Financial Risk Management: Models, History, and Institutions
暫譯: 金融風險管理：模型、歷史與機構

Malz

Financial Risk Management: Models, History, and Institutions
  • 出版日期: 2011-10-04
  • 定價: $1,500
  • 售價: 9.8 折 $1,470
  • 語言: 英文
  • 頁數: 756
  • 裝訂: 精裝
  • ISBN: 0470481803
  • ISBN-13: 9780470481806
  • 相關分類: Fintech

    • 下單後立即進貨 (約5~7天)

商品描述

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

商品描述(中文翻譯)

金融風險已成為金融和非金融公司、個人及政策制定者的關注焦點。然而，風險的研究在金融領域仍然是一個相對較新的學科，並持續不斷地被精煉。自2007年開始的金融市場危機突顯了管理金融風險的挑戰。在《金融風險管理》一書中，作者 Allan Malz 討論了圍繞這一學科的基本問題，分享了他作為風險研究者、風險管理者和中央銀行家的豐富職業經驗。本書包括標準的風險測量模型以及針對選擇權、結構性信用風險和風險建模的現實複雜性所提出的替代模型，並提供了金融創新、流動性、槓桿和金融危機的機構及歷史背景，這對於金融從業者和學生理解當今世界至關重要。

《金融風險管理》同樣適合尋求該主題基礎的公司風險管理者、經濟學家和政策制定者。這本及時的指南巧妙地概述了金融風險的全貌以及近幾十年導致危機的金融發展。本書提供了我們面對的不同類型金融風險的全面概述，以及用於測量和管理這些風險的技術。涵蓋的主題包括：

- 市場風險，從風險價值（Value-at-Risk, VaR）到選擇權的風險模型
- 信用風險，從投資組合信用風險到結構性信用產品
- 模型風險和驗證
- 風險資本和壓力測試
- 流動性風險、槓桿、系統性風險及其形式
- 金融危機，歷史和當前的原因及特徵
- 金融監管及其在全球危機後的演變
- 以及更多內容

《金融風險管理》結合了過去二十年來風險管理的模型導向方法與經濟學家對同一問題的看法，是當今複雜世界中該主題的必備指南。

作者簡介

ALLAN M. MALZ is a Senior Analytical Advisor in the Markets Group at the Federal Reserve Bank of New York, where he has also worked on implementation of the Fed's emergency liquidity programs to address the financial crisis. Before rejoining the Fed, he was chief risk officer at several multi-strategy hedge fund management firms. Previously, Malz was head of research at RiskMetrics Group, which he joined on its spinoff from J.P. Morgan. Malz spent his earlier career at the New York Fed as a researcher and foreign exchange trader. His research, which includes forecasting financial crises, risk measurement for options, and estimation of risk-neutral probability distributions, has been published in a number of industry and academic journals. Malz holds a PhD in economics from Columbia University, where he also teaches a graduate course in financial risk management

作者簡介(中文翻譯)

ALLAN M. MALZ 是紐約聯邦儲備銀行市場部的高級分析顧問，他曾參與聯邦儲備系統應對金融危機的緊急流動性計劃的實施。在重新加入聯邦儲備系統之前，他曾擔任多家多策略對沖基金管理公司的首席風險官。之前，Malz 是 RiskMetrics Group 的研究主管，該公司是他從摩根大通分拆出來後加入的。Malz 的早期職業生涯是在紐約聯邦儲備銀行擔任研究員和外匯交易員。他的研究涵蓋了金融危機預測、期權風險測量以及風險中性概率分佈的估算，並已在多個行業和學術期刊上發表。Malz 擁有哥倫比亞大學的經濟學博士學位，並在該校教授金融風險管理的研究生課程。

目錄大綱

CHAPTER 1: Financial Risk in a Crisis-Prone World
CHAPTER 2: Market Risk Basics
CHAPTER 3: Value-at-Risk
CHAPTER 4: Nonlinear Risks and the Treatment of Bonds and Options
CHAPTER 5: Portfolio VaR for Market Risk
CHAPTER 6: Credit and Counterparty Risk
CHAPTER 7: Spread Risk and Default Intensity Models
CHAPTER 8: Portfolio Credit Risk
CHAPTER 9: Structured Credit Risk
CHAPTER 10: Alternatives to the Standard Market Risk Model
CHAPTER 11: Assessing the Quality of Risk Measures
CHAPTER 12: Liquidity and Leverage
CHAPTER 13: Risk Control and Mitigation
CHAPTER 14: Financial Crises
CHAPTER 15: Financial Regulation

目錄大綱(中文翻譯)

CHAPTER 1: Financial Risk in a Crisis-Prone World

CHAPTER 2: Market Risk Basics

CHAPTER 3: Value-at-Risk

CHAPTER 4: Nonlinear Risks and the Treatment of Bonds and Options

CHAPTER 5: Portfolio VaR for Market Risk

CHAPTER 6: Credit and Counterparty Risk

CHAPTER 7: Spread Risk and Default Intensity Models

CHAPTER 8: Portfolio Credit Risk

CHAPTER 9: Structured Credit Risk

CHAPTER 10: Alternatives to the Standard Market Risk Model

CHAPTER 11: Assessing the Quality of Risk Measures

CHAPTER 12: Liquidity and Leverage

CHAPTER 13: Risk Control and Mitigation

CHAPTER 14: Financial Crises

CHAPTER 15: Financial Regulation

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