Contemporary Finance (eBook)

Money, Risk, and Public Policy

Allan M. Malz (Autor)

eBook Download: EPUB

2024
868 Seiten
Wiley (Verlag)
978-1-394-17963-3 (ISBN)

Infos

A clear new finance textbook that explains essential models and practices, and how the financial world works now

Contemporary Financial Markets and Institutions: Tools and Techniques to Manage Risk and Uncertainty is an ideal introduction to finance for professionals and students. It covers the basic finance theory required to understand the contemporary financial world and builds on it to present finance in a detailed yet comprehensible way. It explains markets and institutions, and the central bank and government policies that influence how they operate.

The book begins with an overview of basic finance theory, including investments, asset return behavior, derivatives pricing, and credit risk. It discusses topics that have dominated markets in recent decades, such as extreme events, liquidity, currency and debt crises, and radical changes in monetary policy and regulation. The concepts are presented alongside examples, strange market episodes, and data from recent experience. Contemporary Financial Markets and Institutions covers advanced credit topics like securitization in a straightforward, succinct way, without advanced mathematics, but with detailed examples using real market data. It integrates financial and macroeconomic content seamlessly. The book is suitable for use by undergraduate and graduate students, and by practitioners of all backgrounds. Abundant pedagogical resources in the book and online facilitate teaching.
This book will help students and practioners:

• Learn the basic concepts and models in finance, including investment, asset pricing, uncertainty and risk, monetary policy and the regulatory system
• Explore recent developments, from the expansion of central banks to the chaos in commercial banking to changes in financial technology, that are dominating markets worldwide
• Gain knowledge of risk types, models, and measurement methods, and the impact of regulation
• Prepare yourself for a successful career in finance, or update your existing knowledge base with this comprehensive reference guide

Ideal as a sole or supplementary textbook for beginning and advanced finance courses, as well as for practitioners in finance-related fields, this book takes a unique, market-focused approach that will serve readers well in our turbulent and puzzling times.

Allan M. Malz has been chief risk officer at several multi-strategy hedge fund management firms. He worked at the Federal Reserve Bank of New York as a researcher and foreign exchange trader, and helped implement the Fed's emergency liquidity programs addressing the global financial crisis.

Malz is an investment consultant and adjunct professor at Columbia University, and the author of Financial Risk Management: Models, History, and Institutions. His work on predicting financial crises and on risk measurement for options has been published in industry and academic journals. He holds a Ph.D. from Columbia and a Diplom from Ludwig-Maximilians-Universität München.

Textauszug

List of Figures

Figure 1.1  Who’s borrowing in the United States, 1945–2023

Figure 1.2  Who’s lending in the United States, 1945–2023

Figure 1.3  OTC derivatives markets 1998–2022

Figure 2.1  Comparing arithmetic and logarithmic returns

Figure 2.2  US Treasury yield curve

Figure 2.3  Spot and forward curves in the example

Figure 2.4  Price and total return of S&P 500 1971–2024

Figure 2.5  Nominal and real return of T-bills 1971–2024

Figure 2.6  Nominal and real return of S&P 500 1971–2024

Figure 2.7  Cumulative total and excess return of S&P 500 1971–2024

Figure 2.8  Comparison of more and less volatile stocks

Figure 2.9  Impact of correlation on joint return distributions

Figure 3.1   US and Turkish dollar-denominated sovereign yield curves

Figure 3.2  US credit spreads 1996–2024

Figure 3.3  European credit spreads 1999–2024

Figure 3.4  US 2- and 10-year nominal rates 1976–2024

Figure 3.5  US, German, and Japanese 10-year nominal rates 1976–2023

Figure 3.6  US inflation 1960–2023

Figure 3.7  Estimated US real interest rates 1961–2023

Figure 3.8  US GDP growth rate and its volatility 1947–2023

Figure 3.9  US labor productivity 1947–2023

Figure 3.10   World GDP per capita 1820–2018

Figure 3.11    Life expectancy 1770–2021

Figure 3.12   US debt-to-GDP ratio by sector 1946–2022

Figure 4.1  Sample paths of a geometric Brownian motion

Figure 4.2  Volatility of crude oil prices 1987–2024

Figure 4.3  Correlation of stock returns and rates 1962–2024

Figure 4.4  Effect of the decay factor on the volatility forecast

Figure 4.5  GARCH(1,1) and EWMA volatility estimates

Figure 4.6  S&P 500 returns 1927–2023

Figure 4.7  10-year Treasury Note yield fluctuations 1962–2024

Figure 4.8  Exchange rate volatility

Figure 4.9  Normal and non-normal distributions

Figure 4.10   Quantile plot of S&P 500 returns 1928–2020

Figure 4.11   Volatility asymmetry in the US stock market 1927–2023

Figure 5.1  Impact of diversification on portfolio return volatility

Figure 5.2  The risk-return trade-off

Figure 5.3  Optimal portfolios

Figure 5.4  Optimal investor choice with a risk-free asset

Figure 5.5  Computing beta via linear regression

Figure 6.1  S&P 500 index volatility smile

Figure 6.2  Risk-neutral distribution of the EUR-USD exchange rate

Figure 7.1  Evidence on active management outperformance

Figure 7.2  Returns to option writing strategies

Figure 8.1  Distribution and quantile functions

Figure 8.2  Value-at-Risk example

Figure 8.3  Monte Carlo computation of Value-at-Risk

Figure 8.4  Computation of Value-at-Risk by historical simulation

Figure 8.5  Historical simulation Value-at-Risk scenario

Figure 8.6  Value-at-Risk responsiveness to shocks

Figure 8.7  Nonlinearity and option risk

Figure 8.8  Delta and delta-gamma approximations

Figure 8.9  Definition of expected shortfall

Figure 8.10   Relationship of expected shortfall to Value-at-Risk

Figure 9.1  Schematic company or household balance sheet

Figure 9.2  US bond market default rates 1920–2022

Figure 9.3  Default time distribution with a constant hazard rate

Figure 9.4  Merton default model

Figure 10.1    Yield curve scenario analysis: parallel shift

Figure 10.2    Yield curve scenario analysis: curve steepening

Figure 10.3    Duration and convexity of US 10-year note

Figure 10.4    Response of US 10-year note to shocks

Figure 10.5    MBS convexity risk

Figure 12.1    Schematic balance sheet of a commercial bank

Figure 12.2    US commercial banking assets and liabilities 1991–2023

Figure 12.3    Bank charge-off and delinquency rates 1985–2022

Figure 12.4    Net interest margin of US banks 1934–2023

Figure 12.5    US stock market margin debt 1997–2023

Figure 12.6    US broker-dealer and triparty repo 1975–2023

Figure 12.7    Owners of money market fund shares 1974–2023

Figure 12.8    Money market fund assets 1974–2023

Figure 13.1    Skewness of credit risk

Figure 13.2    Uncorrelated default count distribution

Figure 13.3    Uncorrelated default count distribution and granularity

Figure 13.4    Default probability in the single factor model

Figure 13.5    Asset and market returns in the single factor model

Figure 13.6    Correlated and uncorrelated defaults

Figure 13.7    Conditional default probability distribution

Figure 13.8    Market factor and loss rate

Figure 13.9    Credit loss distribution and default correlation

Figure 13.10  Credit loss distribution and default probability

Figure 13.11   Credit Value-at-Risk and default correlation

Figure 14.1    US fixed-income securities issuance 1996–2023

Figure 14.2    US asset-backed securities issuance 1985–2023

Figure 14.3    US asset-backed securities outstanding 1985–2021

Figure 14.4    US credit spreads 1997–2019

Figure 14.5    Tranche structure of a securitization

Figure 14.6    Pool and tranche returns in the example.

Figure 14.7    Cumulative distribution function of pool losses

Figure 14.8    Pool default behavior and senior bond returns

Figure 14.9    Pool default behavior and equity tranche returns

Figure 14.10  Pool default behavior and mezzanine tranche returns

Figure 14.11   Credit Value-at-Risk of bond tranches

Figure 14.12  Markit iTraxx CDS data 2011–2012

Figure 14.13  Stylized P&L of the Whale portfolio

Figure 15.1    Growth rate of US bank lending 1970–2023

Figure 15.2    AA financial commercial paper 2006–2010

Figure 15.3    LIBOR-OIS spread 2006–2024

Figure 15.4    Equity- and swaption-implied volatility 1990–2024

Figure 15.5    Implied and realized volatility 1990–2024

Figure 15.6    Public pension plan underfunding 1975–2023

Figure 15.7    Swap spreads 1999–2023

Figure 15.8    US insurance company credit allocation 2005–2022

Figure 15.9    World trade relative to GDP 1970–2021

Figure 15.10  Euro-Swiss franc exchange rate...

Produkt-Details

• Erscheint lt. Verlag: 22.10.2024
• Reihe/Serie: Wiley Finance
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Basic Finance • basics of corporate finance • Economics • Finance • Finance Textbook • Financial institutions • Financial Uncertainty • Global Finance • International finance • Investment banking • regulatory finance • Risk Management • Risk Measurement
• ISBN-10: 1-394-17963-4 / 1394179634
• ISBN-13: 978-1-394-17963-3 / 9781394179633