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Risk
and Liquidity
2008 Clarendon Lectures in Finance, Oxford
University Press |
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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
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