Risky Markets

Author : Frank A. Sortino
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750648639
Total Pages : 302 pages
Book Rating : 4.35/5 ( download)

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Download or read book Managing Downside Risk in Financial Markets written by Frank A. Sortino and published by Butterworth-Heinemann. This book was released on 2001-10-02 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal. 'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky. Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control. Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management. The Forsey-Sortino model is an executable program that: 1. Runs on any PC without the need of any additional software. 2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets. 3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates. 4. Calculates upside potential and downside risk from monthly returns on any portfolio manager. 5. Calculates upside potential and downside risk from any user defined distribution. Forsey-Sortino Source Code: 1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services. 2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book. Riddles Spreadsheet: 1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format. 2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index Brings together a range of relevant material, not currently available in a single volume source. Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management. Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors.

Author : David W. Blackwell
Publisher : John Wiley & Sons
ISBN 13 : 0470000104
Total Pages : 516 pages
Book Rating : 4.06/5 ( download)

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Download or read book Modern Financial Markets written by David W. Blackwell and published by John Wiley & Sons. This book was released on 2006-12-18 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Throughout this concise, accessible book, readers will quickly learn the fundamental concepts of managerial finance while discovering how things really work. The material is explained using an intuitive theoretical context, providing them with a richer understanding of the material and better insights into solving problems. Finance concepts are covered in a common sense manner and the use of mathematical jargon is minimized. The unifying theme for the book is the concept of valuation since it is the most fundamental concept in finance. The authors define and discuss value in terms of net present value (NPV).

Author : Kevin Dowd
Publisher : John Wiley & Sons
ISBN 13 : 0470855215
Total Pages : 395 pages
Book Rating : 4.18/5 ( download)

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Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.

Author : Bennett W. Golub
Publisher : John Wiley & Sons
ISBN 13 : 9780471332114
Total Pages : 368 pages
Book Rating : 4.19/5 ( download)

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Download or read book Risk Management written by Bennett W. Golub and published by John Wiley & Sons. This book was released on 2000-07-11 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bei Finanzinstituten spielt das Risikomanagement eine immer größere Rolle. Dieses Buch wendet die neuesten Techniken zur Erstellung von Finanzmodellen auf das Risikomanagement festverzinslicher Wertpapiere an. Geschrieben von zwei erfahrenen Experten im Bereich Risikomanagement, bietet dieser Band eine faszinierende Mischung aus Wirtschaft und Finanzen, Mathematik und gesundem Menschenverstand.

Author : Giovanni Ceccarelli
Publisher : BRILL
ISBN 13 : 9004442456
Total Pages : 379 pages
Book Rating : 4.50/5 ( download)

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Download or read book Risky Markets written by Giovanni Ceccarelli and published by BRILL. This book was released on 2020-11-23 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risky Markets explores a crucial moment in marine insurance history, when tools to tackle risks are in the making. It accounts for one of the earliest attempts of a specialized insurance market is carried out in Renaissance Florence.

Author : Helyette Geman
Publisher : John Wiley & Sons
ISBN 13 : 0470740817
Total Pages : 320 pages
Book Rating : 4.11/5 ( download)

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Download or read book Risk Management in Commodity Markets written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-01-22 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best authors in the field, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also looks at the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. It looks at the implications for climate policy and climate research and analyzes the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world. It is required reading for energy and mining companies, utilities’ practitioners, commodity and cash derivatives traders in investment banks, CTA’s and hedge funds

Author : Frank J. Fabozzi
Publisher : MIT Press
ISBN 13 : 0262029480
Total Pages : 1087 pages
Book Rating : 4.83/5 ( download)

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Download or read book Capital Markets, Fifth Edition written by Frank J. Fabozzi and published by MIT Press. This book was released on 2015-10-23 with total page 1087 pages. Available in PDF, EPUB and Kindle. Book excerpt: The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.

Author : Robert E. Whaley
Publisher : John Wiley & Sons
ISBN 13 : 0470086386
Total Pages : 962 pages
Book Rating : 4.84/5 ( download)

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Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

Author : Pasquale L Scandizzo
Publisher : CRC Press
ISBN 13 : 1000238342
Total Pages : 142 pages
Book Rating : 4.41/5 ( download)

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Download or read book Risky Agricultural Markets written by Pasquale L Scandizzo and published by CRC Press. This book was released on 2019-07-11 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how decisions made by individual farmers influence the efficiency of agricultural markets. Unless farmers properly take account of the correlation between prices and yields in forming their price forecasts, competitive markets will often be socially inefficient, leading to misallocation of resources. The authors demonstrate that a simple and practical price forecasting rule, based on expected per unit revenue, is generally adequate to ensure efficient market behavior.Time-series data from various countries are used to test the hypothesis that market supply is influenced by the correlation of price and yield as well as by lagged market prices . The importance of market inefficiencies in risky situations is shown to, depend on the variability of yields, the nature of farmers'price forecasting behavior, the degree of private risk aversion,and the elasticity of demand. The authors suggest and evaluate three basic policy approaches governments may take when confronted with very inefficient markets--establishing production quotas, improving market information services, and implementing price stabilization schemes. They conclude by discussing implications of the study for the specification of agricultural supply models and for the economic appraisal of risky investment projects.

Author : Jon Danielsson
Publisher : John Wiley & Sons
ISBN 13 : 1119977118
Total Pages : 307 pages
Book Rating : 4.17/5 ( download)

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Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.