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Dieses Buch bietet einen neuen Ansatz für die Anwendung der Value at Risk-Methode (VaR) beim Aktiv-Passiv-Management. Das Aktiv-Passiv-Management beschäftigt sich mit der Gewährleistung der laufzeitkongruenten Deckung von Aktiv- und Passivpositionen und ist daher unverzichtbar für Transaktionen von Finanzinstitutionen. Der Autor erläutert hier das Risikomanagement von Finanzinstitutionen im Aktiv-Passiv-Bereich, und zwar insbesondere für Versicherungsunternehmen, offene Investmentfonds, Pensionskassen, Hedge Funds usw. Nach einer detaillierten Einführung in VaR, konzentriert er sich vorrangig…mehr
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Dieses Buch bietet einen neuen Ansatz für die Anwendung der Value at Risk-Methode (VaR) beim Aktiv-Passiv-Management. Das Aktiv-Passiv-Management beschäftigt sich mit der Gewährleistung der laufzeitkongruenten Deckung von Aktiv- und Passivpositionen und ist daher unverzichtbar für Transaktionen von Finanzinstitutionen. Der Autor erläutert hier das Risikomanagement von Finanzinstitutionen im Aktiv-Passiv-Bereich, und zwar insbesondere für Versicherungsunternehmen, offene Investmentfonds, Pensionskassen, Hedge Funds usw. Nach einer detaillierten Einführung in VaR, konzentriert er sich vorrangig auf die Anwendung dieser Methode auf das Aktiv-Passiv-Management und das Portfolio Management. Die Begleit-CD enthält Software und Beispiele aus dem Buch, z.B. zur Varianz/Covarianz Matrix und zu Monte Carlo Simulationen sowie Beispiele zur Optimierung des Aktiv-Management, zu Differenzpositionen in der Aktiv- und Passivsteuerung und zu VaR-Schätzungen.
Produktdetails
- Produktdetails
- Wiley Finance Series
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 396
- Erscheinungstermin: 1. März 2005
- Englisch
- Abmessung: 229mm x 164mm x 30mm
- Gewicht: 975g
- ISBN-13: 9780471491446
- ISBN-10: 0471491446
- Artikelnr.: 12962568
- Wiley Finance Series
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 396
- Erscheinungstermin: 1. März 2005
- Englisch
- Abmessung: 229mm x 164mm x 30mm
- Gewicht: 975g
- ISBN-13: 9780471491446
- ISBN-10: 0471491446
- Artikelnr.: 12962568
Louis Esch Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liège. Robert Kieffer Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training. Thierry Lopez Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals). Assisted by: Christian Berbé, Pascal Damel, Michel Debay, Jean-François Hannosset.
Collaborators. Foreword by Philippe Jorion. Acknowledgements. Introduction.
Areas covered. Who is this book for? PART I: THE MASSIVE CHANGES IN THE
WORLD OF FINANCE. Introduction. 1 The Regulatory Context 1.1 Precautionary
surveillance. 1.2 The Basle Committee. 1.2.1 General information. 1.2.2
Basle II and the philosophy of operational risk. 1.3 Accounting standards.
2 Changes in Financial Risk Management. 2.1 Definitions. 2.2 Changes in
financial risk management. 2.3 A new risk-return world. PART II: EVALUATING
FINANCIAL ASSETS. Introduction 3 Equities. 3.1 The basics. 3.2 Portfolio
diversification and management. 3.3 Model of financial asset equilibrium
and applications. 3.4 Equity dynamic models. 4 Bonds. 4.1 Characteristics
and valuation. 4.2 Bonds and financial risk. 4.3 Deterministic structure of
interest rates. 4.4 Bond portfolio management strategies. 4.5 Stochastic
bond dynamic models. 5 Options. 5.1 Definitions. 5.2 Value of an option.
5.3 Valuation models. 5.4 Strategies on options. PART III: GENERAL THEORY
OF VaR. Introduction. 6 Theoryof VaR. 6.1 The concept of 'risk per share'.
6.2 VaR for a single asset. 6.3 VaR for a portfolio. 7 VaR Estimation
Techniques. 7.1 General questions in estimating VaR. 7.2 Estimated
variance-covariance matrix method. 7.3 Monte Carlo simulation. 7.4
Historical simulation. 7.5 Advantages and drawbacks. 8 Setting Up a VaR
Methodology. 8.1 Putting together the database. 8.2 Calculations. 8.3 The
normality hypothesis.- PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction. 9 Portfolio Risk Management. 9.1 General principles. 9.2
Portfolio risk management method. 10 Optimising the Global Portfolio via
VaR. 10.1 Taking account of VaR in Sharpe's simple index method. 10.2
Taking account of VaR in the EGP method. 10.3 Optimising a global portfolio
via VaR. 11 Institutional Management: APT Applied to Investment Funds. 11.1
Absolute global risk. 11.2 Relative global risk/tracking error. 11.3
Relative fund risk vs. benchmark abacus. 11.4 Allocation of systematic
risk. 11.5 Allocation of performance level. 11.6 Gross performance level
and risk withdrawal. 11.7 Analysis of style. PART V: FROM RISK MANAGEMENT
TO ASSET AND LIABILITY MANAGEMENT. Introduction. 12 Techniques for
Measuring Structural Risks in Balance Sheets. 12.1 Tools for structural
risk analysis in asset and liability management. 12.2 Simulations. 12.3
Using VaR in ALM. 12.4 Repricing schedules (modelling of contracts with
floating rates). 12.5 Replicating portfolios. APPENDICES. Appendix 1:
Mathematical Concepts. 1.1 Functions of one variable. 1.2 Functions of
several variables. 1.3 Matrix calculus. Appendix 2: Probabilistic Concepts.
2.1 Random variables. 2.2 Theoretical distributions. 2.3 Stochastic
processes. Appendix 3: Statistical Concepts. 3.1 Inferential statistics.
3.2 Regressions. Appendix 4: Extreme Value Theory. 4.1 Exact result. 4.2
Asymptotic results. Appendix 5 Canonical Correlations. 5.1 Geometric
presentation of the method. 5.2 Search for canonical characters. Appendix
6: Algebraic Presentation of Logistic Regression. Appendix 7: Time Series
Models: ARCH-GARCH and EGARCH. 7.1 ARCH-GARCH models. 7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations. 8.1 General
principles for iterative methods. 8.2 Principal methods. 8.3 Nonlinear
equation systems. Bibliography. Index.
Areas covered. Who is this book for? PART I: THE MASSIVE CHANGES IN THE
WORLD OF FINANCE. Introduction. 1 The Regulatory Context 1.1 Precautionary
surveillance. 1.2 The Basle Committee. 1.2.1 General information. 1.2.2
Basle II and the philosophy of operational risk. 1.3 Accounting standards.
2 Changes in Financial Risk Management. 2.1 Definitions. 2.2 Changes in
financial risk management. 2.3 A new risk-return world. PART II: EVALUATING
FINANCIAL ASSETS. Introduction 3 Equities. 3.1 The basics. 3.2 Portfolio
diversification and management. 3.3 Model of financial asset equilibrium
and applications. 3.4 Equity dynamic models. 4 Bonds. 4.1 Characteristics
and valuation. 4.2 Bonds and financial risk. 4.3 Deterministic structure of
interest rates. 4.4 Bond portfolio management strategies. 4.5 Stochastic
bond dynamic models. 5 Options. 5.1 Definitions. 5.2 Value of an option.
5.3 Valuation models. 5.4 Strategies on options. PART III: GENERAL THEORY
OF VaR. Introduction. 6 Theoryof VaR. 6.1 The concept of 'risk per share'.
6.2 VaR for a single asset. 6.3 VaR for a portfolio. 7 VaR Estimation
Techniques. 7.1 General questions in estimating VaR. 7.2 Estimated
variance-covariance matrix method. 7.3 Monte Carlo simulation. 7.4
Historical simulation. 7.5 Advantages and drawbacks. 8 Setting Up a VaR
Methodology. 8.1 Putting together the database. 8.2 Calculations. 8.3 The
normality hypothesis.- PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction. 9 Portfolio Risk Management. 9.1 General principles. 9.2
Portfolio risk management method. 10 Optimising the Global Portfolio via
VaR. 10.1 Taking account of VaR in Sharpe's simple index method. 10.2
Taking account of VaR in the EGP method. 10.3 Optimising a global portfolio
via VaR. 11 Institutional Management: APT Applied to Investment Funds. 11.1
Absolute global risk. 11.2 Relative global risk/tracking error. 11.3
Relative fund risk vs. benchmark abacus. 11.4 Allocation of systematic
risk. 11.5 Allocation of performance level. 11.6 Gross performance level
and risk withdrawal. 11.7 Analysis of style. PART V: FROM RISK MANAGEMENT
TO ASSET AND LIABILITY MANAGEMENT. Introduction. 12 Techniques for
Measuring Structural Risks in Balance Sheets. 12.1 Tools for structural
risk analysis in asset and liability management. 12.2 Simulations. 12.3
Using VaR in ALM. 12.4 Repricing schedules (modelling of contracts with
floating rates). 12.5 Replicating portfolios. APPENDICES. Appendix 1:
Mathematical Concepts. 1.1 Functions of one variable. 1.2 Functions of
several variables. 1.3 Matrix calculus. Appendix 2: Probabilistic Concepts.
2.1 Random variables. 2.2 Theoretical distributions. 2.3 Stochastic
processes. Appendix 3: Statistical Concepts. 3.1 Inferential statistics.
3.2 Regressions. Appendix 4: Extreme Value Theory. 4.1 Exact result. 4.2
Asymptotic results. Appendix 5 Canonical Correlations. 5.1 Geometric
presentation of the method. 5.2 Search for canonical characters. Appendix
6: Algebraic Presentation of Logistic Regression. Appendix 7: Time Series
Models: ARCH-GARCH and EGARCH. 7.1 ARCH-GARCH models. 7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations. 8.1 General
principles for iterative methods. 8.2 Principal methods. 8.3 Nonlinear
equation systems. Bibliography. Index.
Collaborators. Foreword by Philippe Jorion. Acknowledgements. Introduction.
Areas covered. Who is this book for? PART I: THE MASSIVE CHANGES IN THE
WORLD OF FINANCE. Introduction. 1 The Regulatory Context 1.1 Precautionary
surveillance. 1.2 The Basle Committee. 1.2.1 General information. 1.2.2
Basle II and the philosophy of operational risk. 1.3 Accounting standards.
2 Changes in Financial Risk Management. 2.1 Definitions. 2.2 Changes in
financial risk management. 2.3 A new risk-return world. PART II: EVALUATING
FINANCIAL ASSETS. Introduction 3 Equities. 3.1 The basics. 3.2 Portfolio
diversification and management. 3.3 Model of financial asset equilibrium
and applications. 3.4 Equity dynamic models. 4 Bonds. 4.1 Characteristics
and valuation. 4.2 Bonds and financial risk. 4.3 Deterministic structure of
interest rates. 4.4 Bond portfolio management strategies. 4.5 Stochastic
bond dynamic models. 5 Options. 5.1 Definitions. 5.2 Value of an option.
5.3 Valuation models. 5.4 Strategies on options. PART III: GENERAL THEORY
OF VaR. Introduction. 6 Theoryof VaR. 6.1 The concept of 'risk per share'.
6.2 VaR for a single asset. 6.3 VaR for a portfolio. 7 VaR Estimation
Techniques. 7.1 General questions in estimating VaR. 7.2 Estimated
variance-covariance matrix method. 7.3 Monte Carlo simulation. 7.4
Historical simulation. 7.5 Advantages and drawbacks. 8 Setting Up a VaR
Methodology. 8.1 Putting together the database. 8.2 Calculations. 8.3 The
normality hypothesis.- PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction. 9 Portfolio Risk Management. 9.1 General principles. 9.2
Portfolio risk management method. 10 Optimising the Global Portfolio via
VaR. 10.1 Taking account of VaR in Sharpe's simple index method. 10.2
Taking account of VaR in the EGP method. 10.3 Optimising a global portfolio
via VaR. 11 Institutional Management: APT Applied to Investment Funds. 11.1
Absolute global risk. 11.2 Relative global risk/tracking error. 11.3
Relative fund risk vs. benchmark abacus. 11.4 Allocation of systematic
risk. 11.5 Allocation of performance level. 11.6 Gross performance level
and risk withdrawal. 11.7 Analysis of style. PART V: FROM RISK MANAGEMENT
TO ASSET AND LIABILITY MANAGEMENT. Introduction. 12 Techniques for
Measuring Structural Risks in Balance Sheets. 12.1 Tools for structural
risk analysis in asset and liability management. 12.2 Simulations. 12.3
Using VaR in ALM. 12.4 Repricing schedules (modelling of contracts with
floating rates). 12.5 Replicating portfolios. APPENDICES. Appendix 1:
Mathematical Concepts. 1.1 Functions of one variable. 1.2 Functions of
several variables. 1.3 Matrix calculus. Appendix 2: Probabilistic Concepts.
2.1 Random variables. 2.2 Theoretical distributions. 2.3 Stochastic
processes. Appendix 3: Statistical Concepts. 3.1 Inferential statistics.
3.2 Regressions. Appendix 4: Extreme Value Theory. 4.1 Exact result. 4.2
Asymptotic results. Appendix 5 Canonical Correlations. 5.1 Geometric
presentation of the method. 5.2 Search for canonical characters. Appendix
6: Algebraic Presentation of Logistic Regression. Appendix 7: Time Series
Models: ARCH-GARCH and EGARCH. 7.1 ARCH-GARCH models. 7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations. 8.1 General
principles for iterative methods. 8.2 Principal methods. 8.3 Nonlinear
equation systems. Bibliography. Index.
Areas covered. Who is this book for? PART I: THE MASSIVE CHANGES IN THE
WORLD OF FINANCE. Introduction. 1 The Regulatory Context 1.1 Precautionary
surveillance. 1.2 The Basle Committee. 1.2.1 General information. 1.2.2
Basle II and the philosophy of operational risk. 1.3 Accounting standards.
2 Changes in Financial Risk Management. 2.1 Definitions. 2.2 Changes in
financial risk management. 2.3 A new risk-return world. PART II: EVALUATING
FINANCIAL ASSETS. Introduction 3 Equities. 3.1 The basics. 3.2 Portfolio
diversification and management. 3.3 Model of financial asset equilibrium
and applications. 3.4 Equity dynamic models. 4 Bonds. 4.1 Characteristics
and valuation. 4.2 Bonds and financial risk. 4.3 Deterministic structure of
interest rates. 4.4 Bond portfolio management strategies. 4.5 Stochastic
bond dynamic models. 5 Options. 5.1 Definitions. 5.2 Value of an option.
5.3 Valuation models. 5.4 Strategies on options. PART III: GENERAL THEORY
OF VaR. Introduction. 6 Theoryof VaR. 6.1 The concept of 'risk per share'.
6.2 VaR for a single asset. 6.3 VaR for a portfolio. 7 VaR Estimation
Techniques. 7.1 General questions in estimating VaR. 7.2 Estimated
variance-covariance matrix method. 7.3 Monte Carlo simulation. 7.4
Historical simulation. 7.5 Advantages and drawbacks. 8 Setting Up a VaR
Methodology. 8.1 Putting together the database. 8.2 Calculations. 8.3 The
normality hypothesis.- PART IV: FROM RISK MANAGEMENT TO ASSET MANAGEMENT.
Introduction. 9 Portfolio Risk Management. 9.1 General principles. 9.2
Portfolio risk management method. 10 Optimising the Global Portfolio via
VaR. 10.1 Taking account of VaR in Sharpe's simple index method. 10.2
Taking account of VaR in the EGP method. 10.3 Optimising a global portfolio
via VaR. 11 Institutional Management: APT Applied to Investment Funds. 11.1
Absolute global risk. 11.2 Relative global risk/tracking error. 11.3
Relative fund risk vs. benchmark abacus. 11.4 Allocation of systematic
risk. 11.5 Allocation of performance level. 11.6 Gross performance level
and risk withdrawal. 11.7 Analysis of style. PART V: FROM RISK MANAGEMENT
TO ASSET AND LIABILITY MANAGEMENT. Introduction. 12 Techniques for
Measuring Structural Risks in Balance Sheets. 12.1 Tools for structural
risk analysis in asset and liability management. 12.2 Simulations. 12.3
Using VaR in ALM. 12.4 Repricing schedules (modelling of contracts with
floating rates). 12.5 Replicating portfolios. APPENDICES. Appendix 1:
Mathematical Concepts. 1.1 Functions of one variable. 1.2 Functions of
several variables. 1.3 Matrix calculus. Appendix 2: Probabilistic Concepts.
2.1 Random variables. 2.2 Theoretical distributions. 2.3 Stochastic
processes. Appendix 3: Statistical Concepts. 3.1 Inferential statistics.
3.2 Regressions. Appendix 4: Extreme Value Theory. 4.1 Exact result. 4.2
Asymptotic results. Appendix 5 Canonical Correlations. 5.1 Geometric
presentation of the method. 5.2 Search for canonical characters. Appendix
6: Algebraic Presentation of Logistic Regression. Appendix 7: Time Series
Models: ARCH-GARCH and EGARCH. 7.1 ARCH-GARCH models. 7.2 EGARCH models.
Appendix 8: Numerical Methods for Solving Nonlinear Equations. 8.1 General
principles for iterative methods. 8.2 Principal methods. 8.3 Nonlinear
equation systems. Bibliography. Index.