- Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
- Covers the subject without advanced or exotic material.
Autorentext
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.
Klappentext
* Includes a CD-ROM that contains Excel workbooks and a Matlab
manual and software.
* Covers the subject without advanced or exotic material.
Das E-Book An Introduction to Market Risk Measurement wird angeboten von John Wiley & Sons und wurde mit folgenden Begriffen kategorisiert:
Finance & Investments, Finanz- u. Anlagewesen, Kapitalmarkt, Risikomanagement, Value at risk
Inhalt
Preface xi
Acknowledgements xix
1 The Risk Measurement Revolution 1
1.1 Contributory Factors 1
1.1.1 A Volatile Environment 1
1.1.2 Growth in Trading Activity 2
1.1.3 Advances in Information Technology 2
1.2 Risk Measurement Before VaR 3
1.2.1 Gap Analysis 3
1.2.2 Duration Analysis 4
1.2.3 Scenario Analysis 4
1.2.4 Portfolio Theory 5
1.2.5 Derivatives Risk Measures 6
1.3 Value at Risk 7
1.3.1 The Origin and Development of VaR 7
1.3.2 Attractions of VaR 10
1.3.3 Criticisms of VaR 11
1.4 Recommended Reading 12
2 Measures of Financial Risk 13
2.1 The Mean-Variance Framework for Measuring Financial Risk 13
2.1.1 The Normality Assumption 13
2.1.2 Limitations of the Normality Assumption 15
2.1.3 Traditional Approaches to Financial Risk Measurement 18
2.1.3.1 Portfolio Theory 18
2.1.3.2 Duration Approaches to Fixed-income Risk Measurement 18
2.2 Value at Risk 19
2.2.1 VaR Basics 19
2.2.2 Choice of VaR Parameters 24
2.2.3 Limitations of VaR as a Risk Measure 25
2.2.3.1 VaR Uninformative of Tail Losses 25
2.2.3.2 VaR Can Create Perverse Incentive Structures 26
2.2.3.3 VaR Can Discourage Diversification 27
2.2.3.4 VaR Not Sub-additive 27
2.3 Expected Tail Loss 28
2.3.1 Coherent Risk Measures 28
2.3.2 The Expected Tail Loss 29
2.4 Conclusions 33
2.5 Recommended Reading 33
3 Basic Issues in Measuring Market Risk 35
3.1 Data 35
3.1.1 Profit/Loss Data 35
3.1.2 Loss/Profit Data 35
3.1.3 Arithmetic Returns Data 36
3.1.4 Geometric Returns Data 36
3.2 Estimating Historical Simulation VaR 36
3.3 Estimating Parametric VaR 37
3.3.1 Estimating VaR with Normally Distributed Profits/Losses 38
3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns 39
3.3.3 Estimating Lognormal VaR 40
3.4 Estimating Expected Tail Loss 42
3.5 Summary 44
Appendix: Mapping Positions to Risk Factors 45
A3.1 Selecting Core Instruments or Factors 46
A3.1.1 Selecting Core Instruments 46
A3.1.2 Selecting Core Factors 47
A3.2 Mapping Positions and VaR Estimation 47
A3.2.1 The Basic Building Blocks 47
A3.2.1.1 Basic FX Positions 47
A3.2.1.2 Basic Equity Positions 48
A3.2.1.3 Zero-coupon Bonds 50
A3.2.1.4 Basic Forward/Futures 51
A3.2.2 More Complex Positions 52
A3.3 Recommended Reading 53
4 Non-parametric VaR and ETL 55
4.1 Compiling Historical Simulation Data 55
4.2 Estimation of Historical Simulation VaR and ETL 56
4.2.1 Basic Historical Simulation 56
4.2.2 Estimating Curves and Surfaces for VaR and ETL 57
4.3 Estimating Confidence Intervals for Historical Simulation VaR and ETL 58
4.3.1 A Quantile Standard Error Approach to the Estimation of Confidence Intervals for HS VaR and ETL 58
4.3.2 An Order Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ETL 58
4.3.3 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ETL 59
4.4 Weighted Historical Simulation 61
4.4.1 Age-weighted Historical Simulation 62
4.4.2 Volatility-weighted Historical Simulation 63
4.4.3 Filtered Historical Simulation 64
4.5 Advantages and Disadvantages of Historical Simulation 66
4.5.1 Advantages 66
4.5.2 Disadvantages 67
4.5.2.1 Total Dependence on the Data Set 67
4.5.2.2 Problems of Data Period Length 68
4.6 Principal Components Approaches to VaR and ETL Estimation 68
4.7 Conclusions 69
4.8 Recommended Reading 70
5 Parametric VaR and ETL 71
5.1 Normal VaR and ETL 72
5.1.1 General Features 72
5.1.2 Disadvantages of Normality 76
5.2 The Student t-distribution 77
5.3 The Lognormal Distribution 78
5.4 Extreme Value Distributions 81
5.4.1 The Generalised Extreme Value Distribution 81
5.4.2 The Peaks Over Threshold (Generalised Pareto) Approach 82
5.5 The Multivariate Normal Variance-Covariance Approach 84
5.6 Conclusions 86
5.7 Recommended Reading 87
Appendix: Delta-Gamma and Related Approximations 88
A5.1 Delta-normal Approaches 88
A5.2 Delta-Gamma Approaches 90
A5.2.1 The Delta-Gamma Approximation 90
A5.2.2 The Delta-Gamma Normal Approach 90
A5.2.3 Wilson's Delta-Gamma Approach 91
A5.2.4 Other Delta-Gamma Approaches 93
A5.3 Conclusions 94
A5.4 Recommended Reading 95
6 Simulation Approaches to VaR and ETL Estimation 97
6.1 Options VaR and ETL 97
6.1.1 Preliminary Considerations 97
6.1.2 An Example: Estimating the VaR and ETL of an American Put 98
6.1.3 Refining MCS Estimation of Options VaR and ETL 99
6.2 Estimating VaR by Simulating Principal Components 99
6.2.1 Basic Principal Components Simulation 99
6.2.2 Scenario Simulation 100
6.3 Fixed-income VaR and ETL 102
6.3.1 General Considerations 102
6.3.1.1 Stochastic Processes for Interest Rates 102
6.3.1.2 The Term Structure of Interest Rates 103
6.3.2 A General Approach to Fixed-income VaR and ETL 103
6.4 Estimating VaR and ETL under a Dynamic Portfolio Strategy 105
6.5 Estimating Credit-related Risks with Simulation Methods 107
6.6 Estimating Insurance Risks with Simulation Methods 109
6.7 Estimating Pensions Risks with Simulation Methods 110
6.7.1 Estimating Risks of Defined-benefit Pension Plans 111
6.7.2 Estimating Risks of Defined-contribution Pension Plans 113
6.8 Conclusions 115
6.9 Recommended Reading 115
7 Incremental and Component Risks 117
7.1 Incremental VaR 117
7.1.1 Interpreting Incremental VaR 117
7.1.2 Estimating IVaR by Brute Force: The 'Before and After' Approach 118
7.1.3 Estimating IVaR Using Marginal VaRs 119
7.1.3.1 Garman's 'delVaR' Approach 119
7.1.3.2 Potential Drawbacks of the delVaR Approach 122
7.2 Component VaR 122
7.2.1 Properties of Component VaR 122
7.2.2 Uses of Component VaR 124
7.2.2.1 'Drill-down' Capability 124
7.2.2.2 Reporting Component VaRs 125
7.3 Conclusions 126
7.4 Recommended Reading 126
8 Estimating Liquidity Risks 127
8.1 Liquidity and Liquidity Risks 127
8.2 Estimating Liquidity-adjusted VaR and ETL 128
8.2.1 A Transactions Cost Approach 128
8.2.2 The Exogenous Spread Approach 131
8.2.3 The Market Price Response Approach 132
8.2.4 Derivatives Pricing Approaches 132
8.2.5 The Liquidity Discount Approach 133
8.2.6 A Summary and Comparison of Alternative Approaches 134
8.3 Estimating Liquidity at Risk (LaR) 135
8.4 Estimatin…