Risk and liquidity

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Title:

Risk and liquidity

Author:

Shin, Hyun Song.

ISBN:

9780199546367

Personal Author:

Shin, Hyun Song.

Publication Information:

Oxford ; New York : Oxford University Press, 2010.

Physical Description:

xi, 192 p. : ill. ; 24 cm.

Series:

Clarendon lectures in finance

Clarendon lectures in finance.

Contents:

Nature of financial risk -- Value-at-risk and capital. Portfolio choice under VaR constraint ; Upward-sloping demand reactions ; Notes on further reading -- Boom and bust driven by value-at-risk. General equilibrium with value-at-risk ; Pricing of risk and credit supply ; Long-short strategy hedge fund ; Hedge fund with VaR constraint ; Endogenous risk ; Notes on further reading -- Dynamic hedging. Portfolio insurance ; Delta hedging ; Stock Market Crash of 1987 -- Asset-liability management. Review of basic concepts ; Example of a pension fund ; Example of Ivy League ; Prices as signals for investment -- Financial system. Accounting framework ; Realized allocations ; Market value of debt -- Lending booms. Credit risk model ; Value-at-risk and lending ; Credit boom ; Global imbalances ; Foreign holding of US debt securities ; Related literature -- Case of Northern Rock. Background ; Securitization process ; The run on Northern Rock ; Reassessing the run on Northern Rock ; Implications for financial regulation -- Securitization and the financial system. Accounting framework revisited ; Boom scenario ; Bust scenario ; Prescriptions ; Size of banking sector -- A fresh start.

Subject Term:

Risk.

Financial risk management.

Financial institutions -- Management.

Global Financial Crisis, 2008-2009.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025572047	338.5 S557R 2010	1	Searching... Unknown

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Summary

This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the recent global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy.This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.