Escrito por dos analistas senior de las divisiones de gerenciamiento global de dinero y consultoría de riesgo del grupo "BlackRock", este libro utiliza una mezcla intrigante de economía, finanzas, matemáticas para generar técnicas de avanzada en finanzas para gerenciar el riesgo en mercados de activos de rendimiento fijo.
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Capítulos:
CHAPTER
I: THE ART AND SCIENCE OF RISK
MANAGEMENT
1.1. The "Brave New World" of Risk
Management
1.2 Market Risk Management Process
1.3 Theory, Practice, and Computation:
Challenges Specific to
Fixed Income Markets
1.3.1 Price Discovery
1.3.2 Dynamic Portfolio
Characteristics
1.3.3 New Securities, New
Structures, and the Absence of Historical Information
1.4 Statistical Challenges: Risk Management
versus Valuation
1.5 Evolution of Risk Management Ideas
CHAPTER
2: PARAMETRIC APPROACHES TO RISK
MANAGEMENT
2.1 Introduction
2.2 Measuring Interest Rate Exposure: Analytical
Approaches
2.2.1 Macaulay and Modified Duration, and Convexity
2.2.3
Dynamic Nature of Local Risk Measures: Duration and Convexity Drift
2.2.4 Scenario Analysis
2.3 Measuring Interest Rate Exposure: Empirical
Approaches
2.3.1 Coupon Curve Duration
2.3.2 OAS
Curve Duration
2.3.3 Empirical (Implied) Duration
2.4 Measuring Yield Curve Risk
2.4.1
Key Rate Durations
2.4.2
Key Treasury Rate Durations
2.4.3
Yield Curve Reshaping Durations
2.5 Measuring Basis Risks
2.5.1Volatility Duration
2.5.2 Spread Duration
2.6 Measuring Mortgage-Related Risks
2.6.1 Prepayment Duration
2.6.2 MortgagelTreasury Basis Duration
2.7 Measuring Impact of Time
CHAPTER
3 MODELING YIELD CURVE DYNAMICS
3.1 Probability Distributions of Systematic Risk
Factors
3.2 Principal Components Analysis: Theory and
Applications
3.2.1 Introduction
3.2.2 Principal Components Analysis
3.2.3
The First Principal Component and the Term Structure of Volatility
3.2.4
Example: Historical Steepeners and Flatteners of the U.S. Treasury Curve
3.3 Probability Distributions of Interest Rate
Shocks
3.4 Historical Plausibility of Interest Rate
Shocks
3.4.1 Explanatory Power
3.4.2Magnitude Plausibility
3.4.3 Shape Plausibility
3.4.4
Example: An Extreme Market Move During the 1998 Crisis
CHAPTER
4 MEASURING INTEREST RATE, BASIS, AND CURRENCY RISKS
4.1 Deterministic versus Probabilistic Risk
Methodologies
4.1.1Introduction
4.1.2Value-at-Risk
4.2.2
Principal Components Durations, Key Rate Durations, and
Value‑at‑Risk
4.2.3 Effective Risk Profile and Other Practical Applications
4.2.4
Application: Managing a Large Number of Portfolios Against Different
Benchmarks
4.3 Measuring Nondollar Interest Rate, Basis,
and Currency Risks
4.3.1 Global Variance/Covariance Value‑at‑Risk
4.3.2
Non-Dollar
Interest Rate Risks
4.3.3
Foreign Currency Risks
4.3.4
Overview of Systematic Basis Risks
4.3.5 Implied
Volatility Risks
4.3.6 Mortgage Basis Risks
4.3.7 Credit Spread Risks
4.3.8 Applications of VaR to
Portfolio and Risk Management
4.4 Risk Decomposition
4.5 Generic Basis Risks and Their Interest Rate
Directionality
4.5.1 Swap Spread Duration
4.5.2 Generalized Duration
CHAPTER 5: VALUE-AT-RISK METHODOLOGICAL TRADE-OFFS
5.1 General Formulation of Value-at-Risk
5.2 Traditional VaR Trade-off: Nonlinearity
versus
Computational Time
5.3 Additional Trade-off Dimension: Nonlinearity
versus
Distribution of Risk Factors
5.3.1 Traditional and
Principal Components Scenario Analysis
5.3.2
Grid Monte-Carlo
Simulation VaR
5.3.3
Example: Measuring Risk of Duration-Neutral
Yield Curve Bets
5.3.4 Incorporating Evolution
of Securities through Time into VaR
5.3.5
Dimensionality Reduction Tool: Principal Components in Return Space
5.4 Incorporating Nonlinearity Into Global Value-at-Risk
5.5 Historical Simulation Value-at-Risk
5.6 Value-at-Risk Horizon
5.7 Value-at-Risk, Catastrophic Events, and
Stress Testing
CHAPTER 6:
USING PORTFOLIO OPTIMIZATION TECHNIQUES TO
MANAGE RISK
6.1 Risk Measurement versus Risk Management
6.2 Typical Fixed Income Hedges
6.5
Variance /Covariance VaR and Partial Duration Hedge Optimizations
6.5.1 Basic Optimization Variables
6.5.2
Example: Hedging Interest Rate Risk of a Mortgage-Backed
Security
6.5.3
Example: Managing Fixed Income Portfolios Against Their Benchmarks
6.5.4
Example: Incorporating Yield Curve Bets Into Hedge Optimizations
6.6
General Portfolio Optimizations: Return versus Risk
and Cost
6.6.1 Additional Optimization Variables
6.6.2
Example: Hedging Interest Rate Risk With Swaps, Caps, and Floors
6.6.3
Example: AssetlLiability Management via Monte-Carlo
Simulation VaR
Appendix: Description of the Sample Portfolio