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Risk management of the financial markets.

by Chan Pui Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 108-111). / ABSTRACT --- p.II / TABLE OF CONTENTS --- p.III / ACKNOWLEDGEMENT --- p.VI / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.4 / Impact due to Deregulation --- p.5 / Impact due to Globalization --- p.5 / Impact due to Securitization --- p.6 / Impact due to Institutionalisation --- p.6 / Impact due to Computerisation --- p.7 / Chapter III. --- CONCEPT: MANAGEMENT OF RISK --- p.8 / Definition of Risk --- p.9 / Risk Analysis --- p.10 / Risk Assessment --- p.10 / Risk Measurement --- p.10 / Risk Management --- p.11 / Chapter IV. --- TYPE OF RISK --- p.13 / Market/Capital Risk --- p.14 / Reinvestment Risk --- p.15 / Interest Rate Risk --- p.16 / Credit Risk --- p.17 / Liquidity or Funding Risk --- p.18 / Currency and Foreign Exchange Risk --- p.19 / Inflation Risk --- p.19 / Operations Risk --- p.20 / Legal Risk --- p.20 / Political Risk --- p.21 / Systemic Risk --- p.22 / Portfolio Risk --- p.22 / Control Risk --- p.23 / Settlement Risk --- p.23 / Country Risk --- p.24 / Underwriting Risk --- p.24 / Residual or Moral Risk --- p.24 / Strategy Risk and Environment Risk --- p.25 / Chapter V. --- MEASURING CHANGING RISK --- p.26 / Historical Estimates --- p.28 / Non-parametric Methods --- p.29 / Parametric Methods --- p.30 / Chapter VI. --- EVOLUTION OF RISK ESTIMATION --- p.35 / Chapter VII. --- APPLYING PORTFOLIO THEORY INTO RISK ANALYSIS --- p.41 / Modelling Bank Risk --- p.43 / Identification of linkages between an individual loan and bank's overall risk profile --- p.43 / Distribution of expected values --- p.44 / Portfolio expected value --- p.44 / Scenario Analysis and Formation of Loan Risk Measurement --- p.45 / Subsystem --- p.45 / Formation of an Integrated Risk Measurement --- p.45 / Active Management of Portfolio Risk --- p.49 / Chapter VIII. --- RISK ANALYSIS OF INTERNATIONAL INVESTMENT --- p.51 / Discounted-Cash-Flow Analysis --- p.51 / Net Present Value Approach --- p.51 / Internal Rate of Return Approach --- p.54 / Break-even Probability Analysis --- p.55 / Certainty-Equivalent Method --- p.56 / Chapter IX. --- CONSTRUCTING A MODEL FOR RISK ASSESSMENT --- p.58 / "Set up a Model to Estimate ""Capital at Risk""" --- p.58 / Obey the Minimum Standards --- p.60 / Audit and Verify the Model --- p.62 / Chapter X. --- METHODOLOGIES OF RISK MEASUREMENT / Measuring Market Risk : J P Morgan Risk Management Methodology - RiskMetrics´ёØ --- p.64 / Statistical Analysis of Returns and Risk --- p.66 / Market Moves and Locally Gaussian Processes --- p.72 / Stochastic Volatility --- p.72 / Risk and Optionality --- p.73 / Mapping and Term Structure of Interest Rates --- p.73 / Measuring Position Risk --- p.75 / The Simplified Portfolio Approach --- p.77 / The Comprehensive Approach --- p.81 / The Building-Block Approach --- p.83 / Chapter XI. --- ITEMS INVOLVED IN RISK MANAGEMENT --- p.85 / Management Control --- p.35 / Constructing Valuation Methodology --- p.90 / Contents of Reporting --- p.92 / Evaluation of Risk --- p.93 / Counterparty Relationships --- p.93 / Chapter XII. --- AFTERTHOUGHT --- p.95 / APPENDIX --- p.98 / BIBLIOGRAPHY --- p.108

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_320775
Date January 1996
ContributorsChan, Pui Man., Chinese University of Hong Kong Graduate School. Division of Business Administration.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 111 leaves ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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