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Jingdong book

金融风险管理（第二版）/金融学译丛

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Jingdong book

金融风险管理（第二版）/金融学译丛

Name: 金融风险管理（第二版）/金融学译丛
Brand: Jingdong book
SKU: 3111001901
Price: 31.46 USD
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Content Description

自从金融市场产生以来，金融风险就如影随形地伴随而生了，金融风险管理也就成为金融管理中的核心内容。本书从金融风险管理的模型和技术角度，对金融风险管理进行了深入分析。全书共分为四个部分：第一部分介绍了一些金融风险管理的基础理论和知识；第二部分讨论了单变量风险模型；第三部分则阐述了多变量风险模型；第四部分介绍了风险管理方面的一些深入话题。
《金融风险管理（第二版）/金融学译丛》具有以下几个方面的特色：一是，内容自成体系，紧扣金融风险管理技术和模型的主线；二是行文和表达深入浅出，对金融风险管理的技术和模型讲解得非常透彻，对于想深入学习的读者来说，可以获得足够的相关知识，而对于只想简单了解的读者来说，略过那些较深的技术性内容，也可以几乎毫障碍地学到需要的知识；三是，很好地将理论和实践结合起来，在每一章的结尾都有基于Excel的实证练习，让读者可以在练习的过程中更好地掌握相应的理论和模型知识。
本书适用的读者范围比较广，不仅适用于金融、经济、管理等专业高年级本科生、硕士生甚至博士生教学和参考，也适用于MBA学生的相关课程，而对于金融业及相关行业的实务工作者，本书也不失为一本有较高价值的参考书。

Author Description

彼得·F·克里斯托弗森（Peter F. Christoffersen），宾夕法尼亚大学经济学博士，目前是多伦多大学金融学教授。

Catalogue

第一部分背景
第1章风险管理和金融收益
1 本章概要
2 学习目标
3 风险管理及其企业
4 简单的风险分类法
5 资产收益的定义
6 资产收益的典型事例
7 资产收益的一般模型
8 从资产价格到资产组合收益
9 VaR的风险度量介绍
10 本书概览
第2章历史模拟、风险值和期望损失
1 本章概要
2 历史模拟
3 权重化的历史模拟
4 从2008—2009年危机中所得的实证
5 打破HSVaR的真实概率
6 带有极端覆盖率的VaR
7 期望损失
8 总结
第3章金融时间序列分析基础
1 本章概要
2 概率分布和统计量
3 线性模型
4 一元时间序列模型
5 多元时间序列模型
6 总结
第二部分一元风险模型
第4章日数据的波动性建模
1 本章概要
2 简单的方差预测
3 GARCH方差模型
4 极大似然估计
5 GARCH模型的扩展
6方差模型估计
7总结
第5章基于日内数据的波动性模型
1 本章概要
2 已实现方差：四个基本案例
3 预测已实现方差
4 已实现方差的构建
5 数据问题
6 基于极差的波动性模型
7 再次评估GARCH方差预测估计
8 总结
第6章非正态分布
1 本章概要
2 学习目标
3 使用QQ图可视化非正态分布
4 滤波历史模拟方法
5 对于Var的CornishFisher近似
6 标准t分布
7 非对称t分布
8 极值理论
9 总结
第三部分多元风险模型
第7章协方差和相关关系模型
1 本章概要
2 资产组合方差和协方差
3 动态条件相关性（DCC）
4 从日内数据估计日协方差
5 总结
第8章风险期限结构的模拟
1 本章概要
2 一元模型中的风险期限结构
3 常数相关性的风险期限结构
4 动态相关性的风险期限结构
5 总结
第9章集成风险管理的分布和copulas模型
1 本章概要
2 阈值相关性
3 多元分布
4 Copula模型方法
5 使用copula模型的风险管理
6 总结
第四部分风险管理的进一步讨论
第10章期权定价
1 本章概要
2 基本定义
3 使用二叉树为期权定价
4 在正态分布下的期权定价
5 考虑偏度和峰度
6 考虑动态波动性
7 隐含波动性方程（IVF）模型
8 总结
第11章期权风险管理
1 本章概要
2 期权的delta
3 应用delta的资产组合风险
4 期权gamma
5 使用gamma的资产组合风险
6 使用完全估值法的资产组合风险
7 一个简单的例子
8 Delta和gamma方法的缺点
9 总结
第12章信用风险管理
1 本章概要
2 公司违约历史概述
3 公司违约建模
4 资产组合的信用风险
5 信用风险的其他方面
6 总结
第13章事后检验和压力测试
1 本章概要
2 后验VaR
3 增加信息集
4 预期损失的后验测试
5 全部分布的后验测试
6 压力测试
7 总结
译后记

Book Abstract

《金融风险管理（第二版）/金融学译丛》：
市场风险（market risk）：市场价格波动给金融投资组合带来的风险，例如股票价格、外汇汇率、利率以及商品价格等元素的变化所造成的风险。
金融公司会承担很多市场风险，因此也会获得利润（或损失）。它们会尽量选择它们偏好的风险类型。例如，一个期权交易部门会面临很多波动性的改变，但是不会直接受到股票市场的影响。期权交易者会尽力平衡风险。他们的专业技能主要为波动性方面的，而不是市场导向方面，因此他们只承担他们最了解的风险，即波动性风险。因此，金融公司会积极地管理市场风险。另一方面，非金融公司（例如芯片制造业公司）可能会决定它们所面临的核心业务风险全部为它们所想要接触的，因此它们就能缓解或者完全消除市场风险。
流动性风险（liquidity risk）：在市场进行交易时，市场的低流动性所引起的一种特定风险，这种风险体现为较低的交易量和较大的买卖价差。在这样的情况下，想要销售资产，可能会把价格压得更低，并且资产可能会以低于它们基本价值的价格销售，或在比预期更长的一段时间内以低价销售。
一般而言，对于流动性风险的关注很少，但是2008年秋季的一个事件极大地增大了人们对于流动性风险的关注。住宅危机转为一个金融行业危机，金融行业危机又迅速转为股票市场危机。低风险的国债大大降低了高风险证券的市场流动性。2008—2009年的危机由于银行之间、企业部门之间的资金撤离而恶化。筹资风险经常被认为是流动性风险的一种。
操作风险（operational risk）：在经营公司时由于物理灾难、技术失败，或者人为错误而导致的风险，包括欺诈、管理失误、流程错误。
操作风险在任何公司都能被减缓或者完全消除。因为遭受这种风险几乎得不到回报（例如，由于粗心而导致的短期成本节约），操作风险在资产市场通常是非常难以避免的。尽管某些特定的产品，如天气衍生品和灾难债券在一些特定的情形下能够提供一些对冲。相反，操作风险通常通过使用自保或者第三方保险来管理。
信用风险（credit risk）：在约定日期，对手不愿意履行部分或者全部义务所导致的风险。因此，信用风险不仅包括对手完全或不完全地违背其应履行的义务，而且包括没有在约定的时间内支付。
一般来说，商业银行的性质就是通过它们的贷款组合而承担大量的信用风险。现在，银行花费大量努力来处理它们所面临的信用风险。非银行金融公司或者非金融企业则力求完全消除信用风险，因为这不属于它们的核心业务，但是在金融市场，很多类型的信用风险并不容易避免，公司常常被迫承担它们不想承担的信用风险。
商业风险（business risk）：由于商业计划条目的改变而破坏商业计划的可执行性的风险，包括可量化的风险，例如商业周期和需求方程风险，以及不能量化的风险，例如竞争行为或者技术的改变。商业风险有时简单地定义为公司核心业务中不能缺少的一个部分，因此必须承担。
……

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