A guide to equity index construction
著者
書誌事項
A guide to equity index construction
Risk Books, c2007
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注記
Includes bibliographical references (p. 359-397) and index
内容説明・目次
内容説明
Documenting best practice and keeping mathematical formulae to a minimum, this guide provides a straightforward set of rules and all the tools and techniques you will need to construct an equity index. With over 20 years experience in the fund management industry, author Daniel Broby, presents a clear and workable methodology and: equips you with the skills to construct an optimal index; debates the issue of an appropriate benchmark for equity funds; shows the link between the CAPM and index construction; helps you to understand the nature of the underlying return series; makes better fund managers out of active managers through an improved understanding of benchmark construction; and enables you to differentiate between the myriad of derivative and synthetic ways to gain exposure to an index. This powerful reference manual is recommended for fund managers, index constructors, quantitative analysts, risk analysts, CIOs, institutional relationship managers, financial journalists, finance students and academics.
目次
PROLOGUE: THE JOB INTERVIEW PART I. THE JOB DESCRIPTION 1. A DAY IN THE LIFE Key Risk Indicators Meeting with Internal Audit Briefing the CRO Videoconference Message from the supervisors Study on third-party liability Presentation New product approval 2. THE OPERATIONAL RISK FUNCTION Do I have to manage anything? A place in the sun Are you "adding value"? PART II. TOOLS OF THE TRADE: LIFE UNDER BASEL II 3. RISK MANAGEMENT FOR BEGINNERS: THE OPERATIONAL RISK POLICY Definitions Risk appetite Roles and responsibilities The operational risk management framework 4. RISK IDENTIFICATION Objectives of risk identification A methodology for risk identification and mapping Case studies Conclusions 5. RISK ASSESSMENT Measurement and capital allocation The Basel II approaches to operational risk measurement The advanced measurement approaches 6. RISK MONITORING AND REPORTING Reporting operational events and losses Reporting Key Risk Indicators Reporting VAR PART III. SPECIAL TOPICS IN CALAMITY PHYSICS 7. THE MANAGEMENT OF EXTREME RISKS Risk definitions Scenario analysis for extreme events The high-reliability bank Business continuity vs. disaster recovery 8. FINANCIAL AND OTHER DISASTERS Three case studies Tales of the Titanic The battle for Singapore EPILOGUE: OPERATIONAL RISK MANAGEMENT IN THE YEAR 2020
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