{"product_id":"asset-and-risk-management-isbn-9780471491446","title":"Asset and Risk Management","description":"The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.  \u003cp\u003eIt is divided into five parts:\u003c\/p\u003e \u003cul\u003e \u003cli\u003ePart I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.\u003c\/li\u003e \u003cli\u003ePart II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options.\u003c\/li\u003e \u003cli\u003ePart III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology.\u003c\/li\u003e \u003cli\u003ePart IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe’s simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.\u003c\/li\u003e \u003cli\u003ePart V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe book is aimed both at financial professionals and at students whose studies contain a financial aspect.\u003c\/p\u003e \u003cp\u003e\"Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management.\"\u003cbr\u003e —Harry M Markowitz, San Diego, USA\u003c\/p\u003eDieses Buch bietet einen neuen Ansatz für die Anwendung der Value at Risk-Methode (VaR) beim Aktiv-Passiv-Management. Das Aktiv-Passiv-Management beschäftigt sich mit der Gewährleistung der laufzeitkongruenten Deckung von Aktiv- und Passivpositionen und ist daher unverzichtbar für Transaktionen von Finanzinstitutionen. Der Autor erläutert hier das Risikomanagement von Finanzinstitutionen im Aktiv-Passiv-Bereich, und zwar insbesondere für Versicherungsunternehmen, offene Investmentfonds, Pensionskassen, Hedge Funds usw. Nach einer detaillierten Einführung in VaR, konzentriert er sich vorrangig auf die Anwendung dieser Methode auf das Aktiv-Passiv-Management und das Portfolio Management. Die Begleit-CD enthält Software und Beispiele aus dem Buch, z.B. zur Varianz\/Covarianz Matrix und zu Monte Carlo Simulationen sowie Beispiele zur Optimierung des Aktiv-Management, zu Differenzpositionen in der Aktiv- und Passivsteuerung und zu VaR-Schätzungen. \u003cp\u003eCollaborators xiii\u003c\/p\u003e \u003cp\u003eForeword by \u003ci\u003ePhilippe Jorion\u003c\/i\u003e xv\u003c\/p\u003e \u003cp\u003eAcknowledgements xvii\u003c\/p\u003e \u003cp\u003eIntroduction xix\u003c\/p\u003e \u003cp\u003eAreas covered xix\u003c\/p\u003e \u003cp\u003eWho is this book for? xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I The Massive Changes in the World of Finance 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 2\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 The Regulatory Context 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Precautionary surveillance 3\u003c\/p\u003e \u003cp\u003e1.2 The Basle Committee 3\u003c\/p\u003e \u003cp\u003e1.2.1 General information 3\u003c\/p\u003e \u003cp\u003e1.2.2 Basle II and the philosophy of operational risk 5\u003c\/p\u003e \u003cp\u003e1.3 Accounting standards 9\u003c\/p\u003e \u003cp\u003e1.3.1 Standard-setting organisations 9\u003c\/p\u003e \u003cp\u003e1.3.2 The IASB 9\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Changes in Financial Risk Management 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Definitions 11\u003c\/p\u003e \u003cp\u003e2.1.1 Typology of risks 11\u003c\/p\u003e \u003cp\u003e2.1.2 Risk management methodology 19\u003c\/p\u003e \u003cp\u003e2.2 Changes in financial risk management 21\u003c\/p\u003e \u003cp\u003e2.2.1 Towards an integrated risk management 21\u003c\/p\u003e \u003cp\u003e2.2.2 The ‘cost’ of risk management 25\u003c\/p\u003e \u003cp\u003e2.3 A new risk-return world 26\u003c\/p\u003e \u003cp\u003e2.3.1 Towards a minimisation of risk for an anticipated return 26\u003c\/p\u003e \u003cp\u003e2.3.2 Theoretical formalisation 26\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Evaluating Financial Assets 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 30\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Equities 35\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 The basics 35\u003c\/p\u003e \u003cp\u003e3.1.1 Return and risk 35\u003c\/p\u003e \u003cp\u003e3.1.2 Market efficiency 44\u003c\/p\u003e \u003cp\u003e3.1.3 Equity valuation models 48\u003c\/p\u003e \u003cp\u003e3.2 Portfolio diversification and management 51\u003c\/p\u003e \u003cp\u003e3.2.1 Principles of diversification 51\u003c\/p\u003e \u003cp\u003e3.2.2 Diversification and portfolio size 55\u003c\/p\u003e \u003cp\u003e3.2.3 Markowitz model and critical line algorithm 56\u003c\/p\u003e \u003cp\u003e3.2.4 Sharpe’s simple index model 69\u003c\/p\u003e \u003cp\u003e3.2.5 Model with risk-free security 75\u003c\/p\u003e \u003cp\u003e3.2.6 The Elton, Gruber and Padberg method of portfolio management 79\u003c\/p\u003e \u003cp\u003e3.2.7 Utility theory and optimal portfolio selection 85\u003c\/p\u003e \u003cp\u003e3.2.8 The market model 91\u003c\/p\u003e \u003cp\u003e3.3 Model of financial asset equilibrium and applications 93\u003c\/p\u003e \u003cp\u003e3.3.1 Capital asset pricing model 93\u003c\/p\u003e \u003cp\u003e3.3.2 Arbitrage pricing theory 97\u003c\/p\u003e \u003cp\u003e3.3.3 Performance evaluation 99\u003c\/p\u003e \u003cp\u003e3.3.4 Equity portfolio management strategies 103\u003c\/p\u003e \u003cp\u003e3.4 Equity dynamic models 108\u003c\/p\u003e \u003cp\u003e3.4.1 Deterministic models 108\u003c\/p\u003e \u003cp\u003e3.4.2 Stochastic models 109\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Bonds 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Characteristics and valuation 115\u003c\/p\u003e \u003cp\u003e4.1.1 Definitions 115\u003c\/p\u003e \u003cp\u003e4.1.2 Return on bonds 116\u003c\/p\u003e \u003cp\u003e4.1.3 Valuing a bond 119\u003c\/p\u003e \u003cp\u003e4.2 Bonds and financial risk 119\u003c\/p\u003e \u003cp\u003e4.2.1 Sources of risk 119\u003c\/p\u003e \u003cp\u003e4.2.2 Duration 121\u003c\/p\u003e \u003cp\u003e4.2.3 Convexity 127\u003c\/p\u003e \u003cp\u003e4.3 Deterministic structure of interest rates 129\u003c\/p\u003e \u003cp\u003e4.3.1 Yield curves 129\u003c\/p\u003e \u003cp\u003e4.3.2 Static interest rate structure 130\u003c\/p\u003e \u003cp\u003e4.3.3 Dynamic interest rate structure 132\u003c\/p\u003e \u003cp\u003e4.3.4 Deterministic model and stochastic model 134\u003c\/p\u003e \u003cp\u003e4.4 Bond portfolio management strategies 135\u003c\/p\u003e \u003cp\u003e4.4.1 Passive strategy: immunisation 135\u003c\/p\u003e \u003cp\u003e4.4.2 Active strategy 137\u003c\/p\u003e \u003cp\u003e4.5 Stochastic bond dynamic models 138\u003c\/p\u003e \u003cp\u003e4.5.1 Arbitrage models with one state variable 139\u003c\/p\u003e \u003cp\u003e4.5.2 The Vasicek model 142\u003c\/p\u003e \u003cp\u003e4.5.3 The Cox, Ingersoll and Ross model 145\u003c\/p\u003e \u003cp\u003e4.5.4 Stochastic duration 147\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Options 149\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Definitions 149\u003c\/p\u003e \u003cp\u003e5.1.1 Characteristics 149\u003c\/p\u003e \u003cp\u003e5.1.2 Use 150\u003c\/p\u003e \u003cp\u003e5.2 Value of an option 153\u003c\/p\u003e \u003cp\u003e5.2.1 Intrinsic value and time value 153\u003c\/p\u003e \u003cp\u003e5.2.2 Volatility 154\u003c\/p\u003e \u003cp\u003e5.2.3 Sensitivity parameters 155\u003c\/p\u003e \u003cp\u003e5.2.4 General properties 157\u003c\/p\u003e \u003cp\u003e5.3 Valuation models 160\u003c\/p\u003e \u003cp\u003e5.3.1 Binomial model for equity options 162\u003c\/p\u003e \u003cp\u003e5.3.2 Black and Scholes model for equity options 168\u003c\/p\u003e \u003cp\u003e5.3.3 Other models of valuation 174\u003c\/p\u003e \u003cp\u003e5.4 Strategies on options 175\u003c\/p\u003e \u003cp\u003e5.4.1 Simple strategies 175\u003c\/p\u003e \u003cp\u003e5.4.2 More complex strategies 175\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III General Theory of VaR 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Theory of VaR 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 The concept of ‘risk per share’ 181\u003c\/p\u003e \u003cp\u003e6.1.1 Standard measurement of risk linked to financial products 181\u003c\/p\u003e \u003cp\u003e6.1.2 Problems with these approaches to risk 181\u003c\/p\u003e \u003cp\u003e6.1.3 Generalising the concept of ‘risk’ 184\u003c\/p\u003e \u003cp\u003e6.2 VaR for a single asset 185\u003c\/p\u003e \u003cp\u003e6.2.1 Value at Risk 185\u003c\/p\u003e \u003cp\u003e6.2.2 Case of a normal distribution 188\u003c\/p\u003e \u003cp\u003e6.3 VaR for a portfolio 190\u003c\/p\u003e \u003cp\u003e6.3.1 General results 190\u003c\/p\u003e \u003cp\u003e6.3.2 Components of the VaR of a portfolio 193\u003c\/p\u003e \u003cp\u003e6.3.3 Incremental VaR 195\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 VaR Estimation Techniques 199\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 General questions in estimating VaR 199\u003c\/p\u003e \u003cp\u003e7.1.1 The problem of estimation 199\u003c\/p\u003e \u003cp\u003e7.1.2 Typology of estimation methods 200\u003c\/p\u003e \u003cp\u003e7.2 Estimated variance–covariance matrix method 202\u003c\/p\u003e \u003cp\u003e7.2.1 Identifying cash flows in financial assets 203\u003c\/p\u003e \u003cp\u003e7.2.2 Mapping cashflows with standard maturity dates 205\u003c\/p\u003e \u003cp\u003e7.2.3 Calculating VaR 209\u003c\/p\u003e \u003cp\u003e7.3 Monte Carlo simulation 216\u003c\/p\u003e \u003cp\u003e7.3.1 The Monte Carlo method and probability theory 216\u003c\/p\u003e \u003cp\u003e7.3.2 Estimation method 218\u003c\/p\u003e \u003cp\u003e7.4 Historical simulation 224\u003c\/p\u003e \u003cp\u003e7.4.1 Basic methodology 224\u003c\/p\u003e \u003cp\u003e7.4.2 The contribution of extreme value theory 230\u003c\/p\u003e \u003cp\u003e7.5 Advantages and drawbacks 234\u003c\/p\u003e \u003cp\u003e7.5.1 The theoretical viewpoint 235\u003c\/p\u003e \u003cp\u003e7.5.2 The practical viewpoint 238\u003c\/p\u003e \u003cp\u003e7.5.3 Synthesis 241\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Setting Up a VaR Methodology 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Putting together the database 243\u003c\/p\u003e \u003cp\u003e8.1.1 Which data should be chosen? 243\u003c\/p\u003e \u003cp\u003e8.1.2 The data in the example 244\u003c\/p\u003e \u003cp\u003e8.2 Calculations 244\u003c\/p\u003e \u003cp\u003e8.2.1 Treasury portfolio case 244\u003c\/p\u003e \u003cp\u003e8.2.2 Bond portfolio case 250\u003c\/p\u003e \u003cp\u003e8.3 The normality hypothesis 252\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV From Risk Management to Asset Management 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Portfolio Risk Management 257\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 General principles 257\u003c\/p\u003e \u003cp\u003e9.2 Portfolio risk management method 257\u003c\/p\u003e \u003cp\u003e9.2.1 Investment strategy 258\u003c\/p\u003e \u003cp\u003e9.2.2 Risk framework 258\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Optimising the Global Portfolio via VaR 265\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Taking account of VaR in Sharpe’s simple index method 266\u003c\/p\u003e \u003cp\u003e10.1.1 The problem of minimisation 266\u003c\/p\u003e \u003cp\u003e10.1.2 Adapting the critical line algorithm to VaR 267\u003c\/p\u003e \u003cp\u003e10.1.3 Comparison of the two methods 269\u003c\/p\u003e \u003cp\u003e10.2 Taking account of VaR in the EGP method 269\u003c\/p\u003e \u003cp\u003e10.2.1 Maximising the risk premium 269\u003c\/p\u003e \u003cp\u003e10.2.2 Adapting the EGP method algorithm to VaR 270\u003c\/p\u003e \u003cp\u003e10.2.3 Comparison of the two methods 271\u003c\/p\u003e \u003cp\u003e10.2.4 Conclusion 272\u003c\/p\u003e \u003cp\u003e10.3 Optimising a global portfolio via VaR 274\u003c\/p\u003e \u003cp\u003e10.3.1 Generalisation of the asset model 275\u003c\/p\u003e \u003cp\u003e10.3.2 Construction of an optimal global portfolio 277\u003c\/p\u003e \u003cp\u003e10.3.3 Method of optimisation of global portfolio 278\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Institutional Management: APT Applied to Investment Funds 285\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Absolute global risk 285\u003c\/p\u003e \u003cp\u003e11.2 Relative global risk\/tracking error 285\u003c\/p\u003e \u003cp\u003e11.3 Relative fund risk vs. benchmark abacus 287\u003c\/p\u003e \u003cp\u003e11.4 Allocation of systematic risk 288\u003c\/p\u003e \u003cp\u003e11.4.1 Independent allocation 288\u003c\/p\u003e \u003cp\u003e11.4.2 Joint allocation: ‘value’ and ‘growth’ example 289\u003c\/p\u003e \u003cp\u003e11.5 Allocation of performance level 289\u003c\/p\u003e \u003cp\u003e11.6 Gross performance level and risk withdrawal 290\u003c\/p\u003e \u003cp\u003e11.7 Analysis of style 291\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V From Risk Management to Asset and Liability Management 293\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 294\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Techniques for Measuring Structural Risks in Balance Sheets 295\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Tools for structural risk analysis in asset and liability management 295\u003c\/p\u003e \u003cp\u003e12.1.1 Gap or liquidity risk 296\u003c\/p\u003e \u003cp\u003e12.1.2 Rate mismatches 297\u003c\/p\u003e \u003cp\u003e12.1.3 Net present value (NPV) of equity funds and sensitivity 298\u003c\/p\u003e \u003cp\u003e12.1.4 Duration of equity funds 299\u003c\/p\u003e \u003cp\u003e12.2 Simulations 300\u003c\/p\u003e \u003cp\u003e12.3 Using VaR in ALM 301\u003c\/p\u003e \u003cp\u003e12.4 Repricing schedules (modelling of contracts with floating rates) 301\u003c\/p\u003e \u003cp\u003e12.4.1 The conventions method 301\u003c\/p\u003e \u003cp\u003e12.4.2 The theoretical approach to the interest rate risk on floating rate products, through the net current value 302\u003c\/p\u003e \u003cp\u003e12.4.3 The behavioural study of rate revisions 303\u003c\/p\u003e \u003cp\u003e12.5 Replicating portfolios 311\u003c\/p\u003e \u003cp\u003e12.5.1 Presentation of replicating portfolios 312\u003c\/p\u003e \u003cp\u003e12.5.2 Replicating portfolios constructed according to convention 313\u003c\/p\u003e \u003cp\u003e12.5.3 The contract-by-contract replicating portfolio 314\u003c\/p\u003e \u003cp\u003e12.5.4 Replicating portfolios with the optimal value method 316\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendices 323\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 1 Mathematical Concepts 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Functions of one variable 325\u003c\/p\u003e \u003cp\u003e1.1.1 Derivatives 325\u003c\/p\u003e \u003cp\u003e1.1.2 Taylor’s formula 327\u003c\/p\u003e \u003cp\u003e1.1.3 Geometric series 328\u003c\/p\u003e \u003cp\u003e1.2 Functions of several variables 329\u003c\/p\u003e \u003cp\u003e1.2.1 Partial derivatives 329\u003c\/p\u003e \u003cp\u003e1.2.2 Taylor’s formula 331\u003c\/p\u003e \u003cp\u003e1.3 Matrix calculus 332\u003c\/p\u003e \u003cp\u003e1.3.1 Definitions 332\u003c\/p\u003e \u003cp\u003e1.3.2 Quadratic forms 334\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 2 Probabilistic Concepts 339\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Random variables 339\u003c\/p\u003e \u003cp\u003e2.1.1 Random variables and probability law 339\u003c\/p\u003e \u003cp\u003e2.1.2 Typical values of random variables 343\u003c\/p\u003e \u003cp\u003e2.2 Theoretical distributions 347\u003c\/p\u003e \u003cp\u003e2.2.1 Normal distribution and associated ones 347\u003c\/p\u003e \u003cp\u003e2.2.2 Other theoretical distributions 350\u003c\/p\u003e \u003cp\u003e2.3 Stochastic processes 353\u003c\/p\u003e \u003cp\u003e2.3.1 General considerations 353\u003c\/p\u003e \u003cp\u003e2.3.2 Particular stochastic processes 354\u003c\/p\u003e \u003cp\u003e2.3.3 Stochastic differential equations 356\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 3 Statistical Concepts 359\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Inferential statistics 359\u003c\/p\u003e \u003cp\u003e3.1.1 Sampling 359\u003c\/p\u003e \u003cp\u003e3.1.2 Two problems of inferential statistics 360\u003c\/p\u003e \u003cp\u003e3.2 Regressions 362\u003c\/p\u003e \u003cp\u003e3.2.1 Simple regression 362\u003c\/p\u003e \u003cp\u003e3.2.2 Multiple regression 363\u003c\/p\u003e \u003cp\u003e3.2.3 Nonlinear regression 364\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 4 Extreme Value Theory 365\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Exact result 365\u003c\/p\u003e \u003cp\u003e4.2 Asymptotic results 365\u003c\/p\u003e \u003cp\u003e4.2.1 Extreme value theorem 365\u003c\/p\u003e \u003cp\u003e4.2.2 Attraction domains 366\u003c\/p\u003e \u003cp\u003e4.2.3 Generalisation 367\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 5 Canonical Correlations 369\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Geometric presentation of the method 369\u003c\/p\u003e \u003cp\u003e5.2 Search for canonical characters 369\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 6 Algebraic Presentation of Logistic Regression 371\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 7 Time Series Models: ARCH-GARCH and EGARCH 373\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 ARCH-GARCH models 373\u003c\/p\u003e \u003cp\u003e7.2 EGARCH models 373\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix 8 Numerical Methods for Solving Nonlinear Equations 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 General principles for iterative methods 375\u003c\/p\u003e \u003cp\u003e8.1.1 Convergence 375\u003c\/p\u003e \u003cp\u003e8.1.2 Order of convergence 376\u003c\/p\u003e \u003cp\u003e8.1.3 Stop criteria 376\u003c\/p\u003e \u003cp\u003e8.2 Principal methods 377\u003c\/p\u003e \u003cp\u003e8.2.1 First order methods 377\u003c\/p\u003e \u003cp\u003e8.2.2 Newton–Raphson method 379\u003c\/p\u003e \u003cp\u003e8.2.3 Bisection method 380\u003c\/p\u003e \u003cp\u003e8.3 Nonlinear equation systems 380\u003c\/p\u003e \u003cp\u003e8.3.1 General theory of n-dimensional iteration 381\u003c\/p\u003e \u003cp\u003e8.3.2 Principal methods 381\u003c\/p\u003e \u003cp\u003eBibliography 383\u003c\/p\u003e \u003cp\u003eIndex 389\u003c\/p\u003e \u003cb\u003eLouis Esch\u003c\/b\u003e Doctor of Mathematical Science at the University of Liège, and a researcher there in the Department of Probability Theory and Mathematical Statistics. He currently teaches quantitative methods and financial modelling at the School of Higher Business Studies in Liège, where he is science manager for post-graduate education in Finance and Insurance and President of the \"Quantitative Management Methods\" unit. He is also conference master at the University of Liège. \u003cp\u003e\u003cb\u003eRobert Kieffer\u003c\/b\u003e Treasurer at Banque Degroof Luxembourg SA, honorary board member of ACI Luxembourg and Course Manager at the Luxembourg Institute of Banking Training.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eThierry Lopez\u003c\/b\u003e Certificated Business Engineer at the School of Higher Business Studies in Liège, and manager of the Risk Management Group at Kredietbank SA in Luxembourg, Conference Master at the University of Liège, Professor of Honour at the School of Higher Business Studies in Liège, Course Manager at the Luxembourg Institute of Banking Training and at the Luxembourg Risk Management Finance Technology Transfer Agency, Honorary President and Vice-President of PRIM (Luxembourg Association of Risk Management Professionals).\u003c\/p\u003e \u003cp\u003eAssisted by: Christian Berbé, Pascal Damel, Michel Debay, Jean-François Hannosset.\u003c\/p\u003e  \u003cp\u003eThe aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together.\u003c\/p\u003e \u003cp\u003eIt is divided into five parts:\u003c\/p\u003e \u003cul\u003e \u003cli\u003ePart I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions.\u003c\/li\u003e \u003cli\u003ePart II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options.\u003c\/li\u003e \u003cli\u003ePart III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology.\u003c\/li\u003e \u003cli\u003ePart IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe's simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis.\u003c\/li\u003e \u003cli\u003ePart V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe book is aimed both at financial professionals and at students whose studies contain a financial aspect.\u003c\/p\u003e \u003cp\u003e\"Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management.\" Harry M Markowitz, San Diego, USA\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988769620197,"sku":"NP9780471491446","price":173.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471491446.jpg?v=1761781521","url":"https:\/\/k12savings.com\/products\/asset-and-risk-management-isbn-9780471491446","provider":"K12savings","version":"1.0","type":"link"}