Contemporary Finance (eBook)
868 Seiten
Wiley (Verlag)
978-1-394-17963-3 (ISBN)
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.
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...
| 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 |
| Haben Sie eine Frage zum Produkt? |
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