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Contemporary Finance
Money, Risk, and Public Policy
Buch von Allan M Malz
Sprache: Englisch

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Beschreibung

Praise for Contemporary Finance

"Contemporary Finance is another tour de force treatise from Allan Malz, building on but extending the coverage of his earlier book Financial Risk Management to bring it up to date in a world of financial fragility and interconnected complexity. Dr. Malz is a gifted expositor who approaches the subject from the vantage point of both a market risk manager and a scholar of finance theory. I've been working on these topics for four decades and learn something new in every chapter. Moreover, the material I think I knew I now know how to teach thanks to Allan's books."
-Richard Clarida, Harriss Professor of Economics, Columbia University; Global Economic Advisor, PIMCO; former Vice Chair, Federal Reserve 2018-2022

"Contemporary Finance covers many key issues in finance. For example, it explains the nature of financial markets, how financial securities are priced, and risk management practices. It concludes with chapters on monetary policy and regulation. An important question for any book used in the classroom is: 'Will students want to keep the book after the course is over?' I am confident that students will continue to want to use Contemporary Finance once they become practitioners. The book blends theory and practice in an engaging way that is useful for all who work (or would like to work) in finance."
-John C. Hull, Professor of Finance, Rotman School of Management, University of Toronto

Appreciate the complexities underlying the world of finance

Contemporary Finance is a textbook for finance professionals, undergraduates and graduate students. It covers the basic finance theory required to understand the contemporary financial world and builds on that theory in a detailed yet comprehensible way. Contemporary Finance introduces readers to markets and institutions as well as to the government policy framework within which they operate.

Suitable for students at all levels, this book connects theories and concepts directly to real-world events and examples. It includes case studies such as the London Whale and GameStop trading episodes, so readers can relate theoretical concepts to reality by studying their relevance to recent market events. With its focus on recent developments and global markets, Contemporary Finance is an excellent choice for professionals and academics looking to improve or update their understanding of financial economics.

By aiming for integration across topics rather than siloed explanations of individual subjects, Contemporary Finance offers readers a practically applicable foundation of knowledge that will serve them well in public service or the private sector. Today's learners need a contemporary, applied approach to the study of finance-this is it.

Praise for Contemporary Finance

"Contemporary Finance is another tour de force treatise from Allan Malz, building on but extending the coverage of his earlier book Financial Risk Management to bring it up to date in a world of financial fragility and interconnected complexity. Dr. Malz is a gifted expositor who approaches the subject from the vantage point of both a market risk manager and a scholar of finance theory. I've been working on these topics for four decades and learn something new in every chapter. Moreover, the material I think I knew I now know how to teach thanks to Allan's books."
-Richard Clarida, Harriss Professor of Economics, Columbia University; Global Economic Advisor, PIMCO; former Vice Chair, Federal Reserve 2018-2022

"Contemporary Finance covers many key issues in finance. For example, it explains the nature of financial markets, how financial securities are priced, and risk management practices. It concludes with chapters on monetary policy and regulation. An important question for any book used in the classroom is: 'Will students want to keep the book after the course is over?' I am confident that students will continue to want to use Contemporary Finance once they become practitioners. The book blends theory and practice in an engaging way that is useful for all who work (or would like to work) in finance."
-John C. Hull, Professor of Finance, Rotman School of Management, University of Toronto

Appreciate the complexities underlying the world of finance

Contemporary Finance is a textbook for finance professionals, undergraduates and graduate students. It covers the basic finance theory required to understand the contemporary financial world and builds on that theory in a detailed yet comprehensible way. Contemporary Finance introduces readers to markets and institutions as well as to the government policy framework within which they operate.

Suitable for students at all levels, this book connects theories and concepts directly to real-world events and examples. It includes case studies such as the London Whale and GameStop trading episodes, so readers can relate theoretical concepts to reality by studying their relevance to recent market events. With its focus on recent developments and global markets, Contemporary Finance is an excellent choice for professionals and academics looking to improve or update their understanding of financial economics.

By aiming for integration across topics rather than siloed explanations of individual subjects, Contemporary Finance offers readers a practically applicable foundation of knowledge that will serve them well in public service or the private sector. Today's learners need a contemporary, applied approach to the study of finance-this is it.

Über den Autor

Allan M. Malz has been chief risk officer at several multi-strategy hedge fund management firms. He worked at the Federal Reserve Bank of New York as a researcher and foreign exchange trader, and helped implement the Fed's emergency liquidity programs addressing the global financial crisis.
Malz is an investment consultant and adjunct professor at Columbia University, and the author of Financial Risk Management: Models, History, and Institutions. His work on predicting financial crises and on risk measurement for options has been published in industry and academic journals. He holds a Ph.D. from Columbia and a Diplom from Ludwig-Maximilians-Universität München.

Inhaltsverzeichnis

List of Figures xiii

List of Tables xvii

Preface xix

About the Author xxi

Part I Finance in the Economic System 1

1 Functions and Structure of the Financial System 3

1.1 Functions of the Financial System 3

1.2 Market Participants, Intermediaries, and Governments 4

1.3 Assets and Markets 6

1.3.1 Money and Money Markets 6

1.3.2 Foreign Exchange 7

1.3.3 Digital Currencies 7

1.3.4 Equity, Loans, and Bonds 7

1.3.5 Spot and Derivative Assets 9

1.3.6 Alternative Investments 11

1.4 Mechanics of Trading 12

1.4.1 Asset Positions and Risk Exposures 12

1.4.2 Market Microstructure 14

1.4.3 Payment Systems 15

1.4.4 Clearing and Settlement 16

Further Reading 17

2 Asset Returns and Risk 19

2.1 Asset Returns and Interest Rates 19

2.1.1 Measuring Asset Returns 19

2.1.2 Interest Rates and Yield Curves 22

2.1.3 Total Returns and Asset Values 25

2.1.4 Inflation and Real Returns 26

2.1.5 Excess Returns 29

2.2 Asset Return Probability Distributions 30

2.3 Financial Risks 32

2.3.1 Market Risk 32

2.3.2 Credit Risk 33

2.3.3 Operational Risks 34

Further Reading 35

3 Information, Preferences, and Asset Prices 37

3.1 Information and the Quantification of Risk 37

3.1.1 Conceptions of Equilibrium 37

3.1.2 Technical Progress 39

3.1.3 Frictions and Transaction Costs 40

3.1.4 Institutions 41

3.2 Risk Premiums 42

3.2.1 The Convention of the Risk-Free Rate and Reference Rates 42

3.2.2 Expected Returns and Risk Premiums 43

3.2.3 Interest Rate Spreads 46

3.3 An Era of Low Interest Rates and Slowing Growth 48

3.3.1 Safe Assets 52

3.3.2 Rising Debt 54

Further Reading 55

Part II Markets, Uncertainty, and Risk 57

4 The Behavior of Asset Returns over Time 59

4.1 Standard Model of Asset Price Behavior and Reality 59

4.2 Return, Volatility, and Correlation Behavior 61

4.2.1 Return Predictability 61

4.2.2 Time Variation in Return Volatility 62

4.2.3 Time Variation in Return Correlation 62

4.3 Volatility Forecasting 64

4.3.1 Simple Approaches to Volatility Estimation 64

4.3.2 The GARCH Model 66

4.3.3 The Exponentially Weighted Moving Average Model 67

4.4 Tail Risk: the Prevalence of Extremes 70

4.4.1 Extreme Asset Returns 70

4.4.2 Skewness and Kurtosis 72

4.4.3 Clues to Financial Puzzles in the Behavior of Volatility 73

Further Reading 75

5 Capital Markets: How Asset Prices Are Determined 77

5.1 Portfolios, Diversification, and Investor Choice 77

5.1.1 Portfolio Risk 77

5.1.2 Optimal Investor Choice 80

5.2 The Capital Asset Pricing Model 82

5.2.1 The Efficiency of the Market Portfolio 83

5.2.2 Estimating Systematic and Nonsystematic Risk 84

5.2.3 More General Factor Models 86

Further Reading 87

6 Derivatives Values and Risks 89

6.1 Futures, Forwards, and Swaps 89

6.1.1 Forward Foreign Exchange Markets 91

6.1.2 Valuation of Interest Rate Swaps 94

6.1.3 The LIBOR Transition 95

6.1.4 Credit Default Swaps 96

6.2 Options 98

6.2.1 Option Values 98

6.2.2 The Option-Implied Volatility Surface 101

6.2.3 Option Risks 102

6.2.4 Put-Call Parity 104

6.2.5 Interest Rate Implied Volatility 104

6.3 Market-Implied Asset Price Forecasts 105

6.3.1 Risk-Neutral Mean Forecasts 105

6.3.2 Risk-Neutral Volatility and Correlation Forecasts 107

6.3.3 Risk-Neutral Probability Distributions 107

Further Reading 109

7 Capital Market Efficiency 111

7.1 Asset Price Behavior in an Efficient Market 111

7.1.1 Validating the Efficient Markets Hypothesis 112

7.1.2 Market Efficiency, Preferences, and Knowledge 113

7.2 Apparent Violations of Market Efficiency 114

7.2.1 Slow Arbitrage 114

7.2.2 Basis Spreads 115

7.2.3 Foreign Exchange Markets 116

7.3 Efficacy of Active Management 117

7.3.1 Passive and Active Investment Management 117

7.3.2 Empirical Validation of Active Management 118

7.3.3 Alternative Investments 122

Further Reading 126

8 Market Risk 129

8.1 Definition of Value-at-Risk 129

8.1.1 Why Value-at-Risk? 129

8.1.2 Value-at-Risk Is a Quantile 130

8.2 Computing Value-at-Risk for One Risk Factor 130

8.2.1 Modeling Approaches to Value-at-Risk Estimation 130

8.2.2 Parametric Normal Value-at-Risk 133

8.2.3 Computing Value-at-Risk via Monte Carlo Simulation 134

8.2.4 Computing Value-at-Risk via Historical Simulation 134

8.2.5 Value-at-Risk for Short Positions 136

8.2.6 Comparison of Value-at-Risk Computation Approaches 138

8.3 Nonlinear Market Risks 138

8.3.1 Nonlinearity and Risk Measurement 138

8.3.2 Applying Delta-Gamma Value-at-Risk to the Value of an Option 139

8.3.3 Portfolio Value-at-Risk 141

8.4 Incorporating Extreme Events Into Risk Measurement 142

8.4.1 Why Not Value-at-Risk? 142

8.4.2 Stress Testing and Scenario Analysis 143

8.4.3 Expected Shortfall 145

Further Reading 148

9 Credit and Counterparty Risk 149

9.1 Default, Bankruptcy, and Resolution 149

9.1.1 Equity, Debt, and Leverage 149

9.1.2 Information Costs in Credit Intermediation 150

9.1.3 Default and Migration 151

9.1.4 Counterparty Risk, and Collateral 152

9.1.5 Bankruptcy, Capital Structure, and Resolution 153

9.2 Quantifying Credit Risk 155

9.2.1 Credit Risk Metrics 155

9.2.2 Default Modeling 156

9.2.3 Intensity Models and Default Time Analytics 157

9.3 Single-Obligor Credit Risk Models 158

Further Reading 162

Part III Market Institutions and Risk Assessment 163

10 Interest Rate Risk 165

10.1 Sources of Interest Rate Risk 165

10.2 Interest Rate Risk Measurement 167

10.2.1 Measuring Bond Price Sensitivity to Rates 167

10.2.2 Duration and Convexity 169

10.2.3 Convexity and the Mortgage-Backed Securities Markets 171

10.2.4 Measuring Value-at-Risk for a Bond Position 175

Further Reading 176

11 Leverage 177

11.1 Defining and Measuring Leverage 177

11.1.1 Company Financing 177

11.1.2 Corporate Finance Policy 178

11.1.3 Margin and Haircuts 179

11.2 Attractiveness of Leverage and Reaching for Yield 179

11.3 Leveraged Trades 180

11.3.1 Carry Trades 181

11.3.2 Leveraged Investment Funds 184

11.4 Incentive Alignment and Capital Structure 184

11.4.1 Leverage and Incentives to Risk Shifting 184

11.4.2 Debt Overhang 186

Further Reading 187

12 Liquidity 189

12.1 Funding and Market Liquidity Risk 189

12.1.1 Market Liquidity 189

12.1.2 Market Liquidity Stress Events 191

12.1.3 Funding Liquidity 192

12.2 Private Liquidity Creation: Commercial Banking 193

12.2.1 Historical Emergence of Banks 193

12.2.2 Commercial Bank Liquidity Creation 194

12.2.3 Commercial Bank Risks 195

12.3 Private Liquidity Creation: Short-Term Funding 198

12.3.1 Structure of Collateralized Securities Lending Markets 199

12.3.2 Repo Markets 201

12.3.3 Money Market Mutual Funds 204

Further Reading 206

13 Portfolio Credit Risk 207

13.1 Credit Portfolios and Default Correlation 207

13.1.1 Challenges in Portfolio Credit Risk Modeling 207

13.1.2 Default Correlation 209

13.1.3 Granularity and Uncorrelated Portfolios 210

13.1.4 Granularity, Subadditivity, and Credit Value-at-Risk 212

13.2 Measuring Portfolio Credit Risk 213

13.2.1 Single Factor Credit Risk Model 213

13.2.2 Single Factor Model for Portfolios 216

13.2.3 Portfolio Credit Value-at-Risk 219

Further Reading 223

14 Securitization and Structured Product Risk 225

14.1 Introduction to Securitization 225

14.1.1 Function and Design of Securitization 225

14.1.2 Securitization in the United States 226

14.2 Securitization Structure 228

14.3 Credit Risk Measurement of Securitizations 231

14.3.1 Securitization Loss Scenarios 231

14.3.2 Securitization Risk Modeling 233

14.3.3 Credit Value-at-Risk of Securitizations 237

14.3.4 Risk Analysis and Structuring of Securitizations 238

14.4 Credit Correlation Trading 240

14.4.1 CDS Indexes and Standard Tranches 240

14.4.2 The 2005 Auto Industry Credit Crisis and the "London Whale" 241

Further Reading 244

15 Financial Instability and Financial Crises 245

15.1 Defining Financial Crises 245

15.2 Runs and Liquidity in Financial Crises 246

15.3 Causes of Financial Crises 251

15.3.1 Interest Rates, Volatility, and Financial Imbalances 251

15.3.2 Long-Term Liabilities and Interest Rates 253

15.3.3 Reaching for Yield 254

15.4 International Financial Imbalances 258

15.4.1 Rising International Trade and Global Debt 258

15.4.2 The Role of the US Dollar 260

15.4.3 The Cross-Currency Basis 263

15.4.4 International Financial Imbalances and Stability 264

Further Reading 268

Part IV Monetary and Regulatory Policy 269

16 Overview of Financial Regulation 271

16.1 Structure of Financial Regulation 271

16.1.1 Financial Regulatory Authorities 271

16.1.2 Law and Regulation 272

16.2...

Details
Erscheinungsjahr: 2024
Fachbereich: Betriebswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Einband - fest (Hardcover)
ISBN-13: 9781394179626
ISBN-10: 1394179626
Sprache: Englisch
Einband: Gebunden
Autor: Malz, Allan M
Hersteller: Wiley
Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße: 260 x 187 x 27 mm
Von/Mit: Allan M Malz
Erscheinungsdatum: 29.10.2024
Gewicht: 0,83 kg
Artikel-ID: 127189454
Über den Autor

Allan M. Malz has been chief risk officer at several multi-strategy hedge fund management firms. He worked at the Federal Reserve Bank of New York as a researcher and foreign exchange trader, and helped implement the Fed's emergency liquidity programs addressing the global financial crisis.
Malz is an investment consultant and adjunct professor at Columbia University, and the author of Financial Risk Management: Models, History, and Institutions. His work on predicting financial crises and on risk measurement for options has been published in industry and academic journals. He holds a Ph.D. from Columbia and a Diplom from Ludwig-Maximilians-Universität München.

Inhaltsverzeichnis

List of Figures xiii

List of Tables xvii

Preface xix

About the Author xxi

Part I Finance in the Economic System 1

1 Functions and Structure of the Financial System 3

1.1 Functions of the Financial System 3

1.2 Market Participants, Intermediaries, and Governments 4

1.3 Assets and Markets 6

1.3.1 Money and Money Markets 6

1.3.2 Foreign Exchange 7

1.3.3 Digital Currencies 7

1.3.4 Equity, Loans, and Bonds 7

1.3.5 Spot and Derivative Assets 9

1.3.6 Alternative Investments 11

1.4 Mechanics of Trading 12

1.4.1 Asset Positions and Risk Exposures 12

1.4.2 Market Microstructure 14

1.4.3 Payment Systems 15

1.4.4 Clearing and Settlement 16

Further Reading 17

2 Asset Returns and Risk 19

2.1 Asset Returns and Interest Rates 19

2.1.1 Measuring Asset Returns 19

2.1.2 Interest Rates and Yield Curves 22

2.1.3 Total Returns and Asset Values 25

2.1.4 Inflation and Real Returns 26

2.1.5 Excess Returns 29

2.2 Asset Return Probability Distributions 30

2.3 Financial Risks 32

2.3.1 Market Risk 32

2.3.2 Credit Risk 33

2.3.3 Operational Risks 34

Further Reading 35

3 Information, Preferences, and Asset Prices 37

3.1 Information and the Quantification of Risk 37

3.1.1 Conceptions of Equilibrium 37

3.1.2 Technical Progress 39

3.1.3 Frictions and Transaction Costs 40

3.1.4 Institutions 41

3.2 Risk Premiums 42

3.2.1 The Convention of the Risk-Free Rate and Reference Rates 42

3.2.2 Expected Returns and Risk Premiums 43

3.2.3 Interest Rate Spreads 46

3.3 An Era of Low Interest Rates and Slowing Growth 48

3.3.1 Safe Assets 52

3.3.2 Rising Debt 54

Further Reading 55

Part II Markets, Uncertainty, and Risk 57

4 The Behavior of Asset Returns over Time 59

4.1 Standard Model of Asset Price Behavior and Reality 59

4.2 Return, Volatility, and Correlation Behavior 61

4.2.1 Return Predictability 61

4.2.2 Time Variation in Return Volatility 62

4.2.3 Time Variation in Return Correlation 62

4.3 Volatility Forecasting 64

4.3.1 Simple Approaches to Volatility Estimation 64

4.3.2 The GARCH Model 66

4.3.3 The Exponentially Weighted Moving Average Model 67

4.4 Tail Risk: the Prevalence of Extremes 70

4.4.1 Extreme Asset Returns 70

4.4.2 Skewness and Kurtosis 72

4.4.3 Clues to Financial Puzzles in the Behavior of Volatility 73

Further Reading 75

5 Capital Markets: How Asset Prices Are Determined 77

5.1 Portfolios, Diversification, and Investor Choice 77

5.1.1 Portfolio Risk 77

5.1.2 Optimal Investor Choice 80

5.2 The Capital Asset Pricing Model 82

5.2.1 The Efficiency of the Market Portfolio 83

5.2.2 Estimating Systematic and Nonsystematic Risk 84

5.2.3 More General Factor Models 86

Further Reading 87

6 Derivatives Values and Risks 89

6.1 Futures, Forwards, and Swaps 89

6.1.1 Forward Foreign Exchange Markets 91

6.1.2 Valuation of Interest Rate Swaps 94

6.1.3 The LIBOR Transition 95

6.1.4 Credit Default Swaps 96

6.2 Options 98

6.2.1 Option Values 98

6.2.2 The Option-Implied Volatility Surface 101

6.2.3 Option Risks 102

6.2.4 Put-Call Parity 104

6.2.5 Interest Rate Implied Volatility 104

6.3 Market-Implied Asset Price Forecasts 105

6.3.1 Risk-Neutral Mean Forecasts 105

6.3.2 Risk-Neutral Volatility and Correlation Forecasts 107

6.3.3 Risk-Neutral Probability Distributions 107

Further Reading 109

7 Capital Market Efficiency 111

7.1 Asset Price Behavior in an Efficient Market 111

7.1.1 Validating the Efficient Markets Hypothesis 112

7.1.2 Market Efficiency, Preferences, and Knowledge 113

7.2 Apparent Violations of Market Efficiency 114

7.2.1 Slow Arbitrage 114

7.2.2 Basis Spreads 115

7.2.3 Foreign Exchange Markets 116

7.3 Efficacy of Active Management 117

7.3.1 Passive and Active Investment Management 117

7.3.2 Empirical Validation of Active Management 118

7.3.3 Alternative Investments 122

Further Reading 126

8 Market Risk 129

8.1 Definition of Value-at-Risk 129

8.1.1 Why Value-at-Risk? 129

8.1.2 Value-at-Risk Is a Quantile 130

8.2 Computing Value-at-Risk for One Risk Factor 130

8.2.1 Modeling Approaches to Value-at-Risk Estimation 130

8.2.2 Parametric Normal Value-at-Risk 133

8.2.3 Computing Value-at-Risk via Monte Carlo Simulation 134

8.2.4 Computing Value-at-Risk via Historical Simulation 134

8.2.5 Value-at-Risk for Short Positions 136

8.2.6 Comparison of Value-at-Risk Computation Approaches 138

8.3 Nonlinear Market Risks 138

8.3.1 Nonlinearity and Risk Measurement 138

8.3.2 Applying Delta-Gamma Value-at-Risk to the Value of an Option 139

8.3.3 Portfolio Value-at-Risk 141

8.4 Incorporating Extreme Events Into Risk Measurement 142

8.4.1 Why Not Value-at-Risk? 142

8.4.2 Stress Testing and Scenario Analysis 143

8.4.3 Expected Shortfall 145

Further Reading 148

9 Credit and Counterparty Risk 149

9.1 Default, Bankruptcy, and Resolution 149

9.1.1 Equity, Debt, and Leverage 149

9.1.2 Information Costs in Credit Intermediation 150

9.1.3 Default and Migration 151

9.1.4 Counterparty Risk, and Collateral 152

9.1.5 Bankruptcy, Capital Structure, and Resolution 153

9.2 Quantifying Credit Risk 155

9.2.1 Credit Risk Metrics 155

9.2.2 Default Modeling 156

9.2.3 Intensity Models and Default Time Analytics 157

9.3 Single-Obligor Credit Risk Models 158

Further Reading 162

Part III Market Institutions and Risk Assessment 163

10 Interest Rate Risk 165

10.1 Sources of Interest Rate Risk 165

10.2 Interest Rate Risk Measurement 167

10.2.1 Measuring Bond Price Sensitivity to Rates 167

10.2.2 Duration and Convexity 169

10.2.3 Convexity and the Mortgage-Backed Securities Markets 171

10.2.4 Measuring Value-at-Risk for a Bond Position 175

Further Reading 176

11 Leverage 177

11.1 Defining and Measuring Leverage 177

11.1.1 Company Financing 177

11.1.2 Corporate Finance Policy 178

11.1.3 Margin and Haircuts 179

11.2 Attractiveness of Leverage and Reaching for Yield 179

11.3 Leveraged Trades 180

11.3.1 Carry Trades 181

11.3.2 Leveraged Investment Funds 184

11.4 Incentive Alignment and Capital Structure 184

11.4.1 Leverage and Incentives to Risk Shifting 184

11.4.2 Debt Overhang 186

Further Reading 187

12 Liquidity 189

12.1 Funding and Market Liquidity Risk 189

12.1.1 Market Liquidity 189

12.1.2 Market Liquidity Stress Events 191

12.1.3 Funding Liquidity 192

12.2 Private Liquidity Creation: Commercial Banking 193

12.2.1 Historical Emergence of Banks 193

12.2.2 Commercial Bank Liquidity Creation 194

12.2.3 Commercial Bank Risks 195

12.3 Private Liquidity Creation: Short-Term Funding 198

12.3.1 Structure of Collateralized Securities Lending Markets 199

12.3.2 Repo Markets 201

12.3.3 Money Market Mutual Funds 204

Further Reading 206

13 Portfolio Credit Risk 207

13.1 Credit Portfolios and Default Correlation 207

13.1.1 Challenges in Portfolio Credit Risk Modeling 207

13.1.2 Default Correlation 209

13.1.3 Granularity and Uncorrelated Portfolios 210

13.1.4 Granularity, Subadditivity, and Credit Value-at-Risk 212

13.2 Measuring Portfolio Credit Risk 213

13.2.1 Single Factor Credit Risk Model 213

13.2.2 Single Factor Model for Portfolios 216

13.2.3 Portfolio Credit Value-at-Risk 219

Further Reading 223

14 Securitization and Structured Product Risk 225

14.1 Introduction to Securitization 225

14.1.1 Function and Design of Securitization 225

14.1.2 Securitization in the United States 226

14.2 Securitization Structure 228

14.3 Credit Risk Measurement of Securitizations 231

14.3.1 Securitization Loss Scenarios 231

14.3.2 Securitization Risk Modeling 233

14.3.3 Credit Value-at-Risk of Securitizations 237

14.3.4 Risk Analysis and Structuring of Securitizations 238

14.4 Credit Correlation Trading 240

14.4.1 CDS Indexes and Standard Tranches 240

14.4.2 The 2005 Auto Industry Credit Crisis and the "London Whale" 241

Further Reading 244

15 Financial Instability and Financial Crises 245

15.1 Defining Financial Crises 245

15.2 Runs and Liquidity in Financial Crises 246

15.3 Causes of Financial Crises 251

15.3.1 Interest Rates, Volatility, and Financial Imbalances 251

15.3.2 Long-Term Liabilities and Interest Rates 253

15.3.3 Reaching for Yield 254

15.4 International Financial Imbalances 258

15.4.1 Rising International Trade and Global Debt 258

15.4.2 The Role of the US Dollar 260

15.4.3 The Cross-Currency Basis 263

15.4.4 International Financial Imbalances and Stability 264

Further Reading 268

Part IV Monetary and Regulatory Policy 269

16 Overview of Financial Regulation 271

16.1 Structure of Financial Regulation 271

16.1.1 Financial Regulatory Authorities 271

16.1.2 Law and Regulation 272

16.2...

Details
Erscheinungsjahr: 2024
Fachbereich: Betriebswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Einband - fest (Hardcover)
ISBN-13: 9781394179626
ISBN-10: 1394179626
Sprache: Englisch
Einband: Gebunden
Autor: Malz, Allan M
Hersteller: Wiley
Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße: 260 x 187 x 27 mm
Von/Mit: Allan M Malz
Erscheinungsdatum: 29.10.2024
Gewicht: 0,83 kg
Artikel-ID: 127189454
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