Derivatives Handbook Risk Management and Control

by Schwartz, Robert J.; Smith, Clifford W.

• ISBN13: 9780471157656
• ISBN10: 0471157651
• Edition: 1st
• Format: Hardcover
• Copyright: 1997-05-23
• Publisher: Wiley

Summary

Brandon Becker, Tanya Styblo Beder, Harold Bierman, Jr., Wendy H. Brewer, Michael S. Canter, Andrew J. C. Clark, Christopher L. Culp, Daniel P. Cunningham, Franklin R. Edwards, Gerald D. Gay, Anthony C. Gooch, Wendy Lee Gramm, Alan Greenspan, Margaret E. Grottenthaler, Douglas E. Harris, Ludger Hentschel, Jamie Hutchinson, Frank Iacono, James V. Jordan, Linda B. Klein, Anatoli Kuprianov, James C. Lam, Robert J. Mackay, Robert M. Mark, Francois-Ihor Mazur, Joanne T. Medero, Antonio S. Mello, Merton H. Miller, John E. Parsons, Jeffrey L. Seltzer, Charles W. Smithson, and Thomas J. Werlen.

Author Biography

ROBERT J. SCHWARTZ is Executive Vice President and head of Global Derivatives of the Republic National Bank of New York. Prior to that he served as Executive Vice President and COO of Mitsubishi Capital Market Services, where he was in charge of establishing derivative products sales and trading operations in North America. He is the founding Chairman of the International Association of Financial Engineering and was elected to the board of the International Swaps and Derivatives Association three times.<br> <br> RD W. SMITH, Jr., is Clarey Professor of Finance at the Simon Graduate School of Business of the University of Rochester. He has served as President of the Financial Management Association National Honor Society and in various board capacities for the IAFE. He has written twelve books and more than eighty articles in leading finance journals.

Table of Contents

INTRODUCTION	xxi
Robert J. Schwartz
Clifford W. Smith, Jr.
PART ONE: DERIVATIVES: RISK AND CONTROL	3	(54)
CHAPTER 1: RISK AND REGULATION IN DERIVATIVES MARKETS	3	(19)
Ludger Hentschel
Clifford W. Smith, Jr.
CHAPTER 2: CREDIT DERIVATIVES	22	(17)
Frank Iacono
CHAPTER 3: MINIMIZING OPERATIONS RISK	39	(18)
Wendy H. Brewer
PART TWO: LEGAL RISK	57	(194)
CHAPTER 4: A REVIEW OF CASE LAW AFFECTING SWAPS AND RELATED DERIVATIVE INSTRUMENTS	57	(156)
United States Case Law	57	(78)
Anthony C. Gooch
Linda B. Klein
Derivatives Litigation in Canada	135	(10)
Margaret E. Grottenthaler
Derivatives Litigation in Australia	145	(33)
Jamie Hutchinson
Derivatives Litigation in the United Kingdom	178	(35)
Andrew J. C. Clark
CHAPTER 5: RISK REDUCTION THROUGH MULTIBRANCH NETTING	213	(20)
Daniel P. Cunningham
Thomas J. Werlen
CHAPTER 6: THE ECONOMICS OF DERIVATIVES DOCUMENTATION: PRIVATE CONTRACTING AS A SUBSTITUTE FOR GOVERNMENT REGULATION	233	(18)
Gerald D. Gay
Joanne T. Medero
PART THREE: RISK MEASUREMENT	251	(62)
CHAPTER 7: REPORT CARD ON VaR: HIGH POTENTIAL BUT SLOW STARTER	251	(14)
Tanya Styblo Beder
CHAPTER 8: ASSESSING VALUE AT RISK FOR EQUITY PORTFOLIOS: IMPLEMENTING ALTERNATIVE TECHNIQUES	265	(48)
James V. Jordan
Robert J. Mackay
PART FOUR: RISK OVERSIGHT	313	(120)
CHAPTER 9: OVERSIGHT OF DERIVATIVE MARKETS: WHO'S RESPONSIBLE FOR WHAT?	313	(22)
Brandon Becker
Francois-Ihor Mazur
CHAPTER 10: THE BOARD OF DIRECTOR'S ROLE	335	(19)
Charles W. Smithson
Jeffrey L. Seltzer
CHAPTER 11: RISK OVERSIGHT FOR THE SENIOR MANAGER: CONTROLLING RISK IN DEALERS	354	(52)
Robert M. Mark
CHAPTER 12: FIRMWIDE RISK MANAGEMENT: AN INTEGRATED APPROACH TO RISK MANAGEMENT AND INTERNAL CONTROL	406	(27)
James C. Lam
PART FIVE: REGULATION	433	(64)
CHAPTER 13: READY--FIRE--AIM: AN ANTIDOTE TO DERIVATIVES REGULATION BY ANECDOTE	433	(13)
Wendy Lee Gramm
Gerald D. Gay
CHAPTER 14: FUNCTIONAL REGULATION	446	(12)
Merton H. Miller
CHAPTER 15: FUNCTIONAL AND INSTITUTIONAL INTERACTION, REGULATORY UNCERTAINTY, AND THE ECONOMICS OF DERIVATIVES REGULATION	458	(39)
Christopher L. Culp
PART SIX: TRANSPARENCY AND DISCLOSURE	497	(30)
CHAPTER 16: DERIVATIVES ADDRESS	497	(7)
Alan Greenspan
CHAPTER 17: POSITION TRANSPARENCY--WHAT DO WE NEED TO KNOW AND WHEN DO WE NEED TO KNOW IT?	504	(6)
Douglas E. Harris
CHAPTER 18: HEDGE ACCOUNTING: AN EXPLORATORY STUDY OF THE UNDERLYING ISSUES	510	(17)
Harold Bierman, Jr.
PART SEVEN: CASE STUDY: METALLGESELLSCHAFT	527	(104)
CHAPTER 19: METALLGESELLSCHAFT AND THE ECONOMICS OF SYNTHETIC STORAGE	527	(21)
Christopher L. Culp
Merton H. Miller
CHAPTER 20: THE COLLAPSE OF METALLGESELLSCHAFT: UNHEDGEABLE RISKS, POOR HEDGING STRATEGY, OR JUST BAD LUCK?	548	(27)
Franklin R. Edwards
Michael S. Canter
CHAPTER 21: MATURITY STRUCTURE OF A HEDGE MATTERS: LESSONS FROM THE METALLGESELLSCHAFT DEBACLE	575	(20)
Antonio S. Mello
John E. Parsons
CHAPTER 22: HEDGING IN THE THEORY OF CORPORATE FINANCE: A REPLY TO OUR CRITICS	595	(10)
Christopher L. Culp
Merton H. Miller
CHAPTER 23: DERIVATIVES DEBACLES: CASE STUDIES OF LARGE LOSSES IN DERIVATIVES MARKETS	605	(26)
Anatoli Kuprianov
GLOSSARY	631	(12)
INDEX	643