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Enterprise Risk and Opportunity Management
Concepts and Step-by-Step Examples for Pioneering Scientific and Technical Organizations
by Allan S. Benjamin
Part of the Wiley Finance series
Risk management strategy for the pioneering technological sector
“Enterprise Risk and Opportunity Management” provides much-needed guidance tailored specifically to the technological sector. While most enterprise risk management guides are written for traditional businesses and finance firms, this book translates effective enterprise risk and opportunity management (EROM) principles into strategies and practices that work for government, nonprofit, and for-profit organizations in the technological space. Originally designed for noncommercial pioneering enterprises like NASA, an entire chapter is now devoted toward applying the methods to profit-making technological enterprises.
A 40-year veteran of the tech sector, Dr. Allan Benjamin outlines risk management strategies for organizations in which the advancement and integration of science and technology within complex systems is necessary for accomplishment of the mission. Commercial EROM strategies do not translate directly when the development and implementation of risky technologies is the organization's primary objective, and clumsy or near-sighted implementation can easily cripple progress. This book provides authoritative guidance tailored to the sector's specialized needs.
• Maximize opportunity while effectively managing risk
• Understand the core principles of the technological EROM approach and its interfaces with the management of the organization
• Comprehend the intricacies of aggregating risks and opportunities from lower to higher levels of the organization
• Gain expert insights specific to the technology sector
• Mitigate and control the risk that comes with pursuing discovery
In practice, EROM in this sector involves working with mostly qualitative data and is characterized by high uncertainty. Managing risk without handicapping the organization requires a specific set of adjustments to traditional EROM, and a more nuanced approach to the idea of "acceptable risk. Balance is key in technological EROM, and Enterprise Risk and Opportunity Management provides foundational guidance, real-world strategy, and enlightening examples for getting it right.
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Fixed Income Securities
Tools for Today's Markets
by Bruce Tuckman
Part of the Wiley Finance series
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. “Fixed Income Securities”, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail.
The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities.
“Fixed Income Securities”, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional.
This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
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The Handbook for Investment Committee Members
How to Make Prudent Investments for Your Organization
by Russell L. Olson
Part of the Wiley Finance series
Comprehensive coverage of what it takes to be a responsible member of an investment committee
In a clear, organized, and easy-to-understand manner, this handbook explains the responsibilities and expectations of investment committee fiduciaries for pension funds, endowment funds, and foundations. Emphasizing all the do's and don'ts to follow for prudent investment management, this invaluable resource covers topics ranging from investment policy, asset allocation, and risk assessment to understanding information presented at committee meetings, asking meaningful and productive questions, and voting on recommendations knowledgeably. This book will empower readers with all the knowledge they need to feel confident in the investment decisions they make for their organizations
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Business Valuation and Bankruptcy
by Ian Ratner
Part of the Wiley Finance series
An essential guide to business valuation and bankruptcy
Business Valuation and Bankruptcy helps you, whether you are an accountant dealing with a troubled company, a lender, an investor, a bankruptcy and restructuring lawyer/financial advisor, or a private equity player, to focus on solving everyday and case determinative disputes when creditors, lenders, and debtors have differing views of value.
Introducing valuation issues early on in the restructuring/bankruptcy process so you can plan accordingly, this book offers
• Many real life case examples, case descriptions, and tables to demonstrate the applicable sections of the Bankruptcy Laws
• A review of the methods, applications, pros and cons of restructuring with the basic tools to understanding it
• A description of the life cycle of a troubled company and the various stages of a restructuring
• An analysis of the valuation issues that confront practitioners in the real world of application of the law
“Business Valuation and Bankruptcy” is written in terms that are common to bankruptcy professionals and is essential, timely reading for players in the bankruptcy and restructuring environment.
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Commodity Derivatives
Markets and Applications
by Neil C. Schofield
Part of the Wiley Finance series
Commodity Derivatives
In the newly revised Second Edition of “Commodity Derivatives: Markets and Applications”, expert trading educator and author Neil Schofield delivers a comprehensive overview of a wide variety of commodities and derivatives. Beginning with discussions of commodity markets generally before moving on to derivative valuation and risk management, the author then dives into individual commodity markets, like gold, base metals, crude oil, natural gas, electricity, and more.
Schofield relies on his extensive experience at Barclays Investment Bank to offer readers detailed examinations of commodity finance and the use of commodities within a wider investment portfolio.
The second edition includes discussions of critical new topics like dual curve swap valuation, option valuation within a negative price environment using the Bachelier model, volatility skews, smiles, smirks, term structures for major commodities, and more. You'll find case studies on corporate failures linked to improper commodity risk management, as well as explorations of issues like the impact of growing interest in electric vehicles on commodity markets.
The text of the original edition has been updated and expanded and new example transactions are included to help the reader understand the concepts discussed within. Each chapter follows a uniform structure, with typical demand and supply patterns following a non-technical description of the commodity at issue. Discussions of the physical markets in each commodity and the main exchange-traded and over-the-counter products conclude each chapter.
Perfect for commodity and derivatives traders, analysts, and risk managers, the Second Edition of “Commodity Derivatives: Markets and Applications” will also earn a place in the libraries of students and academics studying finance and the graduate intake in financial institutions.
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Hedge Fund Modelling and Analysis Using Excel and VBA
by Paul Darbyshire
Part of the Wiley Finance series
Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments.
The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA.
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Business and Entrepreneurship in Saudi Arabia
Opportunities for Partnering and Investing in Emerging Businesses
by Edward Burton
Part of the Wiley Finance series
An investor's crucial guide to the changing face of Saudi Arabian business
Business and Entrepreneurship in Saudi Arabia is an essential reference guide, informing investors on the key issues that define how business will be done as the nation's family-owned businesses change hands. Supported by the U.S.-Saudi Arabian Business Council, this book introduces the reader to the new Saudi entrepreneur and explains why Saudi Arabia's boom deserves more of the world's attention. As the heads of family-owned businesses age and corporate boards are reshaped, business practices will be influenced by the ascension of the country's young leaders. Interviews with young Saudi entrepreneurs describe the challenges, triumphs, failed attempts, and successful endeavors they experience every day as time-tested traditional models bump up against more modern, innovative ideas and methods. The book's companion website features a variety of useful tools and documents that help readers implement the concepts presented, and the firsthand information provides deep insight into the future of these companies.
Saudi Arabia is profoundly influencing the technological advances of multiple industries through increasing collaboration and in-country partnerships with communities around the world. The evolution of the Kingdom's family-owned businesses is becoming more important to investors as young Saudis claim their legacies, and this book provides an insightful understanding of the changing nature of Saudi business.
• Meet the emerging entrepreneur class of Saudi Arabia
• Learn how the Saudi boom affects global business
• Discover what investors need to know about the Saudi economy
• Examine how time and technology is reshaping the way business is done
• Gain useful insight into the direction management of the Kingdom's growth will take over the next five years
The Saudi economy constitutes thirty percent of the Arab world's GDP, and sixty percent of the population is under the age of thirty. Business and Entrepreneurship in Saudi Arabia provides essential information investors need to navigate the changing tide of doing business in Saudi Arabia.
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Treynor On Institutional Investing
by Jack L. Treynor
Part of the Wiley Finance series
TABLE OF CONTENTS
Foreword.
Preface.
Acknowledgments.
Introduction.
Part One: Risk.
Part Two: CAPM
Part Three: Economics.
Part Four: Trading.
Part Five: Accounting
Part Six: Investment Value.
Part Seven: Active Management.
Part Eight: Pensions.
Part Nine: Cases.
Part Ten: Miscellaneous.
Index.
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The Moorad Choudhry Anthology
Past, Present and Future Principles of Banking and Finance
by Moorad Choudhry
Part of the Wiley Finance series
The definitive and timeless guide to the principles of banking and finance, addressing and meeting the challenges of competition, strategy, regulation and the digital age.
Moorad Choudhry Anthology compiles the best of renowned author Professor Moorad Choudhry's incisive writings on financial markets and bank risk management, together with new material that reflects the legislative changes in the post-crisis world of finance and the impact of digitization and global competition. Covering the developments and principles of banking from the 1950s to today, this unique book outlines the author's recommended best practices in all aspects of bank strategy, governance and risk management, including asset-liability management, liquidity risk management, capital planning, Treasury risk, and corporate framework, and describes a "vision of the future" with respect to a sustainable bank business model. You will gain the insight of a global authority on topics essential to retail, corporate, and investment/wholesale banking, including strategy, risk appetite, funding policies, regulatory requirements, valuation, and much more. The companion website is a goldmine for senior practitioners that provides templates that can applied in virtually any bank, including policy documents, pricing models, committee terms of reference, teaching aids and learning tools including PowerPoint slides and spreadsheet models. These facilitate a deeper understanding of the subject and the requirements of the senior executive, making this book an ideal companion for practitioners, graduate students and professional students alike.
The intense demand for knowledge and expertise in asset-liability management, liquidity, and capital management has been driven by the regulatory challenges of Basel III, the European Union's CRDIV, the Volcker Rule, Dodd-Frank Act, and a myriad of other new regulations. This book meets that need by providing you with a complete background and modern insight on every aspect of bank risk management.
• Re-engage with timeless principles of finance that apply in every market and which are the drivers of principles of risk management
• Learn strategic asset liability management practices that suit today's economic environment
• Adopt new best practices for liquidity models and choosing the appropriate liquidity risk management framework
• Examine optimum capital and funding model recommendations for corporate, retail, and investment/wholesale banks
• Dig deeper into derivatives risk management, balance sheet capital management, funding policy, and more
• Apply best-practice corporate governance frameworks that ensure a perpetual and viable robust balance sheet
• Adopt strategy formulation principles that reflect the long-term imperative of the banking business
In the 21st century more than ever banks need to "re-learn" traditional risk management principles and apply them every day. Every bank in the world needs to be up to speed on these issues, and Anthology from Professor Moorad Choudhry is the answer to this new global policy response.
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The Volatility Smile
by Emanuel Derman
Part of the Wiley Finance series
The updated, real-world guide to interpreting and unpacking GAAP and non-GAAP financial statements.
In “Financial Statement Analysis”, 4th Edition, leading investment authority Martin Fridson returns with Fernando Alvarez to provide the analytical framework you need to scrutinize financial statements, whether you're evaluating a company's stock price or determining valuations for a merger or acquisition. Rather than taking financial statements at face value, you'll learn practical and straightforward analytical techniques for uncovering the reality behind the numbers. This fully revised and up-to-date 5th Edition offers fresh information that will help you to evaluate financial statements in today's volatile markets and uncertain economy. The declining connection between GAAP earnings and stock prices has introduced a need to discriminate between instructive and misleading non-GAAP alternatives. This book integrates the alternatives and provides guidance on understanding the extent to which non-GAAP reports, particularly from US companies, may be biased.
Understanding financial statements is an essential skill for business professionals and investors. Most books on the subject proceed from the questionable premise that companies' objective is to present a true picture of their financial condition. A safer assumption is that they seek to minimize the cost of raising capital by portraying themselves in the most favorable light possible. Financial Statement Analysis teaches readers the tricks that companies use to mislead, so readers can more clearly interpret statements.
• Learn how to read and understand financial statements prepared according to GAAP and non-GAAP standards
• Compare CFROI, EVA, Valens, and other non-GAAP methodologies to determine how accurate companies' reports are
• Improve your business decision making, stock valuations, or merger and acquisition strategy
• Develop the essential skill of quickly and accurately gathering and assessing information from financial statements of all types
Professional analysts, investors, and students will gain valuable knowledge from this updated edition of the popular guide. Filled with real-life examples and expert advice, “Financial Statement Analysis”, 4th Edition, will help you interpret and unpack financial statements.
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Valuing Pass-Through Entities
by Eric J. Barr
Part of the Wiley Finance series
The clarity and guidance valuation analysts have been thirsting for
The business appraisal community regularly names the valuation of pass-through entities as a major issue of concern. Courts, appraisers, and the IRS have long been at odds on the topic, and the contention within the appraisal community itself over methods and inputs further complicates the issue. “Valuing Pass-Through Entities” provides clarity for the analyst tasked with valuation, offering clear explanations of the different perspectives and approaches to the process.
“Valuing Pass-Through Entities” cuts through the chatter to:
• Explain the advantages and limitations of different types of pass-through entities
• Analyze the different viewpoints currently dividing the appraisal community
• Gain a fresh perspective on landmark cases
• Explain how to properly utilize a court-tested model
• Examine detailed sensitivity analyses of different inputs under the income and market approaches
The book includes illustrative examples, templates, and a useful technical supplement, plus case studies that demonstrate the real-world effects of various pass-through entity valuation methods and inputs. Detailed analyses and an easy-to-apply model simplify the process while positively affecting outcomes. The companion website provides the text of landmark court decisions, a blog featuring industry trends and tidbits, additional articles, and the insight of the author and other industry leaders.
Valuation requires the successful juggling of multiple variables, many of which can have a major impact on value. Analysts need to know how to balance each factor and apply the appropriate rates and discounts, but a lack of standard practice often leaves the issue too subjective. “Valuing Pass-Through Entities” clears the air, providing real-world guidelines and tools.
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Fundamentals of Islamic Money and Capital Markets
by Azmi Omar
Part of the Wiley Finance series
The first comprehensive guide to Islamic financial markets
Based on the course taught at the International Islamic University Malaysia, this is the first book on Islamic finance to focus exclusively on money and capital markets. Covering basic concepts as well as current practices in Islamic financial markets, the book features case studies from real markets. It outlines the theory of money in terms of value, supply, and demand, while explaining the Islamic capital markets in terms of classifications, types of operations, valuations of securities, Islamic unit trust, ETFs, Islamic stock broking, and much more.
• Written by experts from the International Islamic University Malaysia, the leading organisation in research in Islamic finance
• The first guide to Islamic finance focused solely on money and capital markets
An excellent introduction to money market principles for students in Islamic banking and finance, as well as researchers and current practitioners, Fundamentals of Islamic Money and Capital Markets is a vital resource on the subject.
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Behavioral Finance and Wealth Management
How to Build Optimal Portfolios That Account for Investor Biases
by Michael M. Pompian
Part of the Wiley Finance series
Fear and greed drive markets, as well as good and bad investment decision-making. In Behavioral Finance and Wealth Management, financial expert Michael Pompian shows you, whether you're an investor or a financial advisor, how to make better investment decisions by employing behavioral finance research. Pompian takes a practical approach to the science of behavioral finance and puts it to use in the real world. He reveals 20 of the most prominent individual investor biases and helps you properly modify your asset allocation decisions based on the latest research on behavioral anomalies of individual investors.
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Hedge Fund Due Diligence
Professional Tools to Investigate Hedge Fund Managers
by Randy Shain
Part of the Wiley Finance series
Healthcare is changing, and data is the catalyst.
Data is taking over in a powerful way, and it's revolutionizing the healthcare industry. You have more data available than ever before, and applying the right analytics can spur growth. Benefits extend to patients, providers, and board members, and the technology can make centralized patient management a reality. Despite the potential for growth, many in the industry and government are questioning the value of data in health care, wondering if it's worth the investment.
“Data-Driven Healthcare: How Analytics and BI are Transforming the Industry” tackles the issue and proves why BI is not only worth it, but necessary for industry advancement. Healthcare BI guru Laura Madsen challenges the notion that data have little value in healthcare, and shows how BI can ease regulatory reporting pressures and streamline the entire system as it evolves. Madsen illustrates how a data-driven organization is created, and how it can transform the industry.
• Learn why BI is a boon to providers
• Create powerful infographics to communicate data more effectively
• Find out how Big Data has transformed other industries, and how it applies to healthcare
“Data-Driven Healthcare: How Analytics and BI are Transforming the Industry” provides tables, checklists, and forms that allow you to take immediate action in implementing BI in your organization. You can't afford to be behind the curve. The industry is moving on, with or without you. “Data-Driven Healthcare: How Analytics and BI are Transforming the Industry” is your guide to utilizing data to advance your operation in an industry where data-fueled growth will be the new norm.
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Operational Risk Toward Basel III
Best Practices and Issues in Modeling, Management, and Regulation
by Greg N. Gregoriou
Part of the Wiley Finance series
This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.
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Transforming Financial Institutions
Value Creation through Technology Innovation and Operational Change
by Joerg Ruetschi
Part of the Wiley Finance series
Transform your financial organisation's formula for value creation with this insightful and strategic approach
In Transforming Financial Institutions through Technology Innovation and Operational Change, visionary turnaround leader Joerg Ruetschi delivers a practical and globally relevant methodology and framework for value creation at financial institutions. The author demonstrates how financial organisations can combine finance strategy with asset-liability and technology management to differentiate their services and gain competitive advantage in a ferocious industry.
In addition to exploring the four critical areas of strategic and competitive transformation - financial analysis, valuation, modeling, and stress - the book includes:
• Explanations of how to apply the managerial fundamentals discussed in the book in the real world, with descriptions of the principles for reorganization, wind-down and overall value creation
• An analysis of the four key emerging technologies in the financial industry: AI, blockchain, software, and infrastructure solutions, and their transformational impact
• Real-world case studies and examples on how financial institutions can be repositioned and rebuilt on a path of profitability
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The Retirement Plan Solution
The Reinvention of Defined Contribution
by Don Ezra
Part of the Wiley Finance series
Synopsis currently unavailable.
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How to Calculate Options Prices and Their Greeks
Exploring the Black Scholes Model from Delta to Vega
by Pierino Ursone
Part of the Wiley Finance series
A unique, in-depth guide to options pricing and valuing their Greeks, along with a four-dimensional approach towards the impact of changing market circumstances on options
“How to Calculate Options Prices and Their Greeks” is the only book of its kind, showing you how to value options and the Greeks according to the Black Scholes model but also how to do this without consulting a model. You'll build a solid understanding of options and hedging strategies as you explore the concepts of probability, volatility, and put call parity, then move into more advanced topics in combination with a four-dimensional approach of the change of the P&L of an option portfolio in relation to strike, underlying, volatility, and time to maturity. This informative guide fully explains the distribution of first and second order Greeks along the whole range wherein an option has optionality, and delves into trading strategies, including spreads, straddles, strangles, butterflies, kurtosis, vega-convexity, and more. Charts and tables illustrate how specific positions in a Greek evolve in relation to its parameters, and digital ancillaries allow you to see 3D representations using your own parameters and volumes.
The Black and Scholes model is the most widely used option model, appreciated for its simplicity and ability to generate a fair value for options pricing in all kinds of markets. This book shows you the ins and outs of the model, giving you the practical understanding you need for setting up and managing an option strategy.
• Understand the Greeks, and how they make or break a strategy
• See how the Greeks change with time, volatility, and underlying
• Explore various trading strategies
• Implement options positions, and more
Representations of option payoffs are too often based on a simple two-dimensional approach consisting of P&L versus underlying at expiry. This is misleading, as the Greeks can make a world of difference over the lifetime of a strategy. “How to Calculate Options Prices and Their Greeks” is a comprehensive, in-depth guide to a thorough and more effective understanding of options, their Greeks, and (hedging) option strategies.
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Islamic Capital Markets
Products and Strategies
by Michael Mahlknecht
Part of the Wiley Finance series
Islamic Finance has experienced rapid growth in recent years, showing significant innovation and sophistication, and producing a broad range of investment products which are not limited to the complete replication of conventional fixed-income instruments, derivatives and fund structures. Islamic Finance represents an elemental departure from traditional interest-based and speculative practices, relying instead on real economic transactions, such as trade, investment based on profit sharing, and other solidary ways of doing business, and aims to incorporate Islamic principles, such as social justice, ecology and kindness, to create investment products and financial markets which are both ethical and sustainable.
Products created according to Islamic principles have shown a low correlation to other market segments and are relatively independent even from market turbulences like the subprime crisis. Therefore, they have become increasingly popular with secular Muslims and non-Muslim investors, as highly useful alternative investments for the diversification of portfolios.
In Islamic Capital Markets: Products and Strategies, international experts on Islamic Finance and Sharia'a Law focus on the most imminent issues surrounding the evolution of Islamic capital markets and the development of Sharia'a-compliant products. The book is separated into four parts, covering:
• General concepts and legal issues, including Rahn concepts in Saudi Arabia, the Sharia'a process in product development and the integration of social responsibility in financial communities,
• Global Islamic capital market trends, such as the evolution of Takaful products and the past, present and future of Islamic derivatives,
• National and regional experiences, from the world's largest Islamic financial market, Malaysia, to Islamic finance in other countries, including Germany, France and the US,
• Learning from Islamic finance after the global financial crisis, analysis of the risks and strengths of Islamic capital markets compared to the conventional system, financial engineering from an Islamic perspective, Sharia'a-compliant equity investments and Islamic microfinance.
Islamic Capital Markets: Products and Strategies is the complete investors' guide to Islamic finance.
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Big Data and Machine Learning in Quantitative Investment
by Tony Guida
Part of the Wiley Finance series
Get to know the 'why' and 'how' of machine learning and big data in quantitative investment
Big Data and Machine Learning in Quantitative Investment is not just about demonstrating the maths or the coding. Instead, it's a book by practitioners for practitioners, covering the questions of why and how of applying machine learning and big data to quantitative finance.
The book is split into 13 chapters, each of which is written by a different author on a specific case. The chapters are ordered according to the level of complexity, beginning with the big picture and taxonomy, moving onto practical applications of machine learning and finally finishing with innovative approaches using deep learning.
• Gain a solid reason to use machine learning
• Frame your question using financial markets laws
• Know your data
• Understand how machine learning is becoming ever more sophisticated
Machine learning and big data are not a magical solution, but appropriately applied, they are extremely effective tools for quantitative investment - and this book shows you how.
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Financial Markets Operations Management
by Keith Dickinson
Part of the Wiley Finance series
A comprehensive text on financial market operations management
“Financial Market Operations Management” offers anyone involved with administering, maintaining, and improving the IT systems within financial institutions a comprehensive text that covers all the essential information for managing operations. Written by Keith Dickinson, an expert on the topic, the book is comprehensive, practical, and covers the five essential areas of operations and management including participation and infrastructure, trade life cycle, asset servicing, technology, and the regulatory environment. This comprehensive guide also covers the limitations and boundaries of operational systems and focuses on their interaction with external parties including clients, counterparties, exchanges, and more.
This essential resource reviews the key aspects of operations management in detail, including an examination of the entire trade life cycle, new issue distribution of bonds and equities, securities financing, as well as corporate actions, accounting, and reconciliations. The author highlights specific operational processes and challenges and includes vital formulae, spreadsheet applications, and exhibits.
• Offers a comprehensive resource for operational staff in financial services
• Covers the key aspects of operations management
• Highlights operational processes and challenges
• Includes an instructors manual, a test bank, and a solution manual
This vital resource contains the information, processes, and illustrative examples needed for a clear understanding of financial market operations.
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Standards of Value
Theory and Applications
by Jay E. Fishman
Part of the Wiley Finance series
Expert direction on interpretation and application of standards of value
Written by Jay Fishman, Shannon Pratt, and William Morrison-three renowned valuation practitioners, “Standards of Value, Second Edition” discusses the interaction between valuation theory and its judicial and regulatory application. This insightful book addresses standards of value (SOV) as applied in four distinct contexts: estate and gift taxation, shareholder dissent and oppression, divorce, and financial reporting. Here, you will discover some of the intricacies of performing services in these venues.
• Features new case law in topics including personal good will and estate and gift tax, and updated to cover the new standards issued since the first edition
• Includes an updated compendium discussing the standards of value by state, new case law covering divorce, personal goodwill, and estate and gift tax, and coverage of newly issues financial standards
• Shows how the Standard of Value sets the appraisal process in motion and includes the combination of a review of court cases with the valuator's perspective
• Addresses the codification of GAAP and updates SOV in individual states
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Credit Derivatives and Structured Credit Trading
by Vinod Kothari
Part of the Wiley Finance series
Covers the history of the entire African continent, from prehistory to the present day.
“A Companion to African History” embraces the diverse regions, subject matter, and disciplines of the African continent, while also providing chronological and geographical coverage of basic historical developments. Two dozen essays by leading international scholars explore the challenges facing this relatively new field of historical enquiry and present the dynamic ways in which historians and scholars from other fields such as archaeology, anthropology, political science, and economics are forging new directions in thinking and research.
Comprised of six parts, the book begins with thematic approaches to African history-exploring the environment, gender and family, medical practices, and more. Section two covers Africa's early history and its pre-colonial past-early human adaptation, the emergence of kingdoms, royal power, and warring states. The third section looks at the era of the slave trade and European expansion. Part four examines the process of conquest-the discovery of diamonds and gold, military and social response, and more. Colonialism is discussed in the sixth section, with chapters on the economy transformed due to the development of agriculture and mining industries. The last section studies the continent from post World War II all the way up to modern times.
• Aims at capturing the enthusiasms of practicing historians, and encouraging similar passion in a new generation of scholars
• Emphasizes linkages within Africa as well as between the continent and other parts of the world
• All chapters include significant historiographical content and suggestions for further reading
• Written by a global team of writers with unique backgrounds and views
• Features case studies with illustrative examples
In a field traditionally marked by narrow specialisms, “A Companion to African History” is an ideal book for advanced students, researchers, historians, and scholars looking for a broad yet unique overview of African history as a whole.
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The Economics of Commodity Markets
by Julien Chevallier
Part of the Wiley Finance series
As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject.
The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors' teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning.
The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed.
This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.
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Merger Arbitrage
How to Profit from Global Event-Driven Arbitrage
by Thomas Kirchner
Part of the Wiley Finance series
Mitigate risk and increase returns with an alternative hedge fund strategy
“Merger Arbitrage: How to Profit from Event-Driven Arbitrage”, Second Edition is the definitive guide to the ins and outs of the burgeoning merger arbitrage hedge fund strategy, with real-world examples that illustrate how mergers work and how to take advantage of them. Author Thomas Kirchner, founder of the Pennsylvania Avenue Event-Driven Fund, discusses the factors that drove him to invest solely in merger arbitrage and other event-driven strategies, and details the methods used to incorporate merger arbitrage into traditional investment strategies.
And while there is always a risk that a deal will fall through, the book explains how minimal such risks really are when the potential upside is factored in. Early chapters of the book focus on the basics of the merger arbitrage strategy, including an examination of mergers and the incorporation of risk into the arbitrage decision. Following chapters detail deal structures, financing, and legal aspects to provide the type of in-depth knowledge required to execute an effective investment strategy. The updated second edition stresses new, increasingly relevant information like:
• Worldwide legal deal regimes
• UK takeover code
• UK takeover code global offspring
• Regulators around the world
The book provides clear, concise guidance on critical considerations including leverage and options, shorting stocks, and legal recourse for inadequate merger consideration, allowing readers to feel confident about trying a new investment strategy. With simple benefits including diversification of risk and return streams, this alternative hedge fund strategy has a place in even the most traditional plan. “Merger Arbitrage: How to Profit from Event-Driven Arbitrage”, Second Edition provides the information that gives investors an edge in the merger arbitrage arena.
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How to Be an Investment Banker
Recruiting, Interviewing, and Landing the Job
by Andrew Gutmann
Part of the Wiley Finance series
A top-notch resource for anyone who wants to break into the demanding world of investment banking
For undergraduates and MBA students, this book offers the perfect preparation for the demanding and rigorous investment banking recruitment process. It features an overview of investment banking and careers in the field, followed by chapters on the core accounting and finance skills that make up the necessary framework for success as a junior investment banker. The book then moves on to address the kind of specific technical interview and recruiting questions that students will encounter in the job search process, making this the ideal resource for anyone who wants to enter the field.
• The ideal test prep resource for undergraduates and MBA students trying to break into investment banking
• Based on author Andrew Gutmann's proprietary 24 to 30-hour course
• Features powerful learning tools, including sample interview questions and answers and online resources
For anyone who wants to break into investment banking, How to Be an Investment Banker is the perfect career-making guide.
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Manufacturing and Managing Customer-Driven Derivatives
by Dong Qu
Part of the Wiley Finance series
“Managing Credit Risk”, Second Edition opens with a detailed discussion of today's global credit markets-touching on everything from the emergence of hedge funds as major players to the growing influence of rating agencies. After gaining a firm understanding of these issues, you'll be introduced to some of the most effective credit risk management tools, techniques, and vehicles currently available. If you need to keep up with the constant changes in the world of credit risk management, this book will show you how.
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Financial Instrument Pricing Using C++
by Daniel J. Duffy
Part of the Wiley Finance series
An integrated guide to C++ and computational finance
This complete guide to C++ and computational finance is a follow-up and major extension to Daniel J. Duffy's 2004 edition of “Financial Instrument Pricing Using C++”. Both C++ and computational finance have evolved and changed dramatically in the last ten years and this book documents these improvements. Duffy focuses on these developments and the advantages for the quant developer by:
• Delving into a detailed account of the new C++11 standard and its applicability to computational finance.
• Using de-facto standard libraries, such as Boost and Eigen to improve developer productivity.
• Developing multiparadigm software using the object-oriented, generic, and functional programming styles.
• Designing flexible numerical algorithms: modern numerical methods and multiparadigm design patterns.
• Providing a detailed explanation of the Finite Difference Methods through six chapters, including new developments such as ADE, Method of Lines (MOL), and Uncertain Volatility Models.
• Developing applications, from financial model to algorithmic design and code, through a coherent approach.
• Generating interoperability with Excel add-ins, C#, and C++/CLI.
• Using random number generation in C++11 and Monte Carlo simulation.
Duffy adopted a spiral model approach while writing each chapter of Financial Instrument Pricing Using C++ 2e: analyse a little, design a little, and code a little. Each cycle ends with a working prototype in C++ and shows how a given algorithm or numerical method works. Additionally, each chapter contains non-trivial exercises and projects that discuss improvements and extensions to the material.
This book is for designers and application developers in computational finance, and assumes the reader has some fundamental experience of C++ and derivatives pricing.
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Strategic Fixed Income Investing
An Insider's Perspective on Bond Markets, Analysis, and Portfolio Management
by Sean P. Simko
Part of the Wiley Finance series
Bringing a timely synthesis to the field, “The Handbook of Law and Society” presents a comprehensive overview of key research findings, theoretical developments, and methodological controversies in the field of law and society.
• Provides illuminating insights into societal issues that pose ongoing real-world legal problems
• Offers accessible, succinct overviews with in-depth coverage of each topic, including its evolution, current state, and directions for future research
• Addresses a wide range of emergent topics in law and society and revisits perennial questions about law in a global world including the widening gap between codified laws and "law in action", problems in the implementation of legal decisions, law's constitutive role in shaping society, the importance of law in everyday life, ways legal institutions both embrace and resist change, the impact of new media and technologies on law, intersections of law and identity, law's relationship to social consensus and conflict, and many more
• Features contributions from 38 international expert scholars working in diverse fields at the intersections of legal studies and social sciences
• Unique in its contributions to this rapidly expanding and important new multi-disciplinary field of study
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Asymmetric Dependence in Finance
Diversification, Correlation and Portfolio Management in Market Downturns
by Various Authors
Part of the Wiley Finance series
Avoid downturn vulnerability by managing correlation dependency
Asymmetric Dependence in Finance examines the risks and benefits of asset correlation and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue.
Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market, this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks.
• Examine an options-based approach to limiting your portfolio's downside risk
• Manage asymmetric dependence in larger portfolios and alternate asset classes
• Get up to speed on alternative portfolio performance management methods
• Improve fund performance by applying appropriate models and quantitative techniques
Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
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Structured Products in Wealth Management
by Steffen Tolle
Part of the Wiley Finance series
• Structured products in the form of equity-linked derrivatives have seen a rapid rise in popularity in the field of wealth management.
• Structured products are combinations of derivatives and traditional financial instruments such as stocks and bonds. The various components are combined into a single financial instrument and securitized.
• Discusses the characteristics and practical applications of structured products.
• In addition to providing a description of the structured products, this book focuses on their practical applications, showing how they can generate added value as part of an integrated investment process.
• Colourful charts help present the material in an attractive, real-world context.
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Principles of Quantitative Development
by Manoj Thulasidas
Part of the Wiley Finance series
“Principles of Quantitative Development” is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization.
The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development.
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Foundations of Shari'ah Governance of Islamic Banks
by Karim Ginena
Part of the Wiley Finance series
A practical guide for robust sharī'ah governance of the Islamic banking industry
Debate in the market on the extent of sharī'ah compliance of Islamic banks, their products, and activities has piqued stakeholders' interest. In Foundations of Sharī'ah Governance of Islamic Banks, Karim Ginena and Azhar Hamid explore the depths of sharī'ah governance to unravel its mysterious dimensions and equip academics and practitioners with a solid understanding of the subject, which has become a serious challenge and thus deserves dedicated attention.
The authors make a strong case for the need to contain the sharī'ah risk that Islamic banks experience and present a compelling argument for how this should be done. Ginena and Hamid propose a robust sharī'ah governance model that comprehensively tackles thisrisk and helps improve the extent of sharī'ah compliance of market players. The authors detail the internal, external, and institutional arrangements needed to promote responsible sharī'ah governance, and critically analyze current laws, regulations, and industry practices on the topic. The chapters of the book do the following:
• Examine the roots, characteristics and objectives of sharī'ah and its relation to financial dealings
• Probe the role of regulators in sharī'ah governance, explore the different approaches adopted by banking supervisors, and provide examples of relevant legal and regulatory measures
• Explain to bank directors and management the fiduciary duty they assume with respect to sharī'ah compliance, and detail how they could discharge this responsibility in line with best practices
• Elaborate on the purpose of the Sharī'ah Supervisory Board (SSB), its responsibilities, competence criteria, internal regulations, and key governance guidelines; additionally, they explore different SSB models
• Describe the internal sharī'ah control system including its six components, and examine the internal sharī'ah audit function as well as different stages of conducting a sharī'ah audit
• Clarify the role of a sharī'ah auditor, with guidance on reporting lines, scope of duties, authority, and practical ways on fulfilling tasks, such as a sample sharī'ah risk assessment grid and audit checklists
• Discuss the newly emerging external sharī'ah advisory firms that are expected to play a key role in the coming years and the services they provide.
Through an effective treatment of each of these elements, and the way that they interact with one another, the book offers a fresh take on how robust sharī'ah governance of Islamic banks can be successfully accomplished. It is a comprehensive resource for academics, regulators, directors, lawyers, auditors, consultants, employees, and customers of Islamic banks interested in learning more about these challenges. This essential reading persuasively extends the discourse on the subject and addresses critical sharī'ah issues that have policy implications for decision makers in jurisdictions aiming to attract the fast-growing Islamic finance industry or increase their market share.
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The Handbook of Hybrid Securities
Convertible Bonds, CoCo Bonds, and Bail-In
by Jan De Spiegeleer
Part of the Wiley Finance series
Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management
To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, “The Handbook of Hybrid Securities” dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view.
• Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models
• Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more
• Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market
• The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and an indispensable reference for regulators
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Pricing and Hedging Financial Derivatives
A Guide for Practitioners
by Leonardo Marroni
Part of the Wiley Finance series
The only guide focusing entirely on practical approaches to pricing and hedging derivatives
One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging, two critical topics for traders. What matters to practitioners is what happens on the trading floor-information only seasoned practitioners such as authors Marroni and Perdomo can impart.
• Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets
• Provides expert guidance on the development of structured products, supplemented with a range of practical examples
• Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs
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Islamic Commercial Law
by Muhammad Yusuf Saleem
Part of the Wiley Finance series
A concise study of the practices in Islamic commercial law
Filling a gap in the current literature, Islamic Commercial Law is the only book available that combines the theory and practice of Islamic commercial law in an English-language text. From the experts at the International Islamic University Malaysia, the book examines the source materials in the Qur'an and Hadith and highlights the views and positions of leading schools of Islamic law, without burying the reader in juristic minutia. It combines theory with practice to address the needs of students while providing a pragmatic treatment of Islamic contracts. It provides diagrams for individual contracts to reveal the type and nature of the contractual relationships between parties and discusses all types of fundamental transactions, including sales, loans, debt transfers, partnerships, and more.
• Written by experts from the International Islamic University Malaysia, the leading organisation in research in Islamic finance
• Closes a vital gap in the English-language literature on Islamic commercial law
• Features end-of-chapter questions to enable self-testing and provoke critical thinking
An ideal guide for current students, researchers, and practitioners, Islamic Commercial Law offers a concise yet comprehensive coverage of the subject.
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Understanding Bitcoin
Cryptography, Engineering and Economics
by Pedro Franco
Part of the Wiley Finance series
Discover Bitcoin, the cryptocurrency that has the finance world buzzing
Bitcoin is arguably one of the biggest developments in finance since the advent of fiat currency. With “Understanding Bitcoin”, expert author Pedro Franco provides finance professionals with a complete technical guide and resource to the cryptography, engineering and economic development of Bitcoin and other cryptocurrencies. This comprehensive, yet accessible work fully explores the supporting economic realities and technological advances of Bitcoin, and presents positive and negative arguments from various economic schools regarding its continued viability.
This authoritative text provides a step-by-step description of how Bitcoin works, starting with public key cryptography and moving on to explain transaction processing, the blockchain and mining technologies. This vital resource reviews Bitcoin from the broader perspective of digital currencies and explores historical attempts at cryptographic currencies. Bitcoin is, after all, not just a digital currency, it's a modern approach to the secure transfer of value using cryptography. This book is a detailed guide to what it is, how it works, and how it just may jumpstart a change in the way digital value changes hands.
• Understand how Bitcoin works, and the technology behind it
• Delve into the economics of Bitcoin, and its impact on the financial industry
• Discover alt-coins and other available cryptocurrencies
• Explore the ideas behind Bitcoin 2.0 technologies
• Learn transaction protocols, micropayment channels, atomic cross-chain trading, and more
Bitcoin challenges the basic assumption under which the current financial system rests: that currencies are issued by central governments, and their supply is managed by central banks. To fully understand this revolutionary technology, Understanding Bitcoin is a uniquely complete, reader-friendly guide.
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Asset Securitization
Theory and Practice
by Joseph C. Hu
Part of the Wiley Finance series
Asset Securitization is intended for beginners and market professionals alike who are interested in learning about asset securitization-its concepts and practices. It is designed so that the readers will come away with a fundamental but comprehensive understanding of the asset securitization market. As such, the book aims to provide a review of the market's development, necessary framework, potential benefits, and detailed descriptions of major asset securitization products.
Part I of the book, which consists of four chapters, will discuss the fundamental concepts, the funding efficiency, the market participants, and the potential benefits of asset securitization. An analysis of mortgage finance will be provided in Part II, which consists of six chapters that cover a variety of topics from the description of many different types of residential mortgages to the securitization of different types of residential mortgages, including the now infamous sub-prime mortgages. Also included are important topics, such as prepayments, cash flow structure, maturity and credit tranching, and the trading and relative value of the various mortgage-backed securities. The three chapters in Part III will explain the other major asset securitization products, such as commercial mortgage-backed securities, credit card receivable-backed securities, auto loan-backed securities, and collateralized bond obligations. Part IV has two chapters: one reviews the collapse and the potential recovery of the asset securitization market, and the other describes the asset securitization efforts in Japan, Australia, Taiwan, and China.
Extensive tables and charts are presented to help illustrate a concept or describe a product. Neither analytical discussions nor investment strategies of the various asset-backed securities are included as they are not the focus of this book.
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Collateral Management
A Guide to Mitigating Counterparty Risk
by Michael Simmons
Part of the Wiley Finance series
Insight into collateral management and its increasing relevance in modern banking
In the wake of recent financial crises, firms of all sizes have adjusted their policies to incorporate more frequent instances of collateral management. “Collateral Management: A Guide to Mitigating Counterparty Risk” explains the connection between the need for collateral management in order to alleviate counterparty risk and the actions that firms must take to achieve it. Targeted at middle and back-office managers seeking a hands-on explanation of the specifics of collateral management, this book offers a thorough treatment of the subject and attends to details such as internal record management, daily procedures used in making and receiving collateral calls, and settlement-related issues that affect the movements of cash and securities collateral. An expert in financial topics ranging from trade lifecycle to operational risk, author Michael Simmons offers readers insight into a field that, so far, is struggling to produce enough expertise to meet its high demand.
• Presents hands-on advice and examples from a bestselling, internationally renowned author who introduces his third book on operations and operations-related activities
• Explains the relationship between collateral management and preventing institutional defaults, such as the recent Lehman Brothers downfall
Since 2008, firms have recognized and embraced the importance of collateral management, but this book will provide practitioners with a deeper understanding and appreciation of its relevance.
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Top Hedge Fund Investors
Stories, Strategies, and Advice
by Cathleen M. Rittereiser
Part of the Wiley Finance series
A practitioner's guide to finding alpha in fixed income trading in emerging markets.
Emerging fixed income markets are both large and fast growing. China, currently the second largest economy in the world, is predicted to overtake the United States by 2030. Chinese fixed income markets are worth more than $11 trillion USD and are being added to global fixed income indices starting in 2019. Access for foreigners to the Indian fixed income market, valued at almost 1trn USD, is also becoming easier—a trend repeated in emerging markets around the world. The move to include large Emerging Market (EM) fixed income markets into non-EM benchmarks requires non-EM specialists to understand EM fixed income. Trading Fixed Income in Emerging Markets examines the principle drivers for EM fixed income investing. This timely guide suggests a more systematic approach to EM fixed income trading with a focus on practical trading rules on how to generate alpha, assisting EM practitioners to limit market-share losses to passive investment vehicles.
The definitive text on trading EM fixed income, this book is heavily data-driven—every trading rule is thoroughly back-tested over the last 10+ years. Case studies help readers identify and benefit from market regularities, while discussions of the business cycle and typical EM events inform and optimise trading strategies. Topics include portfolio construction, how to apply ESG principles to EM and the future of EM investing in the realm of Big Data and machine learning. Written by practitioners for practitioners, this book:
• Provides effective, immediately-accessible tools
• Covers all three fixed income asset classes: EMFX, EM local rates and EM credit
• Thoroughly analyses the impact of the global macro cycle on EM investing
• Examines the influence of the financial rise of China and its fixed income markets
• Includes case studies of trades that illustrate how markets typically behave in certain situations
The first book of its kind, “Trading Fixed Income in Emerging Markets: A Practitioner's Guide” is an indispensable resource for EM fund managers, analysts and strategists, sell-side professionals in EM and non-EM specialists considering activity in emerging markets.
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Bubble Value at Risk
A Countercyclical Risk Management Approach
by Max C. Y. Wong
Part of the Wiley Finance series
Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications
The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks, Bubble Value at Risk, that is countercyclical and offers a well-tested buffer against market crashes.
• Describes Bubble VaR, a more macro-prudential risk measure proven to avoid the limitations of VaR and by providing a more accurate risk exposure estimation over market cycles
• Makes a strong case that analysts and risk managers need to unlearn our existing "science" of risk measurement and discover more robust approaches to calculating risk capital
• Illustrates every key concept or formula with an abundance of practical, numerical examples, most of them provided in interactive Excel spreadsheets
• Features numerous real-world applications, throughout, based on the author's firsthand experience as a veteran financial risk analyst.
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Strategic Risk Management
Designing Portfolios and Managing Risk
by Campbell R. Harvey
Part of the Wiley Finance series
STRATEGIC RISK MANAGEMENT
Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, risk management is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to risk management before they are handed off to a dedicated-but separate-risk management team.
In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world's largest publicly listed hedge fund, Man Group.
The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book's new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets.
The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing.
Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets.
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Fourier Transform Methods in Finance
by Umberto Cherubini
Part of the Wiley Finance series
In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes.
Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods, the dynamics of asset prices, non-stationary market dynamics, arbitrage free pricing, generalized functions and the Fourier transform method.
Readers will learn how to:
• compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique
• characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps
• apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques
• perform a change of measure on the characteristic function in order to make the price process a martingale
• recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions
• apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps.
Junior and senior practitioners alike will benefit from this quick reference guide to state-of-the-art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance.
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Investment Theory and Risk Management
by Steven Peterson
Part of the Wiley Finance series
A unique perspective on applied investment theory and risk management from the Senior Risk Officer of a major pension fund
Investment Theory and Risk Management is a practical guide to today's investment environment. The book's sophisticated quantitative methods are examined by an author who uses these methods at the Virginia Retirement System and teaches them at the Virginia Commonwealth University. In addition to showing how investment performance can be evaluated, using Jensen's Alpha, Sharpe's Ratio, and DDM, he delves into four types of optimal portfolios (one that is fully invested, one with targeted returns, another with no short sales, and one with capped investment allocations).
In addition, the book provides valuable insights on risk, and topics such as anomalies, factor models, and active portfolio management. Other chapters focus on private equity, structured credit, optimal rebalancing, data problems, and Monte Carlo simulation.
• Contains investment theory and risk management spreadsheet models based on the author's own real-world experience with stock, bonds, and alternative assets
• Offers a down-to-earth guide that can be used on a daily basis for making common financial decisions with a new level of quantitative sophistication and rigor
• Written by the Director of Research and Senior Risk Officer for the Virginia Retirement System and an Associate Professor at Virginia Commonwealth University's School of Business
Investment Theory and Risk Management empowers both the technical and non-technical reader with the essential knowledge necessary to understand and manage risks in any corporate or economic environment.
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Security Analysis and Business Valuation on Wall Street
A Comprehensive Guide to Today's Valuation Methods
by Jeffrey C. Hooke
Part of the Wiley Finance series
An insider's look at security analysis and business valuation, as practiced by Wall Street, Corporate America, and international businesses.
Two major market crashes, numerous financial and accounting scandals, growth in private equity and hedge funds, Sarbanes Oxley and related regulations, and international developments changed security analysis and business valuation substantially over the last fourteen years. These events necessitated a second edition of this modern classic, praised earlier by Barron's as a "welcome successor to Graham and Dodd" and used in the global CFA exam.
This authoritative book shows the rational, rigorous analysis is still the most successful way to evaluate securities. It picks up where Graham and Dodd's bestselling “Security Analysis” for decades considered the definitive word on the subject, leaves off. Providing a practical viewpoint, “Security Analysis on Wall Street” shows how the values of common stock are really determined in today's marketplace. Incorporating dozens of real-world examples and spotlighting many special analysis cases, including cash flow stocks, unusual industries and distressed securities, this comprehensive resources delivers all the answers to your questions about security analysis and corporate valuation on Wall Street.
The Second Edition of “Security Analysis on Wall Street” examines how mutual funds, private equity funds, hedge funds, institutional money managers, investment banks, business appraisers, and corporate acquirers perform their craft of security analysis and business valuation in today's highly charged environment. Completely updated to reflect the latest methodologies, this reliable resource represents the most comprehensive book written by someone who has actually worked as an investment banker, private equity executive, and international institutional investor.
• Shows the methodical process that practitioners use to value common stocks and operating companies and to make buy/sell decisions
• Discusses the impact of the two stock market crashes, the accounting and financial scandals, and the new regulations on the evaluation process
• Covers how Internet and computing power automate portions of the research and analytical effort
• Includes new case study examples representative of valuation issues faced daily by mutual funds, private equity funds, hedge funds, institutional investors, investment banks, business appraisers, and corporate acquirers
• Is a perfect tool for professors wishing to show their MBA students the essential tools of equity and business valuation
Security analysis and business valuation are core financial disciplines for Wall Streeters, corporate acquirers, and international investors. This is an important book for anyone who needs a solid grounding in these critical finance topics.
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Mathematical Techniques in Finance
An Introduction
by Amir Sadr
Part of the Wiley Finance series
Explore the foundations of modern finance with this intuitive mathematical guide
In Mathematical Techniques in Finance: An Introduction, distinguished finance professional Amir Sadr delivers an essential and practical guide to the mathematical foundations of various areas of finance, including corporate finance, investments, risk management, and more.
Readers will discover a wealth of accessible information that reveals the underpinnings of business and finance. You'll learn about:
• Investment theory, including utility theory, mean-variance theory and asset allocation, and the Capital Asset Pricing Model
• Derivatives, including forwards, options, the random walk, and Brownian Motion
• Interest rate curves, including yield curves, interest rate swap curves, and interest rate derivatives
Complete with math reviews, useful Excel functions, and a glossary of financial terms, Mathematical Techniques in Finance: An Introduction is required reading for students and professionals in finance.
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Business Risk and Simulation Modelling in Practice
Using Excel, VBA and @RISK
by Michael Rees
Part of the Wiley Finance series
The complete guide to the principles and practice of risk quantification for business applications.
The assessment and quantification of risk provide an indispensable part of robust decision-making, to be effective, many professionals need a firm grasp of both the fundamental concepts and of the tools of the trade. Business Risk and “Simulation Modelling in Practice” is a comprehensive, in—depth, and practical guide that aims to help business risk managers, modelling analysts and general management to understand, conduct and use quantitative risk assessment and uncertainty modelling in their own situations. Key content areas include:
• Detailed descriptions of risk assessment processes, their objectives and uses, possible approaches to risk quantification, and their associated decision-benefits and organisational challenges.
• Principles and techniques in the design of risk models, including the similarities and differences with traditional financial models, and the enhancements that risk modelling can provide.
• In depth coverage of the principles and concepts in simulation methods, the statistical measurement of risk, the use and selection of probability distributions, the creation of dependency relationships, the alignment of risk modelling activities with general risk assessment processes, and a range of Excel modelling techniques.
• The implementation of simulation techniques using both Excel/VBA macros and the @RISK Excel add-in. Each platform may be appropriate depending on the context, whereas the core modelling concepts and risk assessment contexts are largely the same in each case. Some additional features and key benefits of using @RISK are also covered.
“Business Risk and Simulation Modelling in Practice” reflects the author′s many years in training and consultancy in these areas. It provides clear and complete guidance, enhanced with an expert perspective. It uses approximately one hundred practical and real-life models to demonstrate all key concepts and techniques, these are accessible on the companion website.
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Asset Allocation and Private Markets
A Guide to Investing with Private Equity, Private Debt, and Private Real Assets
by Cyril Demaria
Part of the Wiley Finance series
The comprehensive guide to private market asset allocation
“Asset Allocation and Private Markets” provides institutional investors, such as pension funds, insurance groups and family offices, with a single-volume authoritative resource on including private markets in strategic asset allocation. Written by four academic and practitioner specialists, this book provides the background knowledge investors need, coupled with practical advice from experts in the field.
The discussion focuses on private equity, private debt and private real assets, and their correlation with other asset classes to establish optimized investment portfolios. Armed with the grounded and critical perspectives provided in this book, investors can tailor their portfolio and effectively allocate assets to traditional and private markets in their best interest.
In-depth discussion of return, risks, liquidity and other factors of asset allocation takes a more practical turn with guidance on allocation construction and capital deployment, the "endowment model," and hedging, or lack thereof. Unique in the depth and breadth of information on this increasingly attractive asset class, this book is an invaluable resource for investors seeking new strategies.
• Discover alternative solutions to traditional asset allocation strategies
• Consider attractive returns of private markets
• Delve into private equity, private debt and private real assets
• Gain expert perspectives on correlation, risk, liquidity, and portfolio construction
Private markets represent a substantial proportion of global wealth. Amidst disappointing returns from stocks and bonds, investors are increasingly looking to revitalise traditional asset allocation strategies by weighting private market structures more heavily in their portfolios. Pension fund and other long-term asset managers need deeper information than is typically provided in tangential reference in broader asset allocation literature, Asset Allocation and Private Markets fills the gap, with comprehensive information and practical guidance.