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金融风险管理手册

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金融风险管理手册

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Content Description

这是关于风险管理之作。
本书不仅描述了模拟算法如何解决实践问题,而且也展示了各种模拟方法的准确性和有效性在风险管理中是不可或缺的。这本书让读者能更好地领会到金融风险管理的知识,同时加深对那些无法用传统方法定价的金融产品的理解。本书还包括如下特点:
每一章的案例都源于咨询项目、现实研究及课程教学
囊括了如下课题:波动率、固定收益的衍生品、LIBOR市场模型和风险测度
24种被广泛认同的模拟模型
每章都有相应的评论、数据集和程序
作为从业人员的参考书,《金融风险管理手册》可应用于与金融、商业、应用统计、计量和工程等领域;同时对于研究生和MBA学员来说,也可作为金融风险管理和模拟课堂上重要的参考和补充。
Author Description

陈毅恒(N.H. Chan),香港中文大学的卓敏统计学讲座教授(ChohMing Li Chair Professor of Statistics),也是6本杂志的副主编。陈博士也是《时间序列:基于R和SPlus软件的金融应用》(Time Series:Applications to Finance with R and SPlus)一书的作者。

王海婴(H.Y. Wong),香港中文大学教授及统计系副主任,他研究领域包括数据分析、统计计算、风险管理和随机分析。

李冬昕,南京大学工程管理学院助理教授,管理科学与工程博士,哥伦比亚大学经济系攻读联合培养博士研究生。曾任上海证券交易所金融创新实验室研究员,并于2013年上海证券交易所博士后出站。目前同时担任某基金公司投研总监等职务。主持国家自然科学基金等国家及省部级课题6项,参与国家重点课题等10余项;获得包括Chinese Finance Association(全美华人金融协会)论文奖、中国证监会2012年优秀课题在内的多项奖励。

郭培俊,先后毕业于中山大学数学专业和西南财经大学金融工程专业,现就职于国信证券经纪事业部衍生品中心,从事期权等衍生品的风险管理实务工作,曾参与上交所期权业务的筹备工作。
Catalogue

丛书序一(杨农)
丛书序二(宋光辉)
译者序(李冬昕)
前言
第1章Excel VBA的入门1
1.1如何启动Excel VBA1
1.2VBA编程的基本要素7
1.3VBA调用C++17
1.4Sub过程和Function过程18
1.5随机数生成25
1.6本书定义的函数列表27
第2章基础知识34
2.1鞅和伊藤积分的简介35
2.2波动率51
2.3盯市与校准55
2.4方差缩减技术57
第3章结构化产品73
3.1何时不必须进行模拟74
3.2布莱克斯科尔斯模型和欧式期权的模拟76
3.3美式期权82
3.4范围积息结构性存款91
3.5外汇累计期权:中信泰富事件98
3.6人寿保险合同109
3.7多资产的衍生工具112
第4章波动率建模124
4.1局部波动率模型:仿真与二叉树125
4.2Heston随机波动模型138
4.3Heston模型下的奇异期权价格模拟145
4.4GARCH期权定价模型158
4.5跳跃扩散模型166
第5章固定收益衍生品Ⅰ:短期利率模型178
5.1构建收益率曲线180
5.2HullWhite模型195
5.3利用直接模拟法对利率衍生品进行定价204
5.4使用三叉树法为利率衍生品定价210
第6章固定收益衍生品Ⅱ:LIBOR市场模型217
6.1LIBOR市场模型220
6.2利率上限和互换期权的校准227
6.3不同远期测度方法的仿真243
6.4百慕大互换期权的三因素模型251
6.5结语254
第7章信用衍生工具与交易对手信用风险256
7.1信用风险结构化模型258
7.2Vasicek单因子模型262
7.3信用衍生品定价的Copula方法274
7.4交易对手信用风险288
第8章在险价值及风险度量304
8.1在险价值VaR304
8.2参数法下的VaR306
8.3Δ正态近似315
8.4Δ伽马近似318
8.5VaR仿真方法320
8.6VaR相关的风险度量332
8.7VaR回测340
第9章希腊值343
9.1布莱克斯科尔斯模型希腊值345
9.2二叉树模型中的希腊值348
9.3有限差分逼近方法350
9.4似然率方法354
9.5顺向微分法359
9.6利用不连续收益函数计算希腊值372
附录
参考文献

Introduction

2008年的次贷危机揭示了那些被广泛使用的风险管理工具(如CDS、CDO、CDO2等)并没有缓解风险,反而是放大了风险。一些类似"数学公式真的毁了华尔街?""活在刀刃上"的标题见诸报端。2008年到底发生了什么?答案和结论呼之欲出。
错误的价格、对数学模型的过度自信、不透明的做市商以及为问题模型披上的所谓科学依据的外衣,这种种都最终导致了全球金融海啸。而这意味着"宽客"的消失吗?并非如此!金融危机来去如风,时短时长,但它们并没有阻碍金融机构不断地创造和交易新的衍生产品,正如疾病的演化并未阻止医药的发展。缺少了衍生产品,现代金融市场会变得单调,毕竟衍生品是降低和对冲风险的有效工具。同时,金融机构间的激烈竞争促使衍生品去提供额外的收益。在此背景下,市场参与者如何对衍生品进行更为高效、透明的估值,就显得尤为重要。因此,市场非常需要,也普遍接受量化的技术、手段以及"宽客"本身。
有些观点认为,大型投行的破产会导致后危机时代降低对量化技术的需求,而事实恰恰相反,商业银行和风险管理机构对此的需求却在急剧上升。在过去,主要的投行都是场外市场(OTC市场)衍生品的做市商,它们设计OTC市场衍生品,并对其定价和进行风险管理,任务的完成需要聘请大量的量化专家,这些教育背景强大的天才们就是所谓的"宽客"。危机前,区域性的银行对聘请"宽客"兴趣不大,因为它们在OTC市场上的风险敞口不大,如果它们要交易,通常会采取"背靠背"方式(backtobackdeal),根据客户的特定要求来买卖OTC产品组合,而且这些组合是由投行打包并定制化合同,区域性银行只是作为中介机构参与并收取部分手续费而已。因此,无论客户还是这些区域性银行,都未预料到投行的破产。随着雷曼兄弟倒闭收场,大量机构也关门大吉,这些区域性银行和客户突然发现,它们面临着前所未见的灾难性损失;甚至更严重的是,很多银行还由于无法清楚解释它们的投资在衍生品市场中所暴露的风险,而不得不面对诉讼,为了求得庭外和解不得不支付大笔赔偿。这都导致了银行的股价暴跌50%,并难见起色。危机之后,监管层也要求金融机构及时报告背靠背交易等投资风险,这在一定程度上解释了为何区域性银行要招聘大量的量化风险管理人员。
同其他大型金融市场一样,香港市场也面临着以量化为导向的金融项目对人才需求的快速增长,而学生则希望在平时的学习中能收获关于量化风险管理的实战技巧。尽管有很多针对现代金融理论和数理金融的优秀教材,但要么过于基础,要么过于简洁,难以弥补理论和应用间的差距。而在2008年我们受邀撰写本书时,我们就计划用现实数据提供一些可供练习和操作的计算实例。如果说我们能从2008年的金融灾难中学到什么的话,就是它提供了大量的信息和数据以解决现代金融中遇到的计算处理问题,而这些都是用一些痛苦而昂贵的代价换来的。根据华尔街信奉的最大收益原则,很多金融从业者游走于伦理道德的边缘,因此,更需要他们具备科学批判精神、社会诚信理念以及更高标准的伦理准则去抵御诱惑。基于如上思考,本书的案例包含了很多现实的OTC市场产品,通过次贷危机产生的数据,对不同模型的利弊进行分析,用案例对此进行解读;同时结合金融工具的特定场景分析,书中还会采取学生或从业人员提问的形式来举例。
下面对本书每一章内容进行简单的概括。现代金融产品已复杂到很难用笔和纸来建模,其中涉及大量的演算,而现行可用的软件很多,基于运用广泛度的考虑,本书采用了ExcelVBA来建模。读者并不需要具有很强的VBA基础,但最好有一些编程方面的理解,所以第1章主要介绍了VBA。
尽管本书包括了很多实际使用的数值案例,读者还是需要理解一些理论概念,如鞅理论、测度变化、随机微分方程(SDE)以及实践运用手段,从而使评判更加科学。所以第2章会介绍基本的理论结构。尽管本章内容更偏技术,但并不要求读者具有过于复杂的理论背景,例如,本章就不会给出SDE方程存在强唯一解的技术条件。有很多参考书涉及这部分内容,读者可参考以了解更细节的信息。本章主要是对最重要的理论问题进行一致有效的介绍,这样读者就能对伊藤公式(Ito'sFormula)和测度变化方法有更深刻的理解,以便设计模拟策略。
第3章运用布莱克斯科尔斯模型对结构化产品进行模拟,并探讨了如何定价和分解。例如,对于引起2008年中信泰富巨额亏损的外汇累计期权(FXAccumulator),本书会加以介绍。
从业人员会关心布莱克斯科尔斯模型的实效性,例如它很难抓住市场上观察到的"隐含波动率微笑",但有其他模型能解决这个问题。第4章将集中探讨这些模型,如对波动率建模等。以往模型没有一个统一的框架,都是单独讨论模型间的相似性和矛盾之处,不同的模型有不同的目的。例如,针对与指数挂钩的金融产品,从业者更想用一个模型来复制市场的期权价格。对此,复制方法依赖于模型参数的校准,以最小化模型和市场定价的差异。这些模型包括了局部和随机波动模型。而对与个股挂钩的金融产品,由于期权欠缺,只能选择用标的的历史价格来适配,在这种情况下,我们只能用统计手段来估算参数值。这里面用GARCH期权定价模型(GARCHoptionpricingmodel)相对合适,或者是跳跃扩散模型。这都需要用到贝叶斯方法。我们在第4章用这些方法对累计期权进行定价。
在今天的市场上,利率工具比权益衍生工具更重要,第5~6章重点细化了利率模型及其应用。第5章分析短期利率模型(shortratemodel),该模型是针对单一利率(如3个月利率)的固定收益衍生品。实践中,很多区域性银行缺少构建收益率曲线的专业软件,只能使用数据提供商的收益率曲线进行分析。而当这些银行要获得专用的固定收益产品价格的数据库时,可能无法从外部交易商处获得交易收益率曲线,从而对进一步分析造成很大的阻碍。因此,第5章介绍了几种收益率曲线构建方法,并提供了计算代码。同时本章也探讨了HullWhite短期利率模型,对收益率曲线信息进行了校准。
复杂的利率衍生品会在支付函数中嵌入多种利率,一个典型的案例就是和利率互换挂钩的期权,它们含有多个期限的利率值。市场通常会适用LIBOR市场模型,第6章会给出详细的案例。利用OTC市场上利率顶、利率底以及互换的价格数据,对LIBOR模型参数进行校准,从而满足收益率曲线的相关要求。然后利用模拟技术对这些复杂的利率产品估算价格和风险,这里会运用到第2章介绍的测度变化技术。
第7章会讨论信用风险和信用衍生品,金融学中一个重要的概念就是如何利用Copula函数对CDO这样的多资产信用衍生品进行估价,本章会介绍Copula函数的数值方法,分析信用相关风险模型的利弊。金融危机后,监管机构要求银行报告OTC产品的对手方风险,并调整产品的市场价值以估算信用风险,这种调整方式通过重调保证金数量以保证顺利交易。调整前和调整后的市场价格差异就是所谓的信用价值调整(creditvalueadjustment,CVA)。从监管目的来看,风险管理师对CVA很感兴趣,第7章将会介绍计算CVA的案例及其代码。
在计算价格后,下一步就是通过一个单一值衡量风险,如计算日度的在险价值(VaR)。这尽管不是一个非常好的风险衡量方法,但至少是衡量行业整体风险的一个标准。第8章就提供了计算衍生品VaR的实例。
计算VaR的时候,一个重要的挑战就是希腊值估算的不稳定性。因为希腊值是基于风险因子的组合价值的偏导数,所以要通过模拟计算。第9章介绍了几种在高维下对希腊值模拟的方法。
陈毅恒
王海婴


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Sellers in China will ship their orders within 1-2 business days once the order is placed. Packages are sent to our consolidation warehouse in China and combined there. Our Yami consolidation warehouse will directly ship the packages to you via UPS. The average time for UPS to ship from China to the United States is about 10 working days and it can be traced using the tracking number. Due to the pandemic, the delivery time may be delayed by about 5 days. The package needs to be signed by the guest. If the receipt is not signed, the customer shall bear the risk of loss of the package.

Sold by JD@CHINA

Service Guarantee

Free shipping over 69
Genuine guarantee

Shipping

Yami Consolidated Shipping $9.99(Free shipping over $69)


Seller will ship the orders within 1-2 business days. The logistics time limit is expected to be 7-15 working days. In case of customs clearance, the delivery time will be extended by 3-7 days. The final receipt date is subject to the information of the postal company.

Yami Points information

All items are excluding from any promotion or points events on Yamibuy.com

Return Policy

You may return product within 30 days upon receiving the product. Items returned must be new in it's original packing, including the original invoice for the purchase. Customer return product at their own expense.

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About the brand

Jingdong book

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About the brand

Jingdong book