This book gives a new perspective on how investors and policy makers can analyze risk and vulnerabilities in economies, both emerging market and industrial, by using modern risk management and financial engineering techniques. Using recent advances in this field and the theory of finance, an economic value canbe placed on vulnerabilities caused by inter-linkages between different sectors of the economy, the macroeconomic risks due to external shocks quantified, and the value ex-ante of various policy measures to respond to crises calculated. INDICE: Foreword Preface 1 Introduction PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS 2 A Brief History of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future. 3 Macroeconomic Models. 4 Stochastic Processes, Asset Pricing, and Option Pricing. 4A Primer on relationship of put, call, and exchange options Appendix 4B Physics,Feynman, and finance References 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis. 6 Further Extensions and Applications of Contingent Claims Analysis. 6A Calculating parameters in the Vasicek model References PART II THE MACROFINANCE MODELING FRAMEWORK 7 The Macrofinance Modeling Framework: Interlinked Sector Balance Sheets. 8 The Macrofinance Modeling Framework: A Closer Look at the Sovereign CCA Balance Sheet. 8A Value and volatility of local currency liabilities and base money References 9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics. 10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis 1. 10A CCA model for banks and borrowers with foreign-currency-denominated debt and lending spreads based on credit risk References 11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes 1. PART III LINKING MACROFINANCIAL AND MACROECONOMIC FRAMEWORKS 12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective 1. 13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds 1. 13A Cross-holding by households and financial sectors of contingent claims in other sectors Appendix 13B Contingent claim. PART IV CRISIS AND DISTRESS IN ECONOMIES 15 Macroeconomic Models vs. Crisis Models: Why Nonlinearity Matters 1. Recent financial crises and crisis models 1. 16 Sensitivity Analysis, Destabilization Mechanisms, and Financial Crises 1. 17 The Case of Thailand 1996-1999 1. Appendix 17.A Banking and corporate sector risk analysis with scenariosReferences 18 The Brazil Crisis of 20022003 1. PART V MACROFINANCIAL MODEL APPLICATIONS AND ANALYTICAL ISSUES 19 International Shocks, Risk Transmission, and Crisis Prevention 1. 20 Macro Risk Management: Ways to Mitigate, Control, and Transfer Risk in the Economy 2. 21 Integrated Framework for Corporate and Sovereign Relative Value and Capital Structure Arbitrage 2 Index
- ISBN: 978-0-470-05831-2
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 368
- Fecha Publicación: 22/02/2008
- Nº Volúmenes: 1
- Idioma: Inglés