Financial Risk Management: Models, History, and Institutions [Malz] 9780470481806

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

頁數：756
版次：第1版
年份：2011年
規格：精裝/單色
ISBN：9780470481806

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