Asset and Risk Management

Risk Oriented Finance

By: Louis Esch, Robert Kieffer, Thierry Lopez

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Product code: 21042
ISBN: 0471491446
392 pages
Format: Hb
Published by: John Wiley & Sons, 2005, 1st edition

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Asset and Risk Management - front page cover image

Description of Asset and Risk Management

- Applies risk management techniques to asset management - showing how modern risk measurement techniques can assist in portfolio management

- Integrates risk management and asset & liability management (ALM), describing techniques for measuring structural balance sheet risks

- Clearly and accessibly written

- CD-Rom containing examples from the text

- Foreword from Philippe Jorion

Asset and Risk Management - Chapter headings

Collaborators
Foreword by Philippe Jorion
Acknowledgements
Introduction
Areas covered
Who is this book for?

PART ONE: MASSIVE CHANGES IN THE WORLD OF FINANCE

Introduction

1. The Regulatory Context
1.1 Precautionary surveillance
1.2 The Basle Committee
1.3 Accounting Standards

2. Changes in Financial Risk Management
2.1 Definitions
2.2 Changes in financial risk management
2.3 A new risk-return world

PART TWO: EVALUATING FINANCIAL ASSETS

Introduction

3. Shares
3.1 The basics
3.2 Portfolio diversification and management
3.3 Model of financial asset equilibrium and applications
3.4 Share development models

4. Debentures
4.1 Characteristics and evaluation
4.2 Debentures and financial risk
4.3 Determinist structure of interest rates
4.4 Debenture portfolio management strategies
4.5 Stochastic debenture development models

5. Options
5.1 Definitions
5.2 Value of an option
5.3 Evaluation models
5.4 Strategies on options

PART THREE: GENERAL THEORY OF VA

Introduction

6. Theory of VAR
6.1 The concept of "risk per share"
6.2 VAR for an isolated asset
6.3 VAR for a portfolio

7. VAR Estimation Techniques
7.1. General problems in estimating VAR
7.2 Estimated variation and co-variation matrix method
7.3 The Monte Carlo simulation
7.4 Historical simulation
7.5 Advantages and shortcomings

8. Setting up a VAR Methodology
8.1 Putting together the database
8.2 Calculations
8.3 The normality hypothesis

PART FOUR: FROM RISK MANAGEMENT TO ASSET MANAGEMENT

Introduction

9. Portfolio Risk Management
9.1 General principles
9.2 Method of portfolio risk management

10. Optimising the Global Portfolio Via VAR
10.1 Taking account of VAR in Sharpe’s simple index method
10.2 Taking account of VAR in the EGP method
10.3 Optimising a global portfolio via VAR
11 Institutional Management: APT Applied to SICAV
11.1 Absolute global risk
11.2 Relative global risk / tracking error
11.3 Relative fund risk abacus compared to benchmark
11.4 Allocation of systematic risk
11.5 Allocation of performance level
11.6 Gross performance level and risk withdrawal
11.7 Analysis of style

PART FIVE: FROM RISK MANAGEMENT TO ASSET AND LIABILITY MANAGEMENT

Introduction

12. Techniques for Measuring Structural Balance Sheet Risks
12.1 Tools for structural risk analysis in asset and liability management
12.2 Simulations
12.3 Using VAR in ALM
12.4 Repricing schedules (modelling of contracts with revisable rates)
12.5 Replicating portfolios

ANNEXES

Annex 1: Mathematical Concepts
Annex 2: Probability Concepts
Annex 3: Statistical Concepts
Annex 4: Extreme Value Theory
Annex 5: Canonical Correlations
Annex 6: Algebraic Presentation of Logistical Regression
Annex 7: Temporal Series Models: ARCH-GARCH - EGARCH
Annex 8: Numerical Methods for Resolving Non-linear Equations

Bibliography
Index

Authobiography of Louis Esch, Robert Kieffer, Thierry Lopez

Louis Esch Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the "Quantitative Management Methods" unit. He is also conference master at the University of Liège.

Robert Kieffer Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training.

Thierry Lopez Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals).

Assisted by: Christian Berbé, Pascal Damel, Michel Debay, Jean-François Hannosset.