Textos

Recomendados por área:

Riesgos Financieros

1) Market Risk Analysis Volume 1-4 (Carol Alexander)

Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Empirical examples and case studies on the CD-ROM include:

• Principal component analysis of European equity indices
• Calibration of Student t distribution by maximum likelihood
• Orthogonal regression and estimation of equity factor models
• Simulations of geometric Brownian motion, and of correlated Student t variables
• Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula
• Cubic spline fitting of yields curves and implied volatilities
• Solution of Markowitz problem with no short sales and other constraints
• Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.

Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Empirical examples and case studies on the CD-ROM include:

• Principal component analysis of yield curves with 60 maturities
• Estimation of symmetric and asymmetric, normal and Student t GARCH and EGARCH parameters
• Simulation of normal mixture and Markov switching GARCH returns
• Estimation of Markov switching models (Eviews code)
• GARCH term structure forecasting with volatility targeting
• Cointegration based index tracking and pairs trading models
• Normal, Student t, Gumbel, Clayton, normal mixture copula densities
• Simulation from bivariate distributions defined by various marginals and copulas
• Monte Carlo simulation from quantile distributions
• Copula quantile regression.

Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces (the implied and the local volatility surfaces) that accompany an option pricing model, with particular reference to hedging. Empirical examples and case studies on the CD-ROM include:

• Duration-Convexity approximation to bond portfolios, and portfolio immunization
• Pricing floaters and vanilla, basis and variance swaps
• Coupon stripping and yield curve fitting
• Proxy hedging, and hedging international securities and energy futures portfolios
• Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, 'best-of' and spread options
• Libor model calibration
• Dynamic models for implied volatility based on principal component analysis
• Calibration of stochastic volatility models (Matlab code)
• Simulations from stochastic volatility and jump models
• Duration, PV01 and volatility invariant cash flow mappings
• Delta-gamma-theta-vega mappings for options portfolios
• Volatility beta mapping to volatility indices.

Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing. Empirical examples and case studies on the CD-ROM include:

• Parametric linear value at risk (VaR) models: normal, Student t and normal mixture and their expected tail loss (ETL)
• New formulae for parametric linear VaR based on autocorrelated returns
• Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR
• Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas
• Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios
• Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components
• Backtesting and the assessment of risk model risk
• Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

2) Medición y control de riesgos financieros (Alfonso de Lara Haro)

Esta obra es un esfuerzo por difundir los principales conceptos en la medición de riesgos desde un punto de vista pragmático, de tal suerte que las metodologías puedan ser entendidas por ejecutivos y estudiantes no expertos en la materia, ya que explica, entre otros conceptos de igual importancia, las herramientas que son indispensables para una efectiva administración de riesgos con visión integral, tales como el Valor en Riesgo (VaR), pruebas de stress, backtesting e indicadores de desempeño, así como modelos de riesgo de crédito.

La medición y el control del riesto de crédito en las entidades financieras ha experimentado notables cambios en las dos últimas décadas, siendo uno de los más llamtivos el referido a la complejidad de los modelos utilizados. Esta evolución está íntimamente ligada a la profunda transf ormación que ha experimentado el sistema financiero mundial y, de manera singular, al crecimiento en volumen y tipología de nuevos instrumentos y mercados financieros.

Los organismos supervisores nacionales y supranacionales se han visto obligados a adaptar su paso a este vertiginoso ritmo de cambios y, como consecuencia de ello, hemos asistido a una sucesión de normas que tratan de proteger la solvencia de las entidades financieras y los riesgos a los clientes de las mismas.

En este libro se han unido los esfuerzos y conocimientos de especialistas del ámbito académico y profesionales de reconocido prestigio de las entidades financieras, con el objetivo de revisar los modelos de riesto de crédito que utilizan las entidades financieras en sus principales áreas de negocio, sus carácterísticas y posibles aplicaciones. Todo ello con rigor y profundidad, pero tratando a la vez de hacer un libro claro y comprensible para el lector.