The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.
It is divided into five parts:
Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.
In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems.
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds.
The contents of this book include: Introduction (L. Renneboog) Part 1: Corporate restructuring; mergers and acquisitions in Europe (M. Martynova, L. Renneboog); the performance of acquisitive companies in the US (K. Cools, M. V. D. Laar); The announcement effects and long-run stock market performance of corporate spin-offs: The international evidence (C. veld, Y. Veld-Merkoulova); the competitive challenge in banking (A. Boot, A. Schmeits); Consolidation of the European banking sector: Impact on innovation (H. Degryse, S. Ongena, M.F. Penas)...
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.This handbook is indispensable for any serious assessment of the state of the art on the famous equity premium puzzle.
Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions....
.“This book develops the conceptual foundations required for the analysis of markets with asymmetric information, and uses them to provide a clear survey and synthesis of the theoretical literature on bubbles, market microstructure, crashes, and herding in ﬁnancial markets. The book is not only useful to the beginner who requires a guide through the rapidly developing literature, but provides insight and perspective that the expert will also appreciate.
This book grows out of 20 years’ banking research and training of bankers in
Europe, the Americas, Africa and Asia. As deregulation and competition are
reducing margins around the world, the need for knowledge on Asset and
Liability Management, the control of bank’s profit and risks, becomes an
absolute necessity for any banker in charge of a profit centre, central bankers
in charge of bank supervision, and banks’ auditors, consultants or lawyers.
In the developed capital market, AMCs offer wider varieties of fund objectives and policies
responding to investor risk preferences. Specialized equity funds focus on narrow industry segments
dominate U.S. asset management industry (Bogle (2005)). Management fees of equity funds can be
viewed as the indicator of security selection and portfolio management skills of fund managers. Nazir
and Nawaz (2010) documented that higher management fees lead to higher total fund returns reflecting
in higher risk adjusted return or Sharpe’s ratio. ...
This title sets out to equip the lay reader with a clear and thorough explanation of financial derivatives and how they work. It features an introduction to the entire realm of derivatives, utilising a range of real life examples to provide a broad outlook on the subject matter which is global in perspective. It also presents a lucid conceptual background to derivatives by avoiding unecessary technical details.
Corporate financial managers continually invest funds in assets, and these assets produce income and cash flows that the firm can then either reinvest in more assets or distribute to the owners
of the firm. Capital investment refers to the firm’s investment in assets, and these investments may be either short term or long term in nature. Capital budgeting decisions involve the long-term commitment
of a firm’s scarce resources in capital investments. When such a decision is made, the firm is committed to a current and possibly future outlay of funds....
PROTECTING YOUR WEALTH IN GOOD TIMES AND BAD is an essential
guidebook to a secure saving and investing strategy. Step by step,
this book walks you through the process of developing and imple-
menting a sound lifelong plan to grow and protect your hard-
earned assets. Understanding how the accumulation and distribu-
tion of money will take place during the course of your life is crit-
ical to forming a financial plan. Equally as important is the use of
proper investing principles during all stages of...
While the discussion of abnormal profit generation in inefficient markets can apply to any number
of asset classes that trade in private markets, most of these markets suffer from a lack of data
availability. The real estate market is an exception in this respect, and therefore provides an excellent
laboratory for constructing a systematic view of whether and how informed institutional-level
investors can generate abnormal profits through active trading in a somewhat inefficient market.
Remaining Funds, which account for €147 billion of shares/units in issue, consist primarily
of mixed funds, but also include real estate and other unclassified funds. This category has
performed positively in Q1 2012, second only to equity funds in terms of revaluations, with
asset growth of €8.9 billion or 6.4 per cent. Remaining funds were the strongest performing
category in Q4 2011, and despite a continued resilient performance, the category attracted
negligible net new investment of €0.1 billion.
Chapter 14 - Interest rate risk measurement. Upon completion of this lesson, the successful participant will be able to: Describe interest rate risk and its forms, identify the components of an interest rate risk exposure management system, explain the interest rate risk management principle of asset repricing before liabilities,...
When talking about cryptography, we refer to senders and receivers wishing
to exchange messages or plaintext by exchanging ciphertext. It is assumed that
an eavesdropper reading ciphertext should not be able to extract corresponding
plaintext. This characteristic is called conﬁdentiality. The process performed
by a sender to hide plaintext is called encryption, the reverse operation is called
decryption. These processes are often expressed as mathematic functions or com-
puting algorithms. The encryption and decryption algorithms together constitute
Chapter 5 - Risk and return. In this chapter we will focus our discussion on risk and return for common stock for an individual investor. The results, however, can be extended to other assets and classes of investors. In fact, in later chapters we will take a close look at the firm as an investor in assets (projects) when we take up the topic of capital budgeting.
In the previous chapter, we were occupied with questions concerning the optimal level of current assets for the firm. By examining the trade-off between profitability and risk, we were able to determine, generally, the proper level of current assets that the firm should carry. Once the overall level of current assets is determined, other questions remain. How much should be carried in cash? How much should be carried in marketable securities? We are going to find out how to answer these questions.