Portfolio Risk Analysis

Portfolio Risk Analysis
Author: Gregory Connor
Publisher: Princeton University Press
Total Pages: 400
Release: 2010-03-15
Genre: Business & Economics
ISBN: 1400835291

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Management and Control of Foreign Exchange Risk

Management and Control of Foreign Exchange Risk
Author: Laurent L. Jacque
Publisher: Springer Science & Business Media
Total Pages: 392
Release: 2013-12-01
Genre: Business & Economics
ISBN: 9400918062

Since I first published Management of Foreign Exchange Risk (Lexington Books, 1978), financial innovation-spurred, in part, by exploding volatility in currency prices-has revolutionized the theory and praxis of foreign exchange risk management. Old-fashioned forward contracts have surrendered market share to currency swaps and options as well as to their perpetually multiplying derivatives. Interestingly, forex derivatives now provide a low cost and highly efficient method of transferring risk from the firms that are exposed to risk but which would rather not be (i. e. , risk-hedgers) to those which are not exposed but which-in exchange for a fee-would assume some exposure to risk (i. e. , risk bearers). Perhaps more importantly, foreign exchange risk management, which was once a fairly mechanical task confmed to the international treasury function, is now permeating global strategic management. Indeed, since the demise of the Bretton Woods system of pegged exchange rates, the cost of forex hedging instruments has fallen so dramatically that firms can readily avail themselves of hedging products which can reduce unwanted risk, thereby potentially gaining a competitive advantage over rivals that do not. Management and Control of Foreign Exchange Risk has grown out of a fundamental revision of my earlier work published almost 20 years ago. In the process, my thinking about risk and its mathematics has greatly benefitted from my association with John Cozzolino and Charles Tapiero.

Financial Risk Management

Financial Risk Management
Author: José A. Soler Ramos
Publisher: IDB
Total Pages: 422
Release: 2000
Genre: Business & Economics
ISBN: 9781886938717

"Drawing on practical methods used by successful risk managers in emerging and developed markets throughout the world, the book provides specific guidance on establishing a modern risk management framework and developing efficient approaches to increase the profitability of risk management activities in emerging market settings."--BOOK JACKET.

A SMART Approach to Portfolio Management

A SMART Approach to Portfolio Management
Author: Arun Muralidhar
Publisher:
Total Pages: 197
Release: 2011-03-01
Genre: Portfolio management
ISBN: 9780615385617

The year 2008 was a watershed year as dramatic market movements exposed the flaws in the theory and practice of pension fund management. Solvency declined dramatically, hedge funds did not deliver, rebalancing policies detracted value and liquidity dried up tainting the allure of "alternative" investments. Static policies for dynamic markets are undoubtedly flawed and have to be changed with the support of appropriate liquid, transparent and low cost benchmarks; implicit bets need to be made explicit and managed; naive performance measures have to be improved; and the CAPM needs to be revamped dramatically. But this process can only start with investors taking the time to understand how various market factors influence assets or managers and then develop a set of rules so that as the factors evolve over time, the optimal portfolio evolves simultaneously. SMART (Systematic Management of Assets using a Rules-based Technique) management of assets and liabilities leads to improved solvency and a lowering of ALM risks. SMART is about introducing good process namely, only measured and monitored risks can be managed. This book presents a new design for pension fund management that allows CIOs to be smart about managing assets relative to liabilities and, at the same time, allows them to access alpha flexibly (and compensate managers only when they demonstrate skill), thereby improving solvency.

Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework

Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework
Author: Romain Lafarguette
Publisher: International Monetary Fund
Total Pages: 33
Release: 2021-02-12
Genre: Business & Economics
ISBN: 1513569406

This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.

Managing Global Financial and Foreign Exchange Rate Risk

Managing Global Financial and Foreign Exchange Rate Risk
Author: Ghassem A. Homaifar
Publisher: John Wiley & Sons
Total Pages: 400
Release: 2003-12-22
Genre: Business & Economics
ISBN: 0471281158

A comprehensive guide to managing global financial risk From the balance of payment exposure to foreign exchange and interest rate risk, to credit derivatives and other exotic options, futures, and swaps for mitigating and transferring risk, this book provides a simple yet comprehensive analysis of complex derivatives pricing and their application in risk management. The risk posed by foreign exchange transactions stems from the volatility of the exchange rate, the volatility of the interest rates, and factors unique to individual companies which are interrelated. To protect and hedge against adverse currency and interest rate changes, multinational corporations need to take concrete steps for mitigating these risks. Managing Global Financial and Foreign Exchange Rate Risk offers a thorough treatment of price, foreign currency, and interest rate risk management practices of multinational corporations in a dynamic global economy. It lays out the pros and cons of various hedging instruments, as well as the economic cost benefit analysis of alternative hedging vehicles. Written in a detailed yet user–friendly manner, this resource provides treasurers and other financial managers with the tools they need to manage their various exposures to credit, price, and foreign exchange risk. Managing Global Financial and Foreign Exchange Rate Risk covers various swaps in this geometrically growing field with notional principal in excess of $120 trillion. From caplet and corridors to call and put swaptions this book covers the micro structure of the swaps, options, futures, and foreign exchange markets. From credit default swap and transfer and convertibility options to asset swap switch and weather derivatives this book illustrates their simple pricing and application. To show real-world examples, each chapter includes a case study highlighting a specific problem, as well as a set of steps to solve it. Numerous charts accompanied with actual Wall Street figures provide the reader with the opportunity to comprehend and appreciate the role and function of derivatives, which are often misunderstood in the financial market. This detailed resource will guide the individual, government and multinational corporations safely through the maze of various exposures. A must-read for treasures, controllers, money mangers, portfolio managers, security analyst and academics, Managing Global Financial and Foreign Exchange Rate Risk represents an important collection of up-to-date risk management solutions. Ghassem A. Homaifar is a professor of financial economics at Middle Tennessee State University. He has Master of Science in Industrial Management from State University of New York at Stony Brook and PhD in Finance from University of Alabama in 1982. He is the author of numerous articles that have appeared in the Journal of Risk and Insurance, Journal of Business Finance and Accounting, Weltwirtschsftliches Archiv Review of World Economics, Advances in Futures and Options Research,Applied Financial Economics, Applied Economics, International Economics, and Global Finance Journal.

Portfolio Management in Practice, Volume 1

Portfolio Management in Practice, Volume 1
Author: CFA Institute
Publisher: John Wiley & Sons
Total Pages: 1328
Release: 2020-11-11
Genre: Business & Economics
ISBN: 1119743710

Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Risk Analysis and Portfolio Modelling

Risk Analysis and Portfolio Modelling
Author: Elisa Luciano
Publisher: MDPI
Total Pages: 224
Release: 2019-10-16
Genre: Business & Economics
ISBN: 3039216244

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.