Carol Alexander - Böcker

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces.All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization;Pricing floaters and vanilla, basis and variance swaps;Coupon stripping and yield curve fitting;Proxy hedging, and hedging international securities and energy futures portfolios;Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options;Libor model calibration;Dynamic models for implied volatility based on principal component analysis;Calibration of stochastic volatility models (Matlab code);Simulations from stochastic volatility and jump models;Duration, PV01 and volatility invariant cash flow mappings;Delta-gamma-theta-vega mappings for options portfolios;Volatility beta mapping to volatility indices.

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications.Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance.Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation.Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces  the implied and the local volatility surfaces  that accompany an option pricing model, with particular reference to hedging.Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.

Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately.All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices;Calibration of Student t distribution by maximum likelihood;Orthogonal regression and estimation of equity factor models;Simulations of geometric Brownian motion, and of correlated Student t variables;Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula;Cubic spline fitting of yields curves and implied volatilities;Solution of Markowitz problem with no short sales and other constraints;Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors;Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters;Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;Simulation of normal mixture and Markov switching GARCH returns;Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;Markov switching regression models (Eviews code);GARCH term structure forecasting with volatility targeting;Non-linear quantile regressions with applications to hedging.

Risk Management and Analysis, Volume 1: Measuring and Modelling Financial RiskEdited by Carol AlexanderIn the two years since the publication of The Handbook of Risk Management and Analysis interest and the practice of management, modelling and control of financial risks has grown enormously. The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains. Measuring and Modelling Financial Risk has been structured in four parts: the first three chapters survey standard approaches to measuring and modelling financial risk from the risk manager perspective, Chapters 4 and 5 are aimed primarily at quantitative risk analysts whose job it is to put the systems in place. Chapters 6 and 7 discuss important issues in IT and systems design, and the last two chapters cover pricing and risk management of credit-risky products. Leading figures in the field contribute: Michel Crouhy, Dan Galai and Robert Mark, Stan Beckers, Thomas Wilson, Mark Broadie and Paul Glasserman, Nigel Webb, Ron Dembo, Robert Jarrow and Stuart Turnbull, and Lee Wakeman."Risk management is becoming an increasingly important activity for financial institutions, fund managers, and corporate treasurers. It used to be the case that the brightest 'quants' were used to design and value ever-more-exotic derivatives. Now increasingly they are finding that their talents can best be put to work in risk management. In this volume Carol Alexander has gathered together nine articles concerned with different aspects of risk management and analysis. The topics covered include the regulatory framework, volatility and correlation models, value at risk, and credit risk. The book will provide a valuable source of reference material for both market participants and students."—John Hull, August 1998

The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains.New Markets and Products begins with two chapters on emerging markets. The book then goes on to cover markets and products of increasing complexity: standard equity and interest rate derivatives, exotic options, swap (and swaptions), volatility trading and finally credit derivatives.The contributors are all acknowledged experts in their fields: Michael Howell, Mark Fox, Ian King, Chris Rogers, Andrew Street, Riccardo Rebonato, Edmond Levy, Bryan Thomas, Vincent Lacoste, Desmond Fitzgerald and Blythe Masters.New Markets and Products will be an essential reference tool for risk managers, institutional investors, fund managers, bankers, corporate treasurers and financial consultants."In this volume Carol Alexander has gathered together ten articles that are concerned with important recent developments in financial markets. Two of the articles are concerned with emerging markets. They explore the reasons for their growth and the nature of the investment opportunities available. The remaining eight articles are concerned with derivatives. There are chapters on equity derivatives, interest rate derivatives, exotic options, volatility trading, and credit derivatives. The final chapter on credit derivatives is particularly timely. This market is in the process of transforming the way banks manage credit risk. I have seen no other discussion of the market as comprehensive and useful as that provided by Blythe Masters. Market participants and students alike will find much useful and thought-provoking information in this volume."—John Hull, August 1998

Identifying malpractice and misconduct should be top priority for financial risk managers todayCorruption and Fraud in Financial Markets identifies potential issues surrounding all types of fraud, misconduct, price/volume manipulation and other forms of malpractice. Chapters cover detection, prevention and regulation of corruption and fraud within different financial markets. Written by experts at the forefront of finance and risk management, this book details the many practices that bring potentially devastating consequences, including insider trading, bribery, false disclosure, frontrunning, options backdating, and improper execution or broker-agency relationships.Informed but corrupt traders manipulate prices in dark pools run by investment banks, using anonymous deals to move prices in their own favour, extracting value from ordinary investors time and time again. Strategies such as wash, ladder and spoofing trades are rife, even on regulated exchanges – and in unregulated cryptocurrency exchanges one can even see these manipulative quotes happening real-time in the limit order book. More generally, financial market misconduct and fraud affects about 15 percent of publicly listed companies each year and the resulting fines can devastate an organisation's budget and initiate a tailspin from which it may never recover.This book gives you a deeper understanding of all these issues to help prevent you and your company from falling victim to unethical practices. Learn about the different types of corruption and fraud and where they may be hiding in your organisationIdentify improper relationships and conflicts of interest before they become a problemUnderstand the regulations surrounding market misconduct, and how they affect your firmPrevent budget-breaking fines and other potentially catastrophic consequencesSince the LIBOR scandal, many major banks have been fined billions of dollars for manipulation of prices, exchange rates and interest rates. Headline cases aside, misconduct and fraud is uncomfortably prevalent in a large number of financial firms; it can exist in a wide variety of forms, with practices in multiple departments, making self-governance complex. Corruption and Fraud in Financial Markets is a comprehensive guide to identifying and stopping potential problems before they reach the level of finable misconduct.