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| 050 | 0 0 | ▼a HD61 ▼b .G54 2000 |
| 082 | 0 0 | ▼a 658.15/5 ▼2 21 |
| 090 | ▼a 658.155 ▼b G554r | |
| 100 | 1 | ▼a Gleason, James T., ▼d 1952- |
| 245 | 1 0 | ▼a Risk : ▼b the new management imperative in finance / ▼c James T. Gleason. |
| 250 | ▼a 1st ed. | |
| 260 | ▼a Princeton, N.J. : ▼b Bloomberg Press, ▼c c2000. | |
| 300 | ▼a xx, 275 p. : ▼b ill. ; ▼c 24 cm. | |
| 440 | 0 | ▼a Bloomberg professional library |
| 504 | ▼a Includes bibliographical references (p. 253-260) and index. | |
| 650 | 0 | ▼a Risk management. |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 중앙도서관/교육보존A/6 | 청구기호 658.155 G554r | 등록번호 111197467 (2회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
Finance professionals grapple with risk every day—it's the inescapable partner of all financial market participants. As a result, high-stakes financial professionals are continually trying to streamline and perfect their risk management techniques. Financial risk management quantifies and controls risk (loss potential) and helps drive capital to its optimal use (profit seeking). This book is a much-needed guide for financial firms. It describes the latest risk management tools, financial instruments, and practical implementation strategies. And they're presented in a real-world, nonacademic manner. This book presents the latest information on
- Identifying risk: the spectrum of risks faced by market participants
- Measuring and quantifying risk: ways to track and value market and credit risks
- Managing risk: a practical framework for financial risk management implementation
Also includes "The Ten Commandments of Financial Risk Management," how and when to use the latest financial instruments and derivatives, and setting up a trackable risk management initiative.
New feature
Advances in technology and risk modeling have boosted derivative markets. The resulting increase in arbitrage activities has narrowed profit margins in all financial markets. Consistent risk methodology is now an essential tool for overcoming competitive pricing and for anticipating the consequences of market turbulence.
It is now possible to calculate the potential impact of every major deal on the overall risk profile of the firm. Market risk and credit risk can be quantified and considered against the expected contribution to shareholder value or return on capital. These measurements create a theoretical framework for harmonizing activity at financial firms.
In practice, however, today’s markets and technologies evolve so rapidly that the requirements and the capabilities shift before any reengineering cycle can be completed. A quagmire of data seriously confounds the task of extracting reliable information for risk management. The data problem becomes acute when you move to global risk management, because a flaw anywhere affects the whole process and is much harder to trace.
Timely, accurate information about all positions is a prerequisite for effective management in this new global marketplace. You can’t run flexible “what if’ stress tests or determine global VaR (value at risk) accurately without a central transaction file. When the next contagion hits, the winners will be the ones who have correctly measured the stress on their whole portfolio and adjusted their holdings to achieve some immunization.
This book shows you how to make your firm one of those winners.
정보제공 :
목차
CONTENTS Introduction = xvii How This Book Is Organized, = xix Risk Management Transparency = xx The Spectrum of Risks = xxii Section Ⅰ THE RISKS AND THEIR CONTOURS 1 Global Risk Management's Emergence = 3 Technology and Communications = 3 Quantitative Models = 5 Dealers in Flux, Too = 8 Major Messages in This Book = 9 Wrap-Up = 11 2 The Full Spectrum of Risks = 13 Operational Risk = 15 Other Nonfinancial Risks = 17 Wrap-Up = 19 3 The Contours of Financial Risk = 21 Funding Risk - The Primal Arc = 21 Markets and Risk = 22 Basis Risk = 26 Alternative Views and Insights = 27 New Measurement Tools and Management Techniques = 28 Credit Risk = 2 The Contours of Credit Risk = 30 Portfolio Risk = 32 Our Journey = 33 Wrap-Up = 33 Section Ⅱ MARKET RISK MANAGEMENT 4 Market Risk : Tools and Uses = 37 Hedge Example = 37 Arbitrage = 42 Speculation = 43 Wrap-Up = 43 5 Commodity Market Risk Management = 45 Case Study : Big Auto Co. = 45 Case Study : Innovative Enron = 56 Commodity Market Features = 62 Wrap-Up = 63 6 Currency Market Risk Management = 65 Market Dynamics = 66 Valuation and Risk Mechanics = 67 Risk Illustrations = 70 End Users = 73 Intermediaries = 75 Wrap-Up = 77 7 Fixed-Income Market Risk Management = 79 Market Dynamics = 79 Time Matters = 81 Valuation = 86 Risk Mechanics = 89 Risk Illustrations = 96 Corporate Users = 97 Dealers = 98 The Investors = 100 Wrap-Up = 102 8 Equity Market Risk Management = 103 Valuation and Risk Mechanics = 104 Risk Illustration = 105 Equity Derivatives = 106 Dealers and End Users. = 107 Wrap-Up = 108 Market Risk Summary = 109 Section Ⅲ CREDIT RISK MANAGEMENT 9 The Schism in Credit Risk Management = 113 Credit Risk Management Difficulties = 113 Wrap-Up = 122 10 Credit Risk Management for Trading = 123 The Variable Exposure Problem = 125 Pre-Settlement and Settlement Risk = 125 Monte Carlo Simulation = 135 Credit Risk versus Exposure = 141 Credit Limit Problems = 141 Charging for Credit = 142 Systemic Concerns = 144 Wrap-Up = 146 11 Credit Risk Management for Traditional Lending = 147 The Traditional Credit Process : Commercial Loans = 147 Competition and Change to the Process = 149 Summary of Changes to the Process = 155 The Prior Models for Credit Risk = 156 The New Models for Credit Risk = 157 Case Study : Bank of Montreal = 171 Credit Market Trends = 176 Wrap-Up = 178 Section Ⅳ RISK IN PORTFOLIOS 12 Market Risk in Portfolios = 181 Portfolio Risk Measures : Their Evolution = 181 Forecasting for VaR = 185 VaR Summary = 189 Stress Testing = 190 The Lessons of 1998 = 193 Wrap-Up = 193 13 Simulation = 195 Case Study : Global Oil Co. = 197 Wrap-Up = 203 Section Ⅴ DEVELOPING A GLOBAL RISK MANAGEMENT PROCESS 14 Risk Management : The Vision and the Reality = 207 The Vision for Risk Management : Go Global = 208 The Reality at Global Financial Institutions = 217 Wrap-Up = 222 15 The Global Risk Management Development Model = 223 Management Direction = 224 Risk Management Development Projects = 224 Integrating with the Operating Infrastructure = 225 Wrap-Up = 226 16 Developing GRM : What Works, What Doesn't = 227 The Chase Example = 227 Features of Success = 229 Pitfalls to Avoid = 236 Wrap-Up = 241 Conclusion = 243 The Ten Commandments for Going Global with Risk = 243 Appendix : Financial Risk Definitions = 247 Notes = 253 Index = 261