for bonds; 1. Calculating VaR for bonds; Annexure 1 - Calculating value at risk: a study of VaR flavors; 1. Variance/Covariance (VCV) approach; 2. Historical simulation approach; 3. Monte Carlo simulation approach; 4. Incremental VaR; 5. Marginal VaR; 6. Conditional VaR; 7. Probability of shortfall; Annexure 2 - Value at risk application: margin lending case study; 1. Designing a solution
Annexure 3 - Probability of default modeling using Merton's structured approach1. The valuation of firm equity as a call option on firms assets; 3 Managing Risks; A framework for risk management; 1. Risk policy; 2. Good data and a first look at models; 3. Models and tools; 4. Metrics and sensitivities; 5. Limits and control process; 6. Conclusion; Setting limits; 1. Capital loss and stop loss limits; 2. Value at risk limits; 3. Regulatory approach limits; 4. Other market risk limits; 5. Credit risk limits; 6. Application to products; 7. Setting limits for liquidity risk
8. Setting limits for interest rate risk9. Limit breach, exception processing, action plan for trigger zones; Annexure 1 - Setting stop loss limits; 1. A guide to setting stop loss limits; 2. Stop loss limits example and case study; 3. Setting stop loss limits - limit review triggers and back testing; Annexure 2 - Risk metrics; 1. Holding period return; 2. Standard deviation/volatility (Vol)/s; 3. Annualized return; 4. Annualized volatility; 5. Duration; 6. Convexity; 7. Sharpe ratio; 8. Put premium; 9. Beta with respect to market indices; 10. Treynor ratio; 11. Jensen's Alpha
12. Correlation coefficient, r
Includes bibliographical references and index.
This book provides a much needed 'middle ground' for risk practitioners who need an in-depth understanding of risk management without excessive formulae or theory. Written to appeal to a broad but financially-minded audience, it provides coverage of risk management and the frameworks commonly applied in the financial services industry.
Risk management.
International business enterprises.
Business enterprises-Finance.
Financial engineering.
Management.
Economics.
Management science.
Risk Management.
International Business.
Business Finance.
Financial Engineering.
Management.
Economics, general.