Understanding volatility and liquidity in the financial markets : building a comprehensive system of risk management
著者
書誌事項
Understanding volatility and liquidity in the financial markets : building a comprehensive system of risk management
Euromoney Books, c1998
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内容説明・目次
内容説明
This title is useful reading for anyone responsible for minimizing exposures and failures within their organization, as well as financial professionals working to produce models of risk and reward. It goes beyond the issues of volatility and liquidity, leading towards a system of risk management.
目次
- Enhancing the bottom line by appreciating risks
- understanding the many types of volatility
- managing volatility risk
- volatility indexing and Barings risk
- interest rate risk and market volatility
- foreign exchange volatility, intraday movement and high-frequency financial data
- causality, intraday activities and intrinsic time
- modelling volatility through real-time simulation - examples with options
- liquidity as a yardstick for sound decisions on asset allocation
- banking operations, liquidity and the cost of funds
- cashflow valuation and the concept of duration
- liquidity rewards and risks with securitization and credit derivatives
- implementing hedging policies through new financial products
- hedges, liquidity and the treasury function
- regulation, liquidity and capital adequacy.
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