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Wednesday, July 20, 2011

Economics of Financial Risk Management

Author: Xiaodong Zhu
Webpage: http://homes.chass.utoronto.ca/~xzhu/
Type: Study Notes
Level: Advanced MBA, MSc(Fin, Math. Fin)

The first chapter discusses what is risk and what is risk management. There is a subsection with a brief history of Financial Innovation. Chapter 2 is about the Arrow-Debreu theory of financial markets. You can read about states of nature, contingent claims. An appendix at the end of the chapter, serves a short introduction to linear algebra. The author cover the pricing of options next as an application of Arrow-Debreu theory. Chapter 4 highlights the individual and social gains from the practice of risk management. In the following chapter, the author tries to answer why should firms manage risk. The next chapters deal with bonds and the pricing of forwards and swaps. Ito Calculus and the Black-Scholes formula follow. Chapter 9 is a brief discussion about Value at Risk. The topic of chapter 10 is credit risk and the author provides an introduction to credit default swaps pricing (CDS pricing). Next, the reader can find out how to use swaps to hedge interest rate risk. The final chapter teaches us how to use options to hedge uncertain price exposures.

Xiaodong Zhu is professor at the Department of Economics, University of Toronto

link:

Economics of Financial Risk Management

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Posted by rnts_01 at 12:01 AM
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3 comments:

  1. UnknownJune 25, 2012 at 1:19 PM

    Financial risk management is the practice of creating economic value in a firm by using financial instruments to manage exposure to risk, particularly credit risk and market risk.
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  2. Jack SmithDecember 3, 2012 at 8:57 AM

    Every company cannot do all activity self. Mostly companies take help to Auditing services by Chartered accountants. If company take help by auditor to auditing, company certainly get benefit and owner can detect every Financial Accounting activities.Accounting firm

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