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Book Cover
Book
Author Gray, Dale, 1953-

Title Macrofinancial risk analysis / Dale F. Gray and Samuel W. Malone
Published Chichester, England ; Hoboken, NJ : John Wiley & Sons, [2008]
©2008

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 MELB  339 Gra/Mra  AVAILABLE
Description xvii, 342 pages : illustrations ; 26 cm
Series Wiley finance series
Wiley finance series.
Contents Contents 1 Introduction -- Pt. I Overview of Finance, Macroeconomics, and Risk Concepts -- 2 An Overview 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 -- 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis -- 6 Further Extensions and Applications of Contingent Claims Analysis -- Pt. 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 -- 9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics -- 10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis -- 11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes -- Pt. III Linking Macrofinancial and Macroeconomic Frameworks -- 12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective -- 13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds -- 14 Macrofinancial Risk Framework Linked to Macroeconomic Models -- Pt. IV Crisis and Distress in Economies -- 15 Macroeconomic Models vs. Crisis Models: Why Nonlinearity Matters -- 16 Sensitivity Analysis, Destabilization Mechanisms, and Financial Crises -- 17 The Case of Thailand, 1996-1999 -- 18 The Brazil Crisis of 2002-2003 -- Pt. V Macrofinancial Model Applications and Analytical Issues -- 19 International Shocks, Risk Transmission, and Crisis Prevention: Backdrop for Understanding the 2007-08 Global Financial Credit Turmoil -- 20 Macro Risk Management: Ways to Mitigate, Control, and Transfer Risk in the Economy -- 21 Integrated Framework for Corporate and Sovereign Relative Value and Capital Structure Arbitrage -- 22 Conclusions and New Directions for Macrofinance -- Appendix A Mundell-Fleming with a Risk Premium
Summary Summary: "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 can be 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."--Publisher description
Bibliography Includes bibliographical references and index
Subject Macroeconomics.
Risk management.
Author Malone, Samuel W.
LC no. 2008003729
ISBN 9780470058312 (cloth)