Risk Management and Analysis, New Markets and Products - New Markets and Products

Informationen zum Autor Carol Alexander obtained her PhD in Algebraic Number Theory, then worked at the Gemente Universiteit in Amsterdam and at UBS Phillips and Drew in London before joining the Mathematics Faculty of the University of Sussex in 1985. She holds a BSc in Mathematics with Experimental Psychology and an MSc in Econometrics and Mathematical Economics from the London School of Economics. Since 1990 Dr Alexander has been consulting, training, speaking at conferences, writing books and articles, and developing software in the areas of risk management and investment analysis. In 1996 she became the academic director of Algorithmics Inc (part-time) and in 1998 she eventually left the academic world to join Nikko Global Holdings as Director and Head of Market Risk Modelling. However, she retains a visiting fellowship at the University of Sussex. She has developed a number of computer programs and software packages for Risk and Investment analysis based on time series techniques. One of these was the winner of the first International Non-Linear Financial Forecasting Competition in 1997. Another used the concept of cointegration to build long-term index tracking tools for fund management, and long-short strategies for portfolio hedging. A third software module is based on her original research, using orthogonal factors to produce large GARCH covariance matrices for factor models. Klappentext 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 Zusammenfassung Risk management is a high profile area of finance. This revised edition represents the thinking of the specialists in the area, concentrating on the markets and products. There are four new chapters. Inhaltsverzeichnis List of Contributors About the Contributors Preface Foreword Emerging Markets I, Michael J. Howell Introduction Growing Countries not Poor Countries Cross-Border Capital Flows Markets in Emerging Financial Economies The Future Size of Emerging Stock Markets The Growing Need for Financial Development Conclusion Appendix 1: Selected Data on Emerging Markets Appendix 2: Valuation Methods Endnotes References Emerging Markets II, Mark Fox and Ian King Introduction The Beginning of Eme...

List of contents

List of Contributors
 
About the Contributors
 
Preface
 
Foreword
 
Emerging Markets I, Michael J.Howell
 
Introduction
 
Growing Countries not Poor Countries
 
Cross-Border Capital Flows
 
Markets in Emerging Financial Economies
 
The Future Size of Emerging Stock Markets
 
The Growing Need for Financial Development
 
Conclusion
 
Appendix 1: Selected Data on Emerging Markets
 
Appendix 2: Valuation Methods
 
Endnotes
 
References
 
Emerging Markets II, Mark Fox and Ian King
 
Introduction
 
The Beginning of Emerging Markets
 
Defining Emerging Markets
 
The size of Emerging Markets
 
Do Emerging Markets Constitute a Separate Asset Class?
 
Non-Performing Loans
 
History
 
The Present Market
 
Brady Bonds
 
History
 
Structures of Brady Plans
 
The Brady Market
 
Analysing Brady Bonds
 
Evaluating Default Risk
 
Income Guarantees
 
Trading Strategies Exclusive to Brady Bonds
 
Eurobonds
 
History
 
A Changing Role
 
The Role of Credit Curves
 
Using Credit Curves
 
Analysing Credit Curves
 
Trading Credit Curve Shapes
 
Local Markets and Emerging Market Currencies
 
The Role of Local Markets in the Investing Cycle
 
The Character of Local Emerging Debt Markets
 
Russia - A Case Study
 
Strategic Uses for Investing in Local Markets
 
Trading and Managing Local Currency Exposure
 
Trading and Managing Local Interest Rate Exposure
 
Equities
 
History
 
Analysing Emerging Equity Stocks
 
Trading and Managing Emerging Equity
 
Market Exposure
 
Strategic Uses for Investing in Emerging Equity Markets
 
Benchmarks
 
Derivatives
 
Options
 
Repurchase Agreements
 
Structured Notes
 
Credit Derivatives
 
Relative Value Trades
 
Equities
 
Special Considerations in Evaluating Relative Value
 
A Matrix Approach to Regional and Asset Allocation
 
Past Experience
 
Endnotes
 
The Origins of Risk-Neutral Pricing and the Black-Scholes Formula, L.C.G. Rogers
 
Introduction
 
Portfolio Choices
 
Some Notions and Notations from Probability
 
Optimal Investment
 
The Binomial Market and the Black-Scholes Formula
 
Appendix: Two Other Approaches
 
Endnotes
 
References
 
Equity Derivatives Andrew Street
 
Introduction
 
Aims and Scope of this Chapter
 
Classification of Equity Derivatives
 
General Features of Pricing Equity Derivatives
 
Historical Development
 
Listed Equity Derivatives
 
Unlisted or "Over-the-Counter" Equity Derivatives
 
The Utility of Equity Derivatives
 
The Evaluation of Risk and Return
 
Tax Efficiency
 
Regulatory Efficiency
 
Leverage
 
Implementation of Specific Investment Views
 
Efficiency and Cost Effectiveness
 
The Utility of Equity Derivatives for Borrowers
 
The Role of the Investment Bank in the Creation of Equity Derivatives
 
Capital
 
Credit
 
Risk Aggregation
 
Technology
 
Index Products
 
Exchange Traded Equity Derivatives
 
Over-the-Counter Traded Equity Derivatives
 
Hybrid Equity Derivatives
 
Single Stocks, Bespoke Index Products<

Product details

• Authors: Carol (University of Sussex) Alexander
• Assisted by: Carol Alexander (Editor), Alexander Carol (Editor)
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 12.11.1998
• EAN: 9780471979593
• ISBN: 978-0-471-97959-3
• No. of pages: 300
• Series: Wiley Series in Financial Engineering; Risk Management and Analysis
• Subjects: Social sciences, law, business > Business > Business administration; Financial Engineering, Finance & Investments, Finanz- u. Anlagewesen, Finanztechnik, Wirtschaft / Management