Asset and risk management: Risk oriented finance by Louis Esch, Robert Kieffer, Thierry Lopez

By Louis Esch, Robert Kieffer, Thierry Lopez

  • Applies danger administration suggestions to asset administration - exhibiting how smooth possibility dimension suggestions may help in portfolio administration.
  • Integrates threat administration and asset & legal responsibility administration (ALM), describing ideas for measuring structural stability sheet dangers.
  • Clearly and accessibly written
  • CD-Rom containing examples from the textual content.
  • Foreword from Philippe Jorion

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Sample text

Xn of the various explanatory variables and of that ( ε) of the residue: p = a0 + a1 X1 + . . + an Xn + ε. 4). This model suggests that the variation5 in price of an equity is a first-degree function of the variation in a general index of the market (of course, the coefficients of this first-degree function vary from one security to another: p = α + β I + ε. 6 4 Brearley R. A. and Myers S. , Principles of Corporate Finance, McGraw-Hill, 1991. , Gillet R. , Gestion de Portefeuille, De Boeck, 1997.

7. Part II Evaluating Financial Assets Introduction 3 Equities 4 Bonds 5 Options 30 Asset and Risk Management Introduction Two fundamental elements Evaluation of financial assets should take account of two fundamental aspects – chance and time. The random aspect It is obvious that the changes in value of a financial asset cannot be predicted in a deterministic manner purely by looking at what happened in the past. It is quite clear that for equities, whose rates fluctuate according to the law of supply and demand, these rates are themselves dictated by the perception that market participants have of the value of the business in question.

The repos market. 2. The OTC derivatives market (especially if the institution has no rating). 3. Payment and settlement systems. The assets used as collateral are: • Cash (which will be avoided as it inflates the balance sheet, to say nothing of the operational risks associated with transfers and the risk of depositor bankruptcy). • Government bonds (although the stocks are becoming weaker). • The effects of major indices (because these are liquid, as their capitalisation classifies them as such indices).

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