Hedging Market Exposures
Author： Oleg V. Bychuk Brian Haughey
Publisher： John Wiley & Sons Inc
Publication year： 2011
E-ISBN: 9781118085356
P-ISBN(Hardback): 9780470535066
Subject： F830.91 Securities Market
Language： ENG
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Description
Preface ixIntroduction xiAbout the Authors xviiCHAPTER 1
The Economic Environment 11.1 Introduction 11.2 Inflation and Unemployment 51.3 Central Banks and the Money Supply 61.4 The Business Cycle 91.5 Predicting the Future? 111.6 Economic Indicators 11CHAPTER 2
Risk: An Introduction 172.1 What Is Risk? 172.2 Risks of Financial Instruments 192.3 Operational Risk 432.4 What Risks Are in Your Portfolio? Hidden Hazards 442.5 Hedging Market Risks 47CHAPTER 3
Asset Modeling 513.1 Asset Value 513.2 Financial Models 553.3 Valuation Principles 703.4 Discount Rates Selection 743.5 Cash Flow Projection and Asset Valuation 803.6 Stochastic Asset Valuation 823.7 The Monte Carlo Method 883.8 Stochastic Extrapolation 100CHAPTER 4
Market Exposures and Factor Sensitivities 1034.1 From Valuation to Responses and Sensitivities 1034.2 Response Matrix and Scenario Grid 1054.3 Stress-Testing 1094.4 Sensitivities 1104.5 Interest Rate Sensitivities: Duration, PV01, Convexity, Key Rate Measures 1264.6 Numerical Evaluation of Sensitivities 1374.7 Performance Attribution and Completeness Test 139CHAPTER 5
Quantifying Portfolio Risks 1455.1 The Nature of Risk 1455.2 Standard Risk Measures 1495.3 Optimal Hedge Sizing 1605.4 Tail-Risk Measures 162CHAPTER 6
The Decision to Hedge 1716.1 To Hedge or Not to Hedge? 1716.2 The Hedging Process 178CHAPTER 7
Constructing a Hedge 1937.1 An Ideal Hedge 1937.2 A Sample Hedge 1947.3 Static and Dynamic Hedging 2007.4 Proxy Hedging 2057.5 Protection versus Upside 2087.6 Basis Risk 2117.7 Unintended Consequences 2137.8 Hedging Credit Risk 2147.9 Hedging Prepayment, Redemption, and Other Human Behavior Risks 2217.10 Execution 223APPENDIX ABasics of Probability Theory 227APPENDIX BElements of Statistics and Time Series Analysis 247References 255Glossary 259Index 281
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