Stress testing is a tool that will make You able to reveal vulnerabilities within Your Company and point the way to actions that will reduce them. It is a key element of response to the financial crisis. Helps to assess the scope of the problems, evaluate the resiliency of large financial firms and provide transparency and assurance to financial market participants and others. Stress Testing: Approaches, Methods and Applications explores and clarifies the methodology, impetus and functions of stress testing within the context of the latest practices and regulations faced by banks and other financial institutions. Key chapters include: Liquidity Risk: The Case of the Brazilian Banking System The Evolution of Stress Testing Counterparty Exposures A Framework for Stress Testing Banks’ Corporate Credit Portfolio EU-wide Stress Test: The Experience of the EBA

Stress Testing: Approaches, Methods and Applications

Akhtar Siddique

Iftekhar Hasan

Risk Books

This is the survival guide for trading in a world where high-frequency trading predominates in markets, accounting for upwards of 60% of trading in equities and futures, and 40% in foreign exchange. High-frequency trading is the subject of extensive debate, particularly as to whether it is beneficial for traders and markets or instead allows some traders to benefit at others expense. This book provides you with an important overview and perspective on this area, with a particular focus on how low-frequency traders and asset managers can survive in the high frequency world.
 With chapters written by the leading practitioners and academics in the area the book will show you how issues such as big data come into play, how high-frequency should affect optimal execution algorithms and how markets inter-connect in new ways that affect volatility and market stability. Contributors also discuss the new regulatory challenges that arise in the high frequency world.
 Chapters include: - Machine Learning for Market Microstructure and High-Frequency Trading (Michael Kearns and Yuriy Nevmyvaka) - Execution Strategies in Fixed Income Markets (Robert Almgren) - The Regulatory Challenge of High-Frequency Markets (Oliver Linton, Maureen O Hara and J.P. Zigrand) - Do Algo Executions Leak Information? (George Sofianos and JuanJuan Xiang) This book is essential reading for anybody who wants or needs to learn about this changing subject area, including institutional traders, exchanges and trading system operators, regulators and academics.

High-frequency Trading

In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework. Consequently, ALM is at the top of banks agendas. Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments. The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks liquidity reserves and collateral, as well as funding implications. The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements. The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.

The Handbook of ALM in Banking: Interest Rates, Liquidity and the Balance Sheet

Andreas Bohn

Marije Elkenbracht-Huizing

Tail Risk Hedging: Theory and Practice is essential reading for investors who want to improve their understanding of this investment strategy and its role and place in institutional portfolios in order to choose successful asset allocation, portfolio construction and hedging strategies. Since the global financial crisis, investors have been faced with the difficult question of how to generate returns in a more uncertain and volatile environment while controlling the potential downside. Traditional risk control methods such as diversification have been shown to have limits and as a result tail risk hedging has emerged as one possible answer, with several investment managers reporting the tail risk hedging business to be their fastest area of asset growth in the wake of the crisis. This is the first ever edited volume on tail risk hedging, which can serve as a primer and an authoritative guide for institutional investors. Edited by leading experts in the area Andrew Rozanov and Ryan McRandal, based at Permal and Peters Capital Group respectively, the book brings together a representative cross-section of views from practitioners who are active in the space. Chapters include: - An Introduction to Tail Risk Hedging - Strategic Tail Risk Management: a Pension Fund s Perspective - An Asset Allocator s Approach to Tail Risk Hedging - A Systematic Approach to Tail Risk Hedging

Tail Risk Hedging: Theory and Practice

Andrew Rozanov

Ryan McRandal

The structured products industry has become a substantial, but widely misunderstood, business. Structured products, though often deemed capricious and hard to define, have evolved into a mainstream investment product for investors all over the world, with Japan in particular seeing the issue of these products at historically high levels. Many finance professionals are aware of their existence but lack a comprehensive understanding of their history and how they function unless they are directly involved in them. With a Foreword by Gillian Tett to set the scene, Structured Products takes the reader on a tour through the past, present, and future of the industry, providing a concise and complete guide to the breadth of its scale and scope around the world. The book will cover the evolution and history of the markets in the UK and Europe, Asia, Japan, and North America, their idiosyncrasies and characteristics, an analysis of the losses accrued in the past, regulatory responses (including the introduction by the European Commission of its PRIPs regime proposal), risk management and modelling, and a forecast for their future. This book is essential reading for all finance professionals who need to improve their understanding of this major component of modern finance, including but not limited to investment consultants, investment advisers, discretionary asset managers, quantitative analysts, financial analysts, chief risk officers and chief finance officers.

Structured Products: Evolution and Analysis

Business & Money

Investing

Following the global financial crisis, the Comprehensive Capital Analysis Review CCAR has emerged in the US as the most dominant regulatory regime to face banks in recent years: banks must be able to prove to regulators that they have sufficient capital to weather a severe economic downturn. CCAR and Beyond is the first authoritative reference guide to CCAR, providing a complete introduction and analysis of the regulation from origins to implementation. With extensive experience advising CCAR banks on modelling issues, Jing Zhang brings together a cross-section of views from those directly involved in the regulation and implementation of these assessments and stress tests. CCAR and Beyond clarifies the various methodologies and techniques to approaching CCAR assessments, providing unique insight into this seminal regulation. Since the Supervisory Capital Assessment Program (SCAP) in 2009, the Federal Reserve has refined its expectations on capital assessments and stress tests to form the Comprehensive Capital Analysis Review CCAR an annual assessment and stress testing exercise to be performed by banks to rigorously measure whether they have enough capital to withstand another crisis. The spread and breadth of CCAR continues to expand; originally designed for the largest bank holding companies in the US, the assessments are now being performed at smaller banks and regulators across the globe are eagerly watching the results unfold. CCAR is widely considered to be the regulation with the greatest influence on banks risk management and business practices, mainly due to the approval of dividend issuance, share buy-back, acquisitions and other major corporate actions hinging on the outcome of these assessments. CCAR and Beyond: Stress Testing, Capital Planning and Implications explores the modelling techniques key to CCAR and the business implications of the programme. Contributions from those directly involved in the implementation and regulation of these assessments provide a unique source of information and insight into the assessment practices. Jing Zhang brings together industry experts in stress testing and capital assessment to examine the central issues surrounding CCAR including: - the design and severity of the macroeconomic scenarios; - C&amp;I and CRE portfolio stress testing; - market, counterparty and operational risks; - pre-provision net revenue modelling; - governance, and - capital management. Clarifying the various methodologies and techniques, this book is an essential companion for those implementing and performing these capital adequacy assessments and stress testing exercises.

CCAR and Beyond - Capital Assessment, Stress Testing and Applications

Jing, Zhang

Collateral is one of the building blocks on which the financial markets are constructed. Used for a number of purposes - including trading with central counterparties (CCPs), secured funding with market counterparties and central banks, OTC derivatives margining and settlement - the role of effective collateral management in monetising assets has never been more important.  Until now, policy makers have tended to ignore the complex collateral plumbing that is fundamental to lending and enabling growth in the economy. Attention is now focussed on this important issue.  This book, the first of its kind, is written by the leading authority on collateral Manmohan Singh. He leads you through the complex world highlighting the importance of financial plumbing and provides a practical understanding of how financial collateral moves across jurisdictions. Also, the discussion on restricting collateral velocity and how it links to monetary policy rate cycle is original.  This is a must have guide to navigating the future as rules and regulations for the global financial markets are redrawn.  Through a thorough examination of the role collateral plays in the market you will gain a deeper understanding of complex and important themes that are likely to remain topical in the near future.

Collateral and Financial Plumbing

Manmohan Singh

High net worth investors portfolios have unique demands in order to maintain and preserve their significant worth.  These individuals require personalised services in investment management and estate and tax planning, among others.  This gives HNW investors both distinct risk profiles and investment portfolios. HNW individuals invest in significant real estate beyond a primary residence, financial assets and products with high minimum investments, such as alternatives, collections of art and jewellery, and luxury collectibles, such as cars and boats.  In addition, HNW investors are now more able to invest in hedge funds as a result of UCITS and MiFID and consequently need to be able to appreciate the risks involved.  Family offices and wealth managers are therefore increasingly using quantitative methods to meet the demands of both the portfolios and investors.  Edited by industry and academic experts Andrew Rudd and Steve Satchell, Quantitative Approaches to High Net Worth Investment brings together a wide variety of studies on the investment behaviour of HNW investors, with a focus on analytical and quantitative techniques.  Rudd and Satchell have assembled a roster of expert contributors, who span a spectrum of academic and practical approaches and includes authors at leading wealth management organisations.  The book gives practical insights into elements key and specific to high net worth investment including the following: Discretionary wealth management  Tax alpha  The effect of anxiety on portfolio performance  Alternatives and luxury goods, including art  Real estate  Sustainable spending plans  Divorce risk   This reference book is a must-read for family offices and wealth managers looking to expand their client base through the use of more sophisticated, quantitative techniques.

Quantitative Approaches to High Net Worth Investment

Stephen Satchell

Andrew Rudd

Counterparty risk is a topic which has been elevated to the forefront of the front office, risk management and regulatory agendas following mark-to-market volatility and defaults over the global financial crisis. Universal acknowledgement of credit valuation adjustment (CVA) and debt valuation adjustment as essential components within the fair-value of derivatives and securities financing transactions has reinforced the importance of counterparty risk management across a much broader spectrum of financial services firms.

Counterparty Risk Management - Measurement, Pricing and Regulation

Eduardo Canabarro

Michael Pykhtin

The Role of Currency in Institutional Portfolios offers a comprehensive description of currency investing and will re-evaluate the potential role of currencies in institutional portfolios. The empirical evidence suggests that institutional investors are persistently failing to achieve their goal of superior returns or "beating the market". This book focuses on currencies, an overlooked market segment, and investigates the question of how currency investing could be part of the solution of achieving the required investment returns. Chapters include: Alternative Currency Hedging Strategies with Known Covariances: Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates) The Carry Trade - Theory, Strategy and Risk Management: Mike Rosenberg (Bloomberg) The Currency Investing Process: Managing G10 Currencies: Ulf J. Lindahl (A.G. Bisset Associates, LLC) Currency Management Styles: Ten Years Later: James Binny (Lloyds Commercial Bank) The Future of Currency Investing in Institutional Portfolios: Michael Melvin (BlackRock)

The Role of Currency in Institutional Portfolios

Richard M. Levich

Momtchil Pojarliev

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