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Market Risk Analysis IV : Value-At-Risk Models 1/E
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9780470997888 | |
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Alexander | |
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指南書局 | |
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2009年3月01日
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500.00 元
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HK$ 450
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詳
細
資
料
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叢書系列：財務類
規格：精裝 / 普級 / 單色印刷 / 初版
出版地：美國
財務類
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內
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Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
．Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);
．New formulae for VaR based on autocorrelated returns;
．Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;
．Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;
．Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;
．Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;
．Backtesting and the assessment of risk model risk;
．Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
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目
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List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume IV.
IV.1 Value at Risk and Other Risk Metrics.
IV.1.1 Introduction.
IV.1.2 An Overview of Market Risk Assessment.
IV.1.3 Downside and Quantile Risk Metrics.
IV.1.4 Defining Value at Risk.
IV.1.5 Foundations of Value-at-Risk Measurement.
IV.1.6 Risk Factor Value at Risk.
IV.1.7 Decomposition of Value at Risk.
IV.1.8 Risk Metrics Associated with Value at Risk.
IV.1.9 Introduction to Value-at-Risk Models.
IV.1.10 Summary and Conclusions.
IV.2 Parametric Linear VaR Models.
IV.2.1 Introduction.
IV.2.2 Foundations of Normal Linear Value at Risk.
IV.2.3 Normal Linear Value at Risk for Cash-Flow Maps.
IV.2.4 Case Study: PC Value at Risk of a UK Fixed Income Portfolio.
IV.2.5 Normal Linear Value at Risk for Stock Portfolios.
IV.2.6 Systematic Value-at-Risk Decomposition for Stock Portfolios.
IV.2.7 Case Study: Normal Linear Value at Risk for Commodity Futures.
IV.2.8 Student t Distributed Linear Value at Risk.
IV.2.9 Linear Value at Risk with Mixture Distributions.
IV.2.10 Exponential Weighting with Parametric Linear Value at Risk.
IV.2.11 Expected Tail Loss (Conditional VaR).
IV.2.12 Case Study: Credit Spread Parametric Linear Value at Risk and ETL.
IV.2.13 Summary and Conclusions.
IV.3 Historical Simulation.
IV.3.1 Introduction.
IV.3.2 Properties of Historical Value at Risk.
IV.3.3 Improving the Accuracy of Historical Value at Risk.
IV.3.4 Precision of Historical Value at Risk at Extreme Quantiles.
IV.3.5 Historical Value at Risk for Linear Portfolios.
IV.3.6 Estimating Expected Tail Loss in the Historical Value-at-Risk Model.
IV.3.7 Summary and Conclusions.
IV.4 Monte Carlo VaR.
IV.4.1 Introduction.
IV.4.2 Basic Concepts.
IV.4.3 Modelling Dynamic Properties in Risk Factor Returns.
IV.4.4 Modelling Risk Factor Dependence.
IV.4.5 Monte Carlo Value at Risk for Linear Portfolios.
IV.4.6 Summary and Conclusions.
IV.5 Value at Risk for Option Portfolios.
IV.5.1 Introduction.
IV.5.2 Risk Characteristics of Option Portfolios.
IV.5.3 Analytic Value-at-Risk Approximations.
IV.5.4 Historical Value at Risk for Option Portfolios.
IV.5.5 Monte Carlo Value at Risk for Option Portfolios.
IV.5.6 Summary and Conclusions.
IV.6 Risk Model Risk.
IV.6.1 Introduction.
IV.6.2 Sources of Risk Model Risk.
IV.6.3 Estimation Risk.
IV.6.4 Model Validation.
IV.6.5 Summary and Conclusions.
IV.7 Scenario Analysis and Stress Testing.
IV.7.1 Introduction.
IV.7.2 Scenarios on Financial Risk Factors.
IV.7.3 Scenario Value at Risk and Expected Tail Loss.
IV.7.4 Introduction to Stress Testing.
IV.7.5 A Coherent Framework for Stress Testing.
IV.7.6 Summary and Conclusions.
IV.8 Capital Allocation.
IV.8.1 Introduction.
IV.8.2 Minimum Market Risk Capital Requirements for Banks.
IV.8.3 Economic Capital Allocation.
IV.8.4 Summary and Conclusions.
References.
Index.
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人類未來的幸福命運 許添盛
當我在做《賽斯書》當中「感覺基調」（feeling tone）的練習時，感覺自身由內而外散發一股極強大的熱能，緩緩的由兩手及丹田之間往上升，當沿著前胸後背上到肩頸及頭部的位置時，眼前則出現白色、金色的光芒。依循賽斯書的指引，我將這樣的能量發射到全地球，乃至全宇宙。
因著我是一名醫師的身分，於是將這光與愛的能量轉為療癒的能量，迴向給周遭每一位癌友、身心失調者，以及心靈需要寧靜和協助的人們。當然，在我看診及上課的同時，也常在內心觀想，祈求賽斯的愛、智慧與神通，能幫助在我眼前的人們恢復身心和諧及健康。
每隔一段時間，我的內心會自動進行某個「主題」，彷彿一場自發性的研討會，織入我的內在思維、夢境，甚至渲染了此段時間演講的內容。而最近，則總要我的學生告知他們周遭的每個人，他們遇見了一個「瘋子」－－就是我；因為此人宣稱要把二千年前耶穌只完成一半的工作繼續完成－－那就是，不單單耶穌是半人半神、是神的獨生子，所有人類都要開始一場「認祖歸宗」之旅，覺悟到自己的意識及靈魂，根本就是神性、佛性的傳承。所有人類「就是」神佛的孩子，不但要開發出自己心靈深處、潛伏在遺傳密碼內的神性傳承，更要與九大意識家族之眾神能量做連結。
未來的時代，每個人都會「神性大發」，自身內在的愛、智慧、慈悲、創造力及神通將會源源不絕地湧現，將世界蛻變成人間天堂、人間淨土或眾神的地球花園。
在《心靈的本質》一書當中，賽斯闡述了陰性及陽性能量的特質，提及陰性能量對自己的存在有如此大的安全感，以致不害怕被陽性能量席捲或帶著走。那麼，此刻人類意識若建立了足夠的自信及安全感，將不再畏懼被心靈的神性意識所指引、啟發與帶領。
此外，書中提及原子、分子之愛的語言，讓我們更確信萬物本質中善的意圖與本質。在賽斯另一本書《個人與群體事件的本質》中，提及每個人內心有愛的衝動、利他的衝動、英雄式的衝動；跟隨內心的衝動，採取正面、建設性的行動，自然會把萬物的利益考慮在內，這令我想起了小時候讀到的格言「我為人人，人人為我」。
現今的社會，人與人之間的冷漠、相互的爭利競爭，甚至是彼此的防衛與傷害，都在為自己的生存、名利奮鬥，還要預防來自外界、大自然的打擊及災害，這也太辛苦、太孤單了吧！這真的是人性嗎？真的是人類能創造出的唯一社會和世界嗎？
當然不是，現今社會及人類生活方式，是建立在我們對於心靈本質的無知、扭曲及缺乏智慧之上。未來的人類，將感知自身和宇宙、造物主及眾神能量是一體的，也能獲得神佛的愛、護持與恩寵；將能感知自己和地球的萬物、四季、大自然是一體的，也將獲得大自然對人類無私的愛與支持。從最切身的層面來看，周遭每個人都將對你展現它們的神性，你將具體感受到，身邊每個人都是愛你、支持你的，在完成自身人生目標的同時，也都在有形無形當中「為你著想」。那種感覺就是，自己被宇宙、眾神、造物主恩寵，被地球、大自然無條件支持，被周遭人們協助、著想的「愛的互助合作」，這才是人類未來真正的幸福命運吧！
宗教、哲學及法律，都免不了有戒律、罪及懲罰，我常說，一天到晚強調罪與罰的宗教，那不是真正的慈悲；而在賽斯書當中，我從頭到尾看到的都是溫暖、支持、慈悲及智慧，希望每位讀者也能喜歡《心靈的本質》，並從中感受到與眾不同的「愛的真諦」。
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