MARC Record from marc_nuls

LEADER: 05316cam 22003374a 4500
001 9920007660001661
005 20150423123928.0
008 000228s2000 nyua b 001 0 eng
010 $a 00027328
020 $a0471332119 (cloth : alk. paper)
035 $a(CSdNU)u100786-01national_inst
035 $a(Sirsi) l00027328
035 $a(Sirsi) l00027328
035 $a(Sirsi) 01-AAM-6670
035 $a 00027328
040 $aDLC$cDLC$dDLC$dOrPss
042 $apcc
050 00 $aHG 4650$bG65 2000
100 1 $aGolub, Bennett W.
245 10 $aRisk management :$bapproaches for fixed income markets /$cBennett W. Golub, Leo M. Tilman.
260 $aNew York :$bWiley,$c2000.
300 $axxiii, 312 p. :$bill. ;$c24 cm.
440 0 $aWiley frontiers in finance
504 $aIncludes bibliographical references (p. 298-304) and index.
505 0 $aThe Art and Science of Risk Management -- The "Brave New World" of Risk Management -- Market Risk Management Process -- Theory, Practice, and Computation: Challenges Specific to Fixed Income Markets -- Price Discovery -- Dynamic Portfolio Characteristics -- New Securities, New Structures, and the Absence of Historical Information -- Statistical Challenges: Risk Management versus Valuation -- Evolution of Risk Management Ideas -- Parametric Approaches to Risk Management -- Measuring Interest Rate Exposure: Analytical Approaches -- Macaulay and Modified Duration, and Convexity -- Option-Adjusted Framework: OAV, OAS, OAD, OAC -- Dynamic Nature of Local Risk Measures: Duration and Convexity Drift -- Scenario Analysis -- Measuring Interest Rate Exposure: Empirical Approaches -- Coupon Curve Duration -- OAS Curve Duration -- Empirical (Implied) Duration -- Measuring Yield Curve Risk -- Key Rate Durations -- Key Treasury Rate Durations -- Yield Curve Reshaping Durations -- Measuring Basis Risks -- Volatility Duration -- Spread Duration -- Measuring Mortgage-Related Risks -- Prepayment Duration -- Mortgage/Treasury Basis Duration -- Measuring Impact of Time -- Modeling Yield Curve Dynamics -- Probability Distributions of Systematic Risk Factors -- Principal Components Analysis: Theory and Applications -- Principal Components Analysis -- The First Principal Component and the Term Structure of Volatility -- Example: Historical Steepeners and Flatteners of the U.S. Treasury Curve -- Probability Distributions of Interest Rate Shocks -- Historical Plausibility of Interest Rate Shocks -- Explanatory Power -- Magnitude Plausibility -- Shape Plausibility -- Example: An Extreme Market Move During the 1998 Crisis -- Measuring Interest Rate, Basis, and Currency Risks -- Deterministic versus Probabilistic Risk Methodologies -- Value-at-Risk -- Measuring U.S. Interest Rate Risk -- Variance/Covariance Value-at-Risk and Ex Ante Tracking Error -- Principal Components Durations, Key Rate Durations, and Value-at-Risk -- Effective Risk Profile and Other Practical Applications -- Application: Managing a Large Number of Portfolios Against Different Benchmarks -- Measuring Nondollar Interest Rate, Basis, and Currency Risks -- Global Variance/Covariance Value-at-Risk -- Non-Dollar Interest Rate Risks -- Foreign Currency Risks -- Overview of Systematic Basis Risks -- Implied Volatility Risks -- Mortgage Basis Risks -- Credit Spread Risks -- Applications of VaR to Portfolio and Risk Management -- Risk Decomposition -- Generic Basis Risks and Their Interest Rate Directionality -- Swap Spread Duration -- Generalized Duration -- Value-at-Risk Methodological Trade-Offs -- General Formulation of Value-at-Risk -- Traditional VaR Trade-off: Nonlinearity versus Computational Time -- Additional Trade-off Dimension: Nonlinearity versus Distribution of Risk Factors -- Traditional and Principal Components Scenario Analysis -- Grid Monte-Carlo Simulation VaR -- Example: Measuring Risk of Duration-Neutral Yield Curve Bets -- Incorporating Evolution of Securities through Time into VaR -- Dimensionality Reduction Tool: Principal Components in Return Space -- Incorporating Nonlinearity Into Global Value-at-Risk -- Historical Simulation Value-at-Risk -- Value-at-Risk Horizon -- Value-at-Risk, Catastrophic Events, and Stress Testing -- Using Portfolio Optimization Techniques to Manage Risk -- Risk Measurement versus Risk Management -- Typical Fixed Income Hedges -- Parametric Hedging Techniques -- Generalized Approach to Hedging (with William De Leon) -- Variance/Covariance VaR and Partial Duration Hedge Optimizations -- Basic Optimization Variables -- Example: Hedging Interest Rate Risk of a Mortgage-Backed Security -- Example: Managing Fixed Income Portfolios Against Their Benchmarks -- Example: Incorporating Yield Curve Bets Into Hedge Optimizations -- General Portfolio Optimizations: Return versus Risk and Cost -- Additional Optimization Variables -- Example: Hedging Interest Rate Risk With Swaps, Caps, and Floors -- Example: Asset/Liability Management via Monte-Carlo Simulation VaR -- Description of the Sample Portfolio.
650 0 $aFixed-income securities.
650 0 $aPortfolio management.
650 0 $aRisk management.
700 1 $aTilman, Leo M.,$d1971-
948 $a03/13/2002$b03/20/2002
999 $aHG 4650 G65 2000$wLC$c1$i31786101652953$d5/11/2013$f4/9/2004$g1 $lCIRCSTACKS$mNULS$q1$rY$sY$tBOOK$u3/20/2002