Risk pricing using quantum electrodynamics for higher order risks
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2010
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| 100 | 1 | |a Chorafas, Dimitris N. |d 1926-2014 |e Verfasser |0 (DE-588)107941961 |4 aut | |
| 245 | 1 | 0 | |a Risk pricing |b using quantum electrodynamics for higher order risks |c Dimitris N. Chorafas |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Petersfield |b Harriman House |c 2010 | |
| 300 | |a IX, 355 S. |b graph. Darst. | ||
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| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Investments | |
| 650 | 4 | |a Quantum electrodynamics | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Speculation | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0102 WIR 547f 2016 A 1284 |
|---|---|
| DE-BY-TUM_katkey | 2171937 |
| DE-BY-TUM_location | 01 |
| DE-BY-TUM_media_number | 040071484614 |
| _version_ | 1820895265634123776 |
| adam_text | Titel: Risk pricing
Autor: Chorafas, Dimitris N.
Jahr: 2010
Contents
Figures vii
Acknowledgements ix
Introduction 1
Prologue: Physics, Quantum Theory, QED, QCD and Risk 7
1. Theories in physics 9
2. The forces of nature 11
3. Quantum electrodynamics 14
4. Space-time 17
5. Entropy 19
Part One: Risks of the 21 st Century 23
Chapter 1: Risk in Finance 25
1. Risk defined 25
2. Effects of volatility 28
3. The risk s long tail 33
4. Risk and quantum logic 37
5. The complexity of modern risks 43
6. Risk appetite 49
7. Black swans 54
Appendix: VIX, the measurement of volatility 58
Chapter 2: Virtual Economy and Risk Management 63
1. Real and virtual economy 63
2. Market liquidity and funding liquidity 67
3. CDOs, CDSs and systemic risk 72
4. Structured finance is different to classical banking 77
Risk Pricing
5. Advanced statistical methods and tolerances in the
virtual economy 81
6. A bird s-eye view of charts for quality assurance and
risk control 85
7. Know yourself and your institution 93
Appendix: derivative financial instruments 96
Chapter 3: Product Pricing in the Virtual Economy 103
1. Why the old pricing theory does not apply 103
2. Price discovery through credit spreads 107
3. Discounted cash flow and intrinsic value 113
4. Price discovery through auctions 117
5. PPIP: example of an imperfect auction 122
6. From marking to market, to marking to myth 127
7. Conflicts of interest in opposing marking to market 131
Part Two: Using Quantum Electrodynamics for Risk Control 137
Chapter 4: Not Everything that Counts Gets Counted 139
1. Basel Committee s proposed revision of the 1996 Market Risk
Amendment 139
2. Underrating risk is bad management 143
3. Lessons from the credit and banking crisis can help
in risk control 147
4. Incremental risk charge and stress tests 151
5. The contribution of scenarios to realistic estimates of
exposure 156
6. The scenarios flexibility 160
7. The Delphi method 164
8. Refining judgmental opinions through Delphi 167
Contents
Appendix: why the value at risk model is irrelevant 172
Chapter 5: Applying Feynman Diagrams in Risk Management 177
1. The probability of an event 177
2. Feynman diagrams 181
3. A broad field of QED implementation 185
4. Are we planning for failure? 189
5. Promoting contrarian opinion 192
6. Quantum electrodynamics and compound events 195
7. A space-time graph 200
8. The risk control structure beyond QED 205
9. Risk fever blues 210
Appendix: vectors, linear vector spaces and polygons 213
Part Three: Three Themes for Quantum Chromodynamics 221
Chapter 6: Legal Risk and Ponzi Risk 223
1. Using quantum electrodynamics for legal risk 223
2. Legal risk is a disruptive force 227
3. Shareholder lawsuits at Bank of America 230
4. The twilight between legal and illegal practices 233
5. Transborder legal risk 237
6. Creative accounting distorts risk pricing 239
7. Legal risk, political risk and fraudulent conveyance 244
Chapter 7: Overleveraging Risk 251
1. Leverage defined 251
2. The aftermath of gearing is entropy 254
3. Leveraging with financial instruments 258
Risk Pricing
4. The fate of leveraged persons, companies and states 261
5. Exercising due diligence in leverage 266
6. Leverage, solvency, liquidity and transparency 270
7. Cash flow management 275
8. Deleveraging 279
Appendix: the basic notion of entropy 283
Chapter 8: Risk of Poor Supervision 287
1. The hypotheses regulators have to make 287
2. Capital inadequacy is condoned by regulators 291
3. Basel II should undergo a major overhaul 296
4. Stress tests of default risks 299
5. The 2009 stress tests mandated by the US Treasury 304
6. Bad banks, bad assets and the experience of China s
AMCs 310
7. Assessment of toxic after-effects in central banks vaults 314
8. Thinking out of the box, when confronted with insolvent
banks 318
Conclusion 325
Bibliography 339
Figures
Figure 1.1: S P 500 annualised daily volatility January 1950
to 31 December 2008. 29
Figure 1.2: The theoretical and practical distribution of risk
events don t match at their tails. 33
Figure 1.3: Three-and-a half years of global market
capitalisation of the banking industry. 44
Figure 1.4: Risk appetite at the long leg of the distribution. 53
Figure 2.1: Strategic inflection points and their impact. 64
Figure 2.2: The interminable motion money machine of
toxic waste. 74
Figure 2.3: Notional principal amount outstanding in the
global credit default swaps market over the 2002 to 2008
time frame. 76
Figure 2.4: A sequential sampling plan permits avoidance of
inflexible yes/no answers to a request for loans, taking a
reinsurance for higher credit risk. 87
Figure 2.5: Operating characteristics curves for sampling plans. 88
Figure 2.6: Control charts by variables for mean of means and
mean of ranges. 90
Figure 2.7: Three standard deviations usually fit between
quality control targets and customer specifications. But this
is not always enough. 92
Figure 2.8: Annual increase in notional amounts of
derivative instruments, at a major bank. 99
Figure 3.1: Spike in Dubai s credit default swaps (2006-2009). 108
Figure 3.2: CDS spreads: United States versus Russia over a
9-month time horizon (1 May 2008 to 1 February 2009). 110
Risk Pricing
Figure 3.3: Credit default swaps for three integrated oil firms. Ill
Figure 3.4: Spread between corporates and government bonds
in the 2007 to early 2009 time frame. 129
Figure 4.1: Ranges and impact of risk factors in the body and
tail of a risk distribution. 162
Figure 4.2: Voting by experts on the correlation of two
instruments by using Delphi, an established methodology. 170
Figure 5.1: Partial reflection of light by two surfaces. 181
Figure 5.2: Vectorial representation of the probability of events. 183
Figure 5.3: A lognormal distribution for option pricing
reflecting volatility and maturity. 197
Figure 5.4: A space-time diagram maps the stage on which
all actions in the universe take place. 201
Figure 5.5: A space-time diagram for risk exposure with
extreme events. 202
Figure 5.6: Using a statistical quality control chart to track
daily exposure. 209
Figure 5.7: Cartesian coordinates and the mapping of points
and lines. 215
Figure 5.8: Examples of a polygon of vectors in a linear space. 219
Figure 7.1: Leveraging makes a difference in return on equity
(ROE) but it also magnifies risk. 257
Figure 7.2: Omega Bank; a member of the club of super-
leveraged financial institutions. 259
vm
|
| any_adam_object | 1 |
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| author_facet | Chorafas, Dimitris N. 1926-2014 |
| author_role | aut |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.645 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV035968662 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T22:55:50Z |
| institution | BVB |
| isbn | 9781906659370 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018862710 |
| oclc_num | 551778255 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM |
| owner_facet | DE-91G DE-BY-TUM |
| physical | IX, 355 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Harriman House |
| record_format | marc |
| spellingShingle | Chorafas, Dimitris N. 1926-2014 Risk pricing using quantum electrodynamics for higher order risks Investments Quantum electrodynamics Risk management Speculation Risikomanagement (DE-588)4121590-4 gnd Finanzierung (DE-588)4017182-6 gnd Quantenelektrodynamik (DE-588)4047982-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4017182-6 (DE-588)4047982-1 |
| title | Risk pricing using quantum electrodynamics for higher order risks |
| title_auth | Risk pricing using quantum electrodynamics for higher order risks |
| title_exact_search | Risk pricing using quantum electrodynamics for higher order risks |
| title_full | Risk pricing using quantum electrodynamics for higher order risks Dimitris N. Chorafas |
| title_fullStr | Risk pricing using quantum electrodynamics for higher order risks Dimitris N. Chorafas |
| title_full_unstemmed | Risk pricing using quantum electrodynamics for higher order risks Dimitris N. Chorafas |
| title_short | Risk pricing |
| title_sort | risk pricing using quantum electrodynamics for higher order risks |
| title_sub | using quantum electrodynamics for higher order risks |
| topic | Investments Quantum electrodynamics Risk management Speculation Risikomanagement (DE-588)4121590-4 gnd Finanzierung (DE-588)4017182-6 gnd Quantenelektrodynamik (DE-588)4047982-1 gnd |
| topic_facet | Investments Quantum electrodynamics Risk management Speculation Risikomanagement Finanzierung Quantenelektrodynamik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018862710&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT chorafasdimitrisn riskpricingusingquantumelectrodynamicsforhigherorderrisks |