Hyun Song Shin

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Risk and Liquidity

2008 Clarendon Lectures in Finance, Oxford University Press

Book jacket  Link to Amazon page Audio interview for Vox

Table of Contents

1 Nature of Financial Risk

2 Value-at-Risk and Capital
        2.1 Portfolio Choice under VaR Constraint
        2.2 Upward-Sloping Demand Reactions
2.3 Notes on Further Reading

3 Boom and Bust Driven by Value-at-Risk
        3.1 General Equilibrium with Value-at-Risk
        3.2 Pricing of Risk and Credit Supply
3.3 Long-Short Strategy Hedge Fund
3.4 Hedge Fund with VaR Constraint
3.5 Endogenous Risk
3.6 Notes on Further Reading

4 Dynamic Hedging
4.1 Portfolio Insurance
4.2 Delta hedging
4.2.1 Examples without Feedback
4.2.2 Examples with Feedback
4.3 Stock Market Crash of 1987

5 Asset-Liability Management
5.1 Review of Basic Concepts
5.2 Example of Pension Fund
5.3 Example of Ivy College
5.4 Prices as Signals for Investment

6 Financial System   
        6.1 Accounting Framework
6.2 Realised Allocations
            6.2.1 Nature of the Problem
            6.2.2 Unique Value of Realised Debt
        6.3 Market Value of Debt
            6.3.1 Financial System Accounting Identities
            6.3.2 Banking Sector Leverage

7 Lending Booms
        7.1 Credit Risk Model
        7.2 Value-at-Risk and Balance Sheet Management
        7.3 Credit Boom
        7.4 Global Imbalances
        7.5 Foreign Holding of US Debt Securities
        7.6 Related Literature

8 Case of Northern Rock
        8.1 Background
        8.2 Securitisation Process
        8.3 The Run on Northern Rock
        8.4 Reassessing the Run on Northern Rock
        8.5 Implications for Financial Regulation

9 Securitisation and the Financial System
        9.1 Accounting Framework Revisited
        9.2 Boom Scenario
        9.3 Bust Scenario
        9.4 Prescriptions
        9.5 Size of Banking Sector

10 A Fresh Start