خرید و دانلود نسخه کامل کتاب Multi-asset risk modeling: techniques for a global economy in an electronic and algorithmic trading era – Original PDF

Financial services firms suffered significant losses brought on by one of the deepest crises ever to hit the financial services industry. As a result, risk modeling and man- agement, loan valuation methods, capital allocation, and governance structures are shaken top to bottom. Fallout from the debt crisis continues to afflict most banks. Credit is still tight at the time of this writing. Banks, particularly those with signifi- cant levels of illiquid and difficult to sell assets, were finding it difficult to raise funds from traditional capital suppliers. In response, many institutions exited capital intensive, structured deals in an effort to deleverage and, notably, move away from international operations to concentrate on domestic business. The debt crisis began when loan incentives, coupled with the acceleration in housing prices, encouraged borrowers to assume mortgages in the belief that they could refinance at favorable terms. Once prices started to drop, refinancing became difficult. Defaults and foreclosures increased dramatically as easy terms expired, home prices failed to go up, and interest rates reset higher. Foreclosures accelerated in late 2006, triggering a global financial crisis. Loan activities at banks froze while the ability of corporations to obtain funds through commercial paper dropped sharply. The expression a perfect storm, a “once in a hundred years” event, found its marker. The same could be said for Hurricane Sandy, Black Monday, and the October 1987 crash. The CEO of Lehman Brothers said the firm was also the victim of “the perfect storm”—yet Lehman did not resist the lure of profits, leveraged balance sheets, and cheap credit. At Goldman Sachs, credit swaps created four billion dollars in profits. The financial modeling that helped produce results at these two investment banks were cutting edge, yet it appears that Lehman, AIG, and other profit takers amassed scant few algorithms to preserve capital protection against unexpected macroeco- nomic collapse.