Finance and the finance industry Books

Book SynopsisThis illuminating and thought-provoking book questions whether classical Islamic capitalism, which has served Muslims so well for centuries, can provide a viable alternative world economic system.Trade Review'It was a humbling experience to read the product of such a remarkable feat of scholarship. It is all at once an exploration in analytic history and a complete text of Islamic finance theory and application. It is also one of the most succinct renditions of evolution of Islamic finance embedded in comprehensive account of particularities of economies as diverse as Malaysia and Turkey. This is a unique contribution to Islamic finance and Islamic economic history. It has been a rewarding learning experience. It is truly a breathtaking effort.' --Abbas Mirakhor, former IMF Executive Director and the recipient of the Islamic Development Bank Prize in Islamic Economics (2003)'[A] well-written and well-documented work about the economic aspects of Islam since its beginnings.' --Hamid Hosseini, Journal of the History of Economic ThoughtTable of ContentsContents: Foreword Introduction Part I: Value Systems Behind Institutions 1. Two Approaches to Islamic Economics and Finance 2. Basic Principles of Islamic Capitalism Part II: Historical Institutions of Private Enterprise: Capital Accumulation 3. Financing the Entrepreneur: The Medieval Islamic Business Partnerships 4. Evolution of Medieval Islamic Business Partnerships in the Islamic World and the West 5. Commerce and Commercial Institutions Part III: Historical Institutions of Capital Redistribution and Public Finance 6. Obligatory Redistribution of Wealth: Taxation and Institutions of Tax Collection, the Origins of Modern Sukuk 7. Voluntary Redistribution of Wealth (The Waqf) Part IV: Islamic Capitalism and Finance Today 8. Waqfs of Stocks 9. The Birth and Evolution of Modern Islamic Banking 10. Borrowing from the Public: Sukuk 11. Takaful (Islamic Insurance) 12. The Lembaga Urusan Dan Tabung Haji: Financing the Modern Pilgrimage Part V: Future of Islamic Capitalism and Finance 13. The Islamic Gold Dinar 14. Maqasid Al-Shari’ah and Islamic Banking 15. Venture Capital 16. Democracy and the Modern Islamic Capitalism Bibliography Index

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Book SynopsisThis Handbook explores and explains new developments in the “second generation” theory of public finance, in which benevolent rulers and governments have been replaced by personally motivated politicians and the associated institutions.Table of ContentsContents: List of contributors 1. Introduction E. Ahmad and G. Brosio PART I APPROACHES AND INTERPRETATIONS 2. The Political Economy of Decentralization B. Lockwood 3. Toward a Positive Theory of Federalism and Political Decentralization A. Breton 4. Horizontal Competition In Multilevel Governmental Settings P. Salmon 5. Geografiscal Federalism F. Revelli 6. Asymmetric Federalism Constitutional and Fiscal Exchange and the Political Economy of Decentralization R. Congleton 7. Contract Federalism B.Spahn PART II POLICIES, INSTRUMENTS AND INSTITUTIONS 8. The Assignment of Functions to Decentralized Government: From Theory to Practice B. Dafflon 9. Governance and Institutions. The Role of Multi-Level Fiscal Institutions in Generating Sustainable and Inclusive Growth E. Ahmad 10. Normative Versus Positive Theories of Revenue Assignments in Federations F. Ambrosanio and M. Bordignon 11 Tax Competition in a Federal Setting J.D. Wilson 12. Below the Salt: Decentralizing Value Added Taxes R.M. Bird 13. Delivering and Financing Public Services in Metropolitan Areas R.W. Bahl and J.F. Linn 14. Tax Assignments at the Regional and Local Levels J. Martinez Vazquez 15. Local Taxation and Benefits in Developing Countries—overcoming political resistance? E. Ahmad, G. Brosio and C. Pöschl 16 Intergovernmental Transfers: Rationale and Policy R. Boadway 17 Promoting Responsible and Sustainable Fiscal Decentralization T. Ter-Minassian PART III EMERGING CHALLENGES 18. Decentralization and Development: Dilemmas, Trade-Offs and Safeguards P. Bardhan and D. Mookherjee 19. Decentralization and Poverty Reduction R. Birner and J. Von Braun 20. The Sharing of Natural Resource Revenues between Levels of Government G Brosio 21. Decentralization In Environment and Climate Change Policies S. Dalmazzone 22. Federalism and Natural Disasters T.J. Goodspeed 23 Fiscal Federalism and Conflict Prevention P.C. Dower and S. Weber 24. The Challenge of Measuring Fiscal Decentralization H. Blöchliger Index

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Book SynopsisThis timely book rethinks economic theory and policy by addressing the problem of economic instability and the need to secure broadly shared prosperity.Trade ReviewIn the 1930s, economic theory and policy underwent dramatic change; such a shift occurs rarely and only in times of great calamity. We are in a similar period today, and this book enlightens economic policy and contributes to change that is ongoing in the mainstream of economic thinking. Economists and policymakers alike will benefit from this book. --Ronnie J. Phillips, Colorado State University, USFor those who take the work of Hyman Minsky seriously, this collection of essays provides a most welcome and refreshing examination of modern economic reality. It also demonstrates just how fruitful a conjoining of Post Keynesian and Institutionalist theory can be. Whalen has chosen his authors wisely, and, taken as a whole, their contributions provide an illuminating inquiry into what Minsky called ''money-manager capitalism''. The authors continue in the Minsky tradition, complementing his theoretical work and driving it forward. I highly recommend this book to not only economists who consider themselves Post Keynesian or Institutionalist, but to all who are looking for a way out of the theoretical impasse posed by conventional economics. --John Henry, University of Missouri-Kansas CityFinancial Instability and Economic Security after the Great Recession explores the close relationship between Institutional and Post Keynesian economics, thereby contributing greatly to our understanding of the recent - indeed, still ongoing - crisis in the U.S. economy and global financial markets. Together these two schools of thought provide coherent diagnoses and prescriptions that are wholly lacking in orthodox neoclassical theory. We are reminded that institutions matter, unregulated financial markets are not self-correcting, economies stall at equilibriums far below potential, and activist government is the only path to rebuilding a stable and balanced economy. This book will help greatly in the important task of rethinking economics and pointing us in the direction of reform and recovery. --Timothy A. Canova, Chapman University School of LawTable of ContentsContents: Preface Introduction: Instability, Prosperity and Economics After the Great Recession Charles J. Whalen PART I: FOUNDATIONS 1. Subverting Say’s Law: Harlan McCracken and the Commons-Keynes Connection Steven Kates 2. Towards a Synthesis of Institutional and Post Keynesian Economics W. Robert Brazelton and Charles J. Whalen 3. Futurity: Cornerstone of Post-Keynesian Institutionalism Glen Atkinson and Charles J. Whalen PART II: THE AMERICAN ECONOMY 4. Understanding and Preventing Financial Instability: Post-Keynesian Institutionalism and Government as Employer of Last Resort Fadhel Kaboub 5. Towards a More Rapid Recovery: Incorporating Subsidiarity into Macroeconomic Policy David A. Zalewski and Charles J. Whalen 6. Financial Stability, Regulatory Buffers and Economic Growth After the Great Recession: Some Regulatory Implications Éric Tymoigne PART III: THE GLOBAL ECONOMY 7. Regulating for Stability: Bank Capitalization and the Emergence of an International Lender of Last Resort Jan Toporowski 8. Evolution Without Fundamental Change: The Washington Consensus on Economic Development and its Significance for Post-Keynesian Institutionalism John Marangos and Charles J. Whalen 9. Money-manager Capitalism, Capital Flows and Development in Emerging Market Economies: A Post-Keynesian Institutionalist Analysis Yan Liang PART IV: CONCLUSION 10. The Future of Post-Keynesian Institutionalism Charles J. Whalen Index

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Book SynopsisThis impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.Table of ContentsContents: Preface PART I: ASSET PRICING AND INVESTMENTS 1. Markov Switching Models in Asset Pricing Research Massimo Guidolin 2. Portfolio Optimization: Theory and Practical Implementation William T. Ziemba 3. Testing for Speculative Bubbles in Asset Prices Keith Anderson, Chris Brooks and Apostolos Katsaris PART II: DERIVATIVES 4. Estimating Term Structure Models with the Kalman Filter Marcel Prokopczuk and Yingying Wu 5. American Option Pricing Using Simulation with an Application to the GARCH Model Lars Stentoft 6. Derivatives Pricing with Affine Models and Numerical Implementation Ke Chen and Ser-Huang Poon 7. Markov Chain Monte Carlo with Particle Filtering Yongwoong Lee and Ser-Huang Poon PART III: BANKING AND MICROSTRUCTURE 8. Competition in Banking: Measurement and Interpretation Hong Liu, Phil Molyneux and John O.S. Wilson 9. Using Heteroskedastic Models to Analyze the Use of Rules versus Discretion in Lending Decisions Geraldo Cerqueiro, Hans Degryse and Steven Ongena 10. Liquidity Measures Thomas Johann and Erik Theissen 11. Testing for Contagion: The Impact of US Structured Markets on International Financial Markets Woon Sau Leung and Nicholas Taylor PART IV: CORPORATE FINANCE 12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial Implications Andrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos 13. The Construction and Valuation Effect of Corporate Governance Indices Manuel Ammann, David Oesch and Markus Schmid 14. Does Hedging Reduce Economic Exposure? Hurricanes, Jet Fuel Prices and Airlines David A. Carter, Daniel A. Rogers, Betty J. Simkins and Stephen D. Treanor PART V: RISK MODELLING 15. Quantifying the Uncertainty in VaR and Expected Shortfall Estimates Silvia Stanescu and Radu Tunaru 16. Econometric Modeling of Exchange Rate Volatility and Jumps Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely 17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® Models Edward I. Altman 18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation Approach Ólan T. Henry, Nilss Olekalns and Kalvinder K. Shields Index

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Book SynopsisThis illuminating and thought-provoking book questions whether classical Islamic capitalism, which has served Muslims so well for centuries, can provide a viable alternative world economic system.Trade Review'It was a humbling experience to read the product of such a remarkable feat of scholarship. It is all at once an exploration in analytic history and a complete text of Islamic finance theory and application. It is also one of the most succinct renditions of evolution of Islamic finance embedded in comprehensive account of particularities of economies as diverse as Malaysia and Turkey. This is a unique contribution to Islamic finance and Islamic economic history. It has been a rewarding learning experience. It is truly a breathtaking effort.' --Abbas Mirakhor, former IMF Executive Director and the recipient of the Islamic Development Bank Prize in Islamic Economics (2003)'[A] well-written and well-documented work about the economic aspects of Islam since its beginnings.' --Hamid Hosseini, Journal of the History of Economic ThoughtTable of ContentsContents: Foreword Introduction Part I: Value Systems Behind Institutions 1. Two Approaches to Islamic Economics and Finance 2. Basic Principles of Islamic Capitalism Part II: Historical Institutions of Private Enterprise: Capital Accumulation 3. Financing the Entrepreneur: The Medieval Islamic Business Partnerships 4. Evolution of Medieval Islamic Business Partnerships in the Islamic World and the West 5. Commerce and Commercial Institutions Part III: Historical Institutions of Capital Redistribution and Public Finance 6. Obligatory Redistribution of Wealth: Taxation and Institutions of Tax Collection, the Origins of Modern Sukuk 7. Voluntary Redistribution of Wealth (The Waqf) Part IV: Islamic Capitalism and Finance Today 8. Waqfs of Stocks 9. The Birth and Evolution of Modern Islamic Banking 10. Borrowing from the Public: Sukuk 11. Takaful (Islamic Insurance) 12. The Lembaga Urusan Dan Tabung Haji: Financing the Modern Pilgrimage Part V: Future of Islamic Capitalism and Finance 13. The Islamic Gold Dinar 14. Maqasid Al-Shari’ah and Islamic Banking 15. Venture Capital 16. Democracy and the Modern Islamic Capitalism Bibliography Index

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Book SynopsisThis well-written, well-constructed analysis of the financial thought of Judaism, Christianity and Islam, with its insightful analysis of key financial instruments and economic practices, will be an invaluable book for anyone who is interested in, or studying, the three major Abrahamic religions and their financial practices and philosophies.Trade Review'This account of the teachings of the three Abrahamic religions on finance sheds fresh light on the distinctive approach of each. The comparative approach provides valuable insights on the reasons for the condemnation of usurious interest and the moral challenges of contemporary equity and debt-based finance. The study should be essential reading for ministers of religion wanting to deepen their understanding of financial matters, as well as theological and law students concerned with the interface between secular and religious law.' --Rodney Wilson, Emeritus Professor, Durham University, UKTable of ContentsContents: Preface 1. Defining the issues in religion and finance 2. The three Abrahamic religions 3. Attitudes of Judaism, Christianity and Islam to usury 4. Social policy in the Abrahamic religions 5. Economic framework of the Abrahamic religions 6. What the Abrahamic religions say about contemporary financial practices 7. Partnership based equity instruments 8. Sale based debt instruments 9. The future of interest-free financing 10. Conclusion References Index

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Book SynopsisVolume 4 in this research series contains nine papers. Following the tradition of the earlier volumes, it is similar in style to the first three volumes and illustrates ongoing research thrusts on a variety of financial economics issues that are germane to working capital management.

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Book SynopsisTrade Review‘Kavous Ardalan provides a fresh and important critique to mainstream approaches in financial economics from a multi-paradigmatic perspective. He highlights the flaws of dominant approaches but also provides alternative views. Strongly recommended to all scholars and students in the field of finance and economics!’ -- Johannes Jäger, University of Applied Science BFI, Vienna, Austria‘Ardalan examines 11 biases of the scientific methodology of mainstream financial economics. Underlying existing methodology is the functionalist paradigm of rationality, which is biased because it presents only a partial picture of economic phenomena. He recommends using a multi-paradigmatic approach to improve understanding. This thought-provoking book is a must-read.’ -- H. Kent Baker, American University, USTable of ContentsContents: Preface 1. Four paradigms 2. Intellectual bias 3. Home bias 4. Fad bias 5. Ideological bias 6. Automaticity bias 7. Confirmation bias 8. Cultural bias 9. Stereotyping bias 10. Under-productivity bias 11. Homogeneity bias 12. Isolation bias 13. Teaching based on a multi-paradigmatic approach 14. Research based on a multi-paradigmatic approach 15. Conclusion to On the Methodology of Financial Economics Index

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Book SynopsisA comprehensive overview of investment banking for professionals and students The investment banking industry has changed dramatically since the 2008 financial crisis. Three of the top five investment banks in the United States have disappeared, while Goldman Sachs and Morgan Stanley have converted to commercial banking charters.Table of ContentsChapter 1 Introduction to Investment Banking: How the Financial Crisis and Reforms Changed the Industry 1 Chapter 2 New Investment Banking Structure: Financial Holding Companies, Full-Service, and Boutique Investment Banks 9 Chapter 3 The Structure of Investment Banks: Divisions and Services 21 Chapter 4 Investment Banking Strategies: How They Compete and Profit 37 Chapter 5 Employment Opportunities in Investment Banking 49 Chapter 6 Venture Capital and Private Equity: Direct Investing in Companies 77 Chapter 7 Mergers and Acquisitions 99 Chapter 8 Equity Underwriting and IPOs 117 Chapter 9 Debt Underwriting: Issuing Bonds 141 Chapter 10 Asset Securitization: Turning Income Streams into New Investment Vehicles 173 Chapter 11 Listing in New York, London, and Other Markets 195 Chapter 12 Trading: Market Making, Arbitrage, and Brokering 213 Chapter 13 Repurchase Agreements and Prime Brokerage 237 Chapter 14 Derivatives and Financial Engineering: Foreign Exchange, Commodities, and Interest Rates 257 Chapter 15 Investment Management for Pension Funds, Endowments, and Wealthy Families 279 Chapter 16 Securities Regulation and Ethics: The Dodd-Frank Bill and Other Key Laws 297 Chapter 17 The BRICs: Investment Banking in Brazil, Russia, and India 323 Chapter 18 The BRICs: Investment Banking in China 339 Chapter 19 Investment Banking Trends and Challenges 359 Index 367

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Book SynopsisLearn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculuTable of ContentsPreface ix Acknowledgments xi Chapter 1 Setting the Stage 1 Why is This Book Different? 2 Road Map of the Book 3 References 5 Chapter 2 Building Zero Curves 7 Market Instruments 8 Linear Interpolation 16 Cubic Splining 25 Appendix: Finding Swap Rates Using a Floating Coupon Bond Approach 41 References 43 Chapter 3 Valuing Vanilla Options 45 Black-Scholes Formulae 47 Adaptations of the Black-Scholes Formulae 53 Limitations of the Black-Scholes Formulae 70 Application in Currency Risk Management 74 Appendix 78 References 80 Chapter 4 Simulations 81 Uniform Number Generation 82 Non-Uniform Number Generation 86 Applications of Simulations 93 Variance Reduction Techniques 100 References 104 Chapter 5 Valuing Exotic Options 107 Valuing Path-Independent, European-Style Options on a Single Variable 108 Valuing Path-Dependent, European-Style Options on a Single Variable 114 Valuing Path-Independent, European-Style Options on Two Variables 135 Valuing Path-Dependent, European-Style Options on Multiple Variables 152 References 157 Chapter 6 Estimating Model Parameters 159 Calibration of Parameters in the Black-Scholes Model 161 Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169 Using Volatility Surface 178 Calibration of Interest Rate Option Model Parameters 190 Statistical Estimation 196 References 203 Chapter 7 The Effectiveness of Hedging Strategies 205 Delta Hedging 206 Assumptions Underlying Delta Hedging 216 Beyond Delta Hedging 223 Testing Hedging Strategies 230 Analysis Associated with the Hedging of a European-Style Vanilla Put Option 235 References 244 Chapter 8 Valuing Variable Annuity Guarantees 245 Basic GMDB 246 Death Benefit Riders 261 Other Details Associated with GMDB Products 269 Improving Modeling Assumptions 273 Living Benefit Riders 276 References 279 Chapter 9 Real Options 281 Surrendering a GMAB Rider 282 Adding Servers in a Queue 300 References 314 Chapter 10 Parting Thoughts 315 About the Author 317 About the Website 319 Index 321

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Book SynopsisAnalyze key indicators more accurately to make smarter market moves The Economic Indicator Handbook helps investors more easily evaluate economic trends, to better inform investment decision making and other key strategic financial planning. Written by a Bloomberg Senior Economist, this book presents a visual distillation of the indicators every investor should follow, with clear explanation of how they''re measured, what they mean, and how that should inform investment thinking. The focus on graphics, professional application, Bloomberg terminal functionality, and practicality makes this guide a quick, actionable read that could immediately start improving investment outcomes. Coverage includes gross domestic product, employment data, industrial production, new residential construction, consumer confidence, retail and food service sales, and commodities, plus guidance on the secret indicators few economists know or care about. Past performance can predict futur

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Book SynopsisPresents the truth behind the rise of China and whether or not it will be able to maintain it. This book looks at the social and political consequences of the unique business model that propelled China to economic powerhouse status, and question whether this rapid ascension really lives up to its reputation.Table of ContentsPreface to the Second Edition xi Preface to the First Edition xvii List of Abbreviations xxi 1. Looking Back at the Policy of Reform and Opening 1 Thirty years of opening up: 1978–2008 2 Thirteen years of reform: 1992–2005 10 The end of reform: 2005 15 China is a family business 22 2. China’s Fortress Banking System 27 Banks are China’s fi nancial system 29 China’s banks are big banks 31 Crisis: The stimulus to bank reform, 1988 and 1998 33 China’s fortress banking system in 2010 41 The sudden thirst for capital and cash dividends, 2010 47 3. The Fragile Fortress 53 The People’s Bank of China restructuring model 56 The Ministry of Finance restructuring model 66 The “perpetual put” option to the PBOC 73 The new Great Leap Forward Economy 76 China’s latest banking model 82 Valuing the asset management companies 85 Implications 88 4. China’s Captive Bond Market 95 Why does China have a bond market? 98 Risk management 102 The base of the pyramid: Protecting household depositors 116 5. The Struggle over China’s Bond Markets 125 The CDB, the MOF, and the Big 4 Banks 126 Local governments unleashed 134 Credit enhancements 141 China Investment Corporation: Linchpin of China’s financial system 145 Cycles in the fi nancial markets 158 6. Western Finance, SOE Reform, and China’s Stock Markets 163 China’s stock markets today 164 Why does China have stock markets? 168 What stock markets gave China 172 7. The National Team and China’s Government 185 Zhu Rongji’s gift: Organizational streamlining, 1998 186 How the National Team, its families, and friends benefit 196 A casino or a success, or both? 209 Implications 212 8. The Forbidden City 215 The Emperor of Finance 217 Behind the vermillion walls 220 An Empire apart 227 Have the walls been breached? 231 Cracks in the walls 235 Imperial ornaments 239 Appendix 245 Select Bibliography 249 Index 251

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Book SynopsisAn in-depth look into the various aspects of behavioral finance Behavioral finance applies systematic analysis to ideas that have long floated around the world of trading and investing. Yet it is important to realize that we are still at a very early stage of research into this discipline and have much to learn. That is why Edwin Burton has written Behavioral Finance: Understanding the Social, Cognitive, and Economic Debates. Engaging and informative, this timely guide contains valuable insights into various issues surrounding behavioral finance. Topics addressed include noise trader theory and models, research into psychological behavior pioneered by Daniel Kahneman and Amos Tversky, and serial correlation patterns in stock price data. Along the way, Burton shares his own views on behavioral finance in order to shed some much-needed light on the subject. Discusses the Efficient Market Hypothesis (EMH) and its history, and presents the background oTable of ContentsPreface xi Introduction 1 Part One Introduction to Behavioral Finance Chapter 1 What Is the Efficient Market Hypothesis? 5 Information and the Efficient Market Hypothesis 6 Random Walk, the Martingale Hypothesis, and the EMH 8 False Evidence against the EMH 11 What Does It Mean to Disagree with the EMH? 13 Chapter 2 The EMH and the “Market Model” 15 Risk and Return—the Simplest View 15 The Capital Asset Pricing Model (CAPM) 18 So What Is the Market Model? 23 Chapter 3 The Forerunners to Behavioral Finance 25 The Folklore of Wall Street Traders 26 The Birth of Value Investing: Graham and Dodd 28 Financial News in a World of Ubiquitous Television and Internet 29 Part Two Noise Traders Chapter 4 Noise Traders and the Law of One Price 33 The Law of One Price and the Case of Fungibility 33 Noise 38 Chapter 5 The Shleifer Model of Noise Trading 43 The Key Components of the Shleifer Model 44 Results 49 Why the Shleifer Model Is Important 50 Resolving the Limits to Arbitrage Dispute 51 Chapter 6 Noise Trading Feedback Models 53 The Hirshleifer Model 53 The Subrahmanyam-Titman Model 58 Conclusion 62 Chapter 7 Noise Traders as Technical Traders 65 Technical Traders as Noise Traders 67 Herd Instinct Models 72 Conclusion 76 Part III Anomalies Chapter 8 The Rational Man 81 Consumer Choice with Certainty 81 Consumer Choice with Uncertainty 84 The Allais Paradox 90 Conclusion 92 Chapter 9 Prospect Theory 93 The Reference Point 93 The S-Curve 94 Loss Aversion 96 Prospect Theory in Practice 98 Drawbacks of Prospect Theory 98 Conclusion 100 Chapter 10 Perception Biases 101 Saliency 101 Framing 103 Anchoring 106 Sunk Cost Bias 108 Conclusion 109 Chapter 11 Inertial Effects 111 Endowment Effect 111 Status Quo Effect 116 Disposition Effect 119 Conclusion 120 Chapter 12 Causality and Statistics 123 Representativeness 123 Conjunction Fallacy 127 Reading into Randomness 129 Small Sample Bias 131 Probability Neglect 133 Conclusion 134 Chapter 13 Illusions 135 Illusion of Talent 135 Illusion of Skill 138 Illusion of Superiority 139 Illusion of Validity 141 Conclusion 142 Part IV Serial Correlation Chapter 14 Predictability of Stock Prices: Fama-French Leads the Way 147 Testing the Capital Asset Pricing Model 147 A Plug for Value Investing 149 Mean Reversion—The DeBondt-Thaler Research 151 Why Fama-French Is a Milestone for Behavioral Finance 152 Chapter 15 Fama-French and Mean Reversion: Which Is It? 155 The Month of January 155 Is This Just About Price? 157 The Overreaction Theme 157 Lakonishok, Shleifer, and Vishny on Value versus Growth 158 Is Overreaction Nothing More Than a “Small Stock” Effect? 159 Daniel and Titman on Unpriced Risk in Fama and French 164 Summing Up the Contrarian Debate 165 Chapter 16 Short Term Momentum 167 Price and Earnings Momentum 167 Earnings Momentum—Ball and Brown 168 Measuring Earnings Surprises 170 Why Does It Matter Whether Momentum Is Price or Earnings Based? 173 Hedge Funds and Momentum Strategies 174 Pricing and Earnings Momentum—Are They Real and Do They Matter? 174 Chapter 17 Calendar Effects 177 January Effects 178 The Other January Effect 180 The Weekend Effect 181 Preholiday Effects 182 Sullivan, Timmermann, and White 183 Conclusion 184 Part V Other Topics Chapter 18 The Equity Premium Puzzle 187 Mehra and Prescott 187 What About Loss Aversion? 190 Could This Be Survivor Bias? 191 Other Explanations 192 Are Equities Always the Best Portfolio for the Long Run? 193 Is the Equity Premium Resolved? 194 Chapter 19 Liquidity 195 A Securities Market Is a Bid-Ask Market 196 Measuring Liquidity 197 Is Liquidity a Priced Risk for Common Stocks? 199 Significance of Liquidity Research 200 Chapter 20 Neuroeconomics 201 Capuchin Monkeys 201 Innateness Versus Culture 203 Decisions Are Made by the Brain 203 Decisions versus Outcomes 205 Neuroeconomic Modeling 206 More Complicated Models of Brain Activity 208 The Kagan Critique 208 Conclusion 209 Chapter 21 Experimental Economics 211 Bubble Experiments 212 Endowment Effect and Status Quo Bias 215 Calendar Effects 216 Conclusion 216 Conclusion And the Winner Is? 217 The Semi-Strong Hypothesis—Prices Accurately Summarize All Known Public Information 217 Can Prices Change if Information Doesn’t Change? 219 Is the Law of One Price Valid? 220 Three Research Agendas 221 The Critics Hold the High Ground 223 What Have We Learned? 223 Where Do We Go From Here? (What Have We Not Learned?) 227 A Final Thought 230 Index 231

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Book SynopsisThe value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include: Defining value-at-risk Variance-covariance methodology Portfolio VaR Credit risk and credit VaR Stressed VaR Critique and VaR during crisis Topics are illustrated with Bloomberg screens, worked examples and exercises. Related issues such as statistics, volatility and correlation are also inTable of ContentsForeword xv Preface xvii Preface to the first edition xxi About the author xxiii 1 INTRODUCTION TO RISK 1 Defining risk 2 The elements of risk: characterising risk 3 Forms of market risk 4 Other risks 5 Risk estimation 6 Risk management 7 The risk management function 7 Managing risk 9 Quantitative measurement of risk–reward 9 Standard deviation 10 Sharpe Ratio 10 Van Ratio 11 2 VOLATILITY AND CORRELATION 13 Statistical concepts 14 Arithmetic mean 14 Probability distributions 16 Confidence intervals 18 Volatility 20 The normal distribution and VaR 26 Correlation 28 3 VALUE-AT-RISK 29 What is VaR? 30 Definition 30 Methodology 32 Centralised database 32 Correlation assumptions 33 Correlation method 33 Historical simulation method 34 Monte Carlo simulation method 35 Validity of the volatility-correlation VaR estimate 35 How to calculate VaR 35 Historical method 36 Simulation method 37 Variance–covariance, analytic or parametric method 37 Mapping 44 Confidence intervals 47 Comparison between methods 48 Choosing between methods 48 Comparison with the historical approach 53 Comparing VaR calculation for different methodologies 54 Summary 56 4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS 59 Fixed income products 60 Bond valuation 60 Duration 62 Modified duration 64 Convexity 64 Interest rate products 65 Forward rate agreements 65 Fixed income portfolio 68 Applying VaR for a FRA 70 VaR for an interest rate swap 72 Applying VaR for a bond futures contract 76 Calculation illustration 76 The historical method 79 Simulation methodology 80 Volatility over time 81 Application 81 Bloomberg screens 82 5 OPTIONS: RISK AND VALUE-AT-RISK 85 Option valuation using the Black–Scholes model 86 Option pricing 86 Volatility 88 The Greeks 89 Delta 90 Gamma 90 Vega 91 Other Greeks 92 Risk measurement 92 Spot ladder 93 Maturity ladder 93 Across-time ladder 93 Jump risk 93 Applying VaR for Options 94 6 MONTE CARLO SIMULATION AND VALUE-AT-RISK 99 Introduction: Monte Carlo simulation 100 Option value under Monte Carlo 100 Monte Carlo distribution 103 Monte Carlo simulation and VaR 104 7 REGULATORY ISSUES AND STRESS-TESTING 107 Capital adequacy 108 Model compliance 108 CAD II 109 Specific risk 111 Back-testing 112 Stress-testing 112 Simulating stress 113 Stress-testing in practice 114 Issues in stress-testing 115 The crash and Basel III 116 Stressed VaR 116 8 CREDIT RISK AND CREDIT VALUE-AT-RISK 119 Types of credit risk 120 Credit spread risk 120 Credit default risk 121 Credit ratings 121 Credit ratings 121 Ratings changes over time 123 Corporate recovery rates 125 Credit derivatives 126 Measuring risk for a CDS contract 128 Modelling credit risk 129 Time horizon 131 Data inputs 131 CreditMetrics 131 Methodology 132 Time horizon 133 Calculating the credit VaR 134 CreditRiskþ 137 Applications of credit VaR 142 Prioritising risk-reducing actions 142 Standard credit limit setting 143 Concentration limits 144 Integrating the credit risk and market risk functions 144 9 A REVIEW OF VALUE-AT-RISK 147 VaR in Crisis 149 Weaknesses Revealed 151 Market risk 151 Credit risk 153 Portfolio effects 155 New Regulation and Development 158 Procyclicality: stressed VaR (SVaR) 158 Default and migration risks: incremental risk charge (IRC) 159 Liquidity risks: differing liquidity horizons 161 Counterparty risks: CVA VaR 162 Fat tail risk: over-buffering 164 New framework for trading book 164 Beyond the Current Paradigm 166 Exercises 171 Appendix: Taylor’s Expansion 179 Abbreviations 183 Selected bibliography 185 Index 187

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Book SynopsisAn accessible guide to handling the unforeseeable consequences of becoming an entrepreneur in today and tomorrow''s economy The spirit of an entrepreneur is often characterized as one of unbridled passion and a sense of fearlessness. But what about the consequences of choosing to become an entrepreneur? The occupational hazards associated with this endeavor range from maintaining focus, balancing work with your personal life, and finding good partners to burnout and boredom. Despite the abundance of entrepreneurial guides written, few focus on the essential aspect of dealing with the unexpected personal and professional costs of starting and financing a business. This new book will help you answer these tough questions. Engaging and informative, this book skillfully examines what usually goes wrong on the road to entrepreneurship, revealing what business owners regret and what you can do to address these issues. Along the way, it provides an overview of the personality

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Book SynopsisAn academic, yet practical approach to the latest FX market developments FX Options and Structured Products provides new insights into the FX Options market post-crisis, straddling the realms of both academics and practitioners.Table of ContentsList of Tables xiii List of Figures xvii Preface xxi About the Author xxiii Acknowledgments xxv Chapter 1 Foreign Exchange Derivatives 1 1.1 Literature Review 1 1.2 A Journey through the History of Options 1 1.3 Currency Options 3 1.4 Technical Issues for Vanilla Options 4 1.4.1 Valuation in the Black-Scholes Model 6 1.4.2 A Note on the Forward 8 1.4.3 Vanilla Greeks in the Black-Scholes Model 8 1.4.4 Reoccurring Identities 11 1.4.5 Homogeneity based Relationships 13 1.4.6 Quotation Conventions 14 1.4.7 Strike in Terms of Delta 20 1.4.8 Volatility in Terms of Delta 21 1.4.9 Volatility and Delta for a Given Strike 21 1.4.10 Greeks in Terms of Deltas 22 1.4.11 Settlement 26 1.4.12 Exercises 30 1.5 Volatility 33 1.5.1 Historic Volatility 33 1.5.2 Historic Correlation 36 1.5.3 Volatility Smile 37 1.5.4 At-The-Money Volatility Interpolation 44 1.5.5 Volatility Smile Conventions 45 1.5.6 At-The-Money Definition 45 1.5.7 Interpolation of the Volatility on Fixed Maturity Pillars 45 1.5.8 Interpolation of the Volatility Spread between Maturity Pillars 48 1.5.9 Volatility Sources 49 1.5.10 Volatility Cones 52 1.5.11 Stochastic Volatility 52 1.5.12 Exercises 54 1.6 Basic Strategies Containing Vanilla Options 55 1.6.1 Call and Put Spread 56 1.6.2 Risk Reversal 61 1.6.3 Straddle 64 1.6.4 Strangle 65 1.6.5 Butterfly 67 1.6.6 Condor 70 1.6.7 Seagull 72 1.6.8 Calendar Spread 75 1.6.9 Exercises 75 1.7 First Generation Exotics 76 1.7.1 Classification 76 1.7.2 European Digitals and the Windmill Effect 77 1.7.3 Barrier Options 81 1.7.4 Touch Contracts 93 1.7.5 Compound and Installment 105 1.7.6 Asian Options 117 1.7.7 Lookback Options 126 1.7.8 Forward Start, Ratchet, and Cliquet Options 136 1.7.9 Power Options 138 1.7.10 Quanto Options 147 1.7.11 Exercises 152 1.8 Second Generation Exotics (Single Currency Pair) 156 1.8.1 Multiplicity Power Options 156 1.8.2 Corridors/Range Accruals 157 1.8.3 Faders 160 1.8.4 Exotic Barrier Options 162 1.8.5 Pay-Later Options 166 1.8.6 Step Up and Step Down Options 169 1.8.7 Options and Forwards on the Harmonic Average 169 1.8.8 Variance and Volatility Swaps 170 1.8.9 Forward Volatility Agreements (FVAs) 174 1.8.10 Exercises 176 1.9 Second Generation Exotics (Multiple Currency Pairs) 177 1.9.1 Spread and Exchange Options 177 1.9.2 Baskets 179 1.9.3 Outside Barrier Options 185 1.9.4 Best-of and Worst-of Options 188 1.9.5 Other Multi-Currency Options 191 1.9.6 Correlation Swap 192 1.9.7 Exercises 192 Chapter 2 Structured Products 197 2.1 Forward Transactions 197 2.1.1 Outright Forward 198 2.1.2 Participating Forward 200 2.1.3 Participating Collar 202 2.1.4 Fade-In Forward 203 2.1.5 Knock-Out Forward 205 2.1.6 Shark Forward 206 2.1.7 Fader Shark Forward 210 2.1.8 Butterfly Forward 212 2.1.9 Range Forward 214 2.1.10 Range Accrual Forward 215 2.1.11 Accumulative Forward 218 2.1.12 Boomerang Forward 224 2.1.13 Amortizing Forward 225 2.1.14 Auto-Renewal Forward 227 2.1.15 Double Shark Forward 228 2.1.16 Forward Start Chooser Forward 229 2.1.17 Free Style Forward 229 2.1.18 Boosted Spot/Forward 229 2.1.19 Flexi Forward/Time Option 231 2.1.20 Strike Leverage Forward 232 2.1.21 Escalator Ratio Forward 232 2.1.22 Intrinsic Value Ratio Knock-Out Forward 234 2.1.23 Tender Linked Forward 236 2.1.24 Exercises 237 2.2 Target Forwards 241 2.2.1 Plain Target Forward 241 2.2.2 Leveraged Target Forward 244 2.2.3 Target Profit Forward 246 2.2.4 Pivot Target Forward (PTF) 252 2.2.5 KIKO Tarn 255 2.2.6 Target Forwards in the Media 259 2.2.7 Valuation and Hedging of Target Forwards 260 2.2.8 Exercises 265 2.3 Series of Strategies 266 2.3.1 Shark Forward Series 267 2.3.2 Collar Extra Series 269 2.3.3 Exercises 270 2.4 Deposits, Loans, Bonds, and Certificates 270 2.4.1 Dual Currency Deposit/Loan 270 2.4.2 Performance-Linked Deposits 273 2.4.3 Tunnel Deposit/Loan 275 2.4.4 Corridor Deposit/Loan 277 2.4.5 Turbo Deposit/Loan 279 2.4.6 Tower Deposit/Loan 281 2.4.7 FX-linked Bonds 283 2.4.8 FX-Express Certificate 284 2.4.9 Exercises 285 2.5 Interest Rate and Cross Currency Swaps 286 2.5.1 Cross Currency Swap 286 2.5.2 Hanseatic Swap 293 2.5.3 Turbo Cross Currency Swap 296 2.5.4 Buffered Cross Currency Swap 298 2.5.5 Flip Swap 299 2.5.6 Corridor Swap 301 2.5.7 Currency Related Swap (CRS) 303 2.5.8 Double-No-Touch Linked Swap 307 2.5.9 Range Reset Swap 309 2.5.10 Exercises 309 2.6 Participation Notes 310 2.6.1 Gold Participation Note 310 2.6.2 Basket-Linked Note 312 2.6.3 Issuer Swap 313 2.6.4 Moving Strike Turbo Spot Unlimited 313 2.7 Hybrid FX Products 314 2.7.1 Long-Term FX Options 315 2.7.2 Power Reverse Dual Currency Bonds 315 2.7.3 Hybrid Forward Contracts 320 2.7.4 Dual Asset Range Accrual Note 321 2.8 Treasury Case Studies 322 2.8.1 FX Protection for EM Currencies with High Swap Points 322 2.8.2 Exit Strategies for a Sick Floan 323 2.8.3 Trade Ideas for FX Risk Management in View of Brexit 328 2.8.4 Inverse DCD 330 2.8.5 Exercises 331 Chapter 3 Hedge Accounting 335 3.1 Hedge Accounting under IAS 39 335 3.1.1 Introduction 335 3.1.2 Financial Instruments 336 3.1.3 Evaluation of Financial Instruments 349 3.1.4 Hedge Accounting 356 3.1.5 Methods for Testing Hedge Effectiveness 364 3.1.6 Testing for Effectiveness – A Case Study of the Forward Plus 372 3.1.7 Conclusion 390 3.1.8 Relevant Original Sources for Accounting Standards 392 3.2 Hedge Accounting under IFRS 9 392 3.2.1 Hedge Effectiveness 392 3.2.2 Documentation and Qualifying Criteria 393 3.2.3 Case Study: Shark Forward 393 3.2.4 Conclusion and Outlook 397 Chapter 4 Foreign Exchange Markets 399 4.1 Vanna-Volga Pricing 399 4.1.1 Cost of Vanna and Volga 399 4.1.2 Observations 402 4.1.3 Consistency Check 403 4.1.4 Adjustment Factor 405 4.1.5 Volatility for Risk Reversals, Butterflies, and Theoretical Value 405 4.1.6 Pricing Barrier Options 405 4.1.7 Pricing Double Barrier Options 406 4.1.8 Pricing Double-No-Touch Contracts 406 4.1.9 Pricing Path-Independent Contracts 407 4.1.10 No-Touch Probability 407 4.1.11 The Cost of Trading and its Implication on the One-Touch MTM 407 4.1.12 Example 409 4.1.13 Further Applications 410 4.1.14 Critical Assessment 410 4.2 Bid-Ask Spreads 410 4.2.1 Vanilla Spreads 411 4.2.2 Spreading Vanilla Structures 412 4.2.3 One-Touch Spreads 412 4.2.4 Spreads for First Generation Exotics 412 4.2.5 Minimal Bid-Ask Spread 413 4.2.6 Bid-Ask Prices 413 4.3 Systems and Software 413 4.3.1 Position Keeping 414 4.3.2 Reference Prices and Volatilities 414 4.3.3 Straight Through Processing 414 4.3.4 Disclaimers 415 4.4 Trading and Sales 415 4.4.1 Proprietary Trading 416 4.4.2 Sales-Driven Trading 416 4.4.3 Inter Bank Sales 416 4.4.4 Branch Sales 416 4.4.5 Institutional Sales 416 4.4.6 Corporate Sales 417 4.4.7 Private Banking 417 4.4.8 Retail FX Derivatives 417 4.4.9 Exchange Traded FX Derivatives 417 4.4.10 Casino FX Products 417 4.4.11 Treasury 418 4.4.12 Fixings and Cutoffs 418 4.4.13 Trading Floor Joke 421 4.5 Currency Pairs 421 4.5.1 ISO 4217 Currency Code List 421 4.6 Things to Remember 424 4.7 Glossary 424 Bibliography 427 Index 433

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Book SynopsisA road map for implementing quantitative financial models Financial Derivative and Energy Market Valuation brings the application of financial models to a higher level by helping readers capture the true behavior of energy markets and related financial derivatives. The book provides readers with a range of statistical and quantitative techniques and demonstrates how to implement the presented concepts and methods in Matlab. Featuring an unparalleled level of detail, this unique work provides the underlying theory and various advanced topics without requiring a prior high-level understanding of mathematics or finance. In addition to a self-contained treatment of applied topics such as modern Fourier-based analysis and affine transforms, Financial Derivative and Energy Market Valuation also: Provides the derivation, numerical implementation, and documentation of the corresponding Matlab for each topic Extends seminaTrade Review“The book is also ideal for graduate-level courses in quantitative finance, mathematical finance, and financial engineering.” (Zentralblatt MATH, 1 August 2013)Table of ContentsPreface vii 1 Financial Models 1 2 Jump Models 35 3 Options 65 4 Binomial Trees 105 5 Trinomial Trees 131 6 Finite Difference Methods 167 7 Kalman Filter 231 8 Futures and Forwards 245 9 Nonlinear and Non-Gaussian Kalman Filter 295 10 Short-Term Deviation/Long-Term Equilibrium Model 349 11 Futures and Forwards Options 359 12 Fourier Transform 397 13 Fundamentals of Characteristic Functions 459 14 Application of Characteristic Functions 467 15 Levy Processes 505 16 Fourier-Based Option Analysis 547 17 Fundamentals of Stochastic Finance 585 18 Affine Jump-Diffusion Processes 605 Index 645

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Book SynopsisThe third edition of Ethics in Finance presents an authoritative and wide-ranging examination of the major ethical issues in finance. This new edition has been expanded and thoroughly updated with extensive coverage of the recent financial crisis and the very latest developments within the financial world. Substantially updated new edition with nearly 40% new material, including sections on credit cards, mortgage lending, microfinance, risk management, derivatives, and securitization Includes coverage and references to the recent financial crisis and the very latest developments within the financial world Focuses on the practical issues that confront finance professionals, policy makers, and consumers of financial services Cites examples of the scandals that have shaken public confidence in Wall Street and world financial markets Includes numerous examples throughout to illustrate the concepts and issues deTable of ContentsPreface vii Acknowledgments ix Abbreviations x 1 Finance Ethics: An Overview 1 The Need for Ethics in Finance 2 The Field of Finance Ethics 13 2 Fundamentals of Finance Ethics 26 A Framework for Ethics 27 Agents, Fiduciaries, and Professionals 40 Conflict of Interest 45 3 Ethics and the Retail Customer 63 Sales Practices 64 Credit Cards 78 Mortgage Lending 96 Arbitration 108 4 Ethics in Investment 120 Mutual Funds 121 Relationship Investing 141 Socially Responsible Investing 148 Microfinance 155 5 Ethics in Financial Markets 171 Fairness in Markets 172 Insider Trading 182 Hostile Takeovers 189 Financial Engineering 201 6 Ethics in Financial Management 223 The Corporate Objective 224 Risk Management 234 Ethics of Bankruptcy 243 Corporate Governance 254 Index 273

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Book SynopsisMitigate risk and increase returns with an alternative hedge fund strategy Merger Arbitrage: How to Profit from Event-Driven Arbitrage, Second Edition is the definitive guide to the ins and outs of the burgeoning merger arbitrage hedge fund strategy, with real-world examples that illustrate how mergers work and how to take advantage of them. Author Thomas Kirchner, founder of the Pennsylvania Avenue Event-Driven Fund, discusses the factors that drove him to invest solely in merger arbitrage and other event-driven strategies, and details the methods used to incorporate merger arbitrage into traditional investment strategies. And while there is always a risk that a deal will fall through, the book explains how minimal such risks really are when the potential upside is factored in. Early chapters of the book focus on the basics of the merger arbitrage strategy, including an examination of mergers and the incorporation of risk into the arbitrage decision. FollowingTable of ContentsPreface vii Acknowledgments xi Part One The Arbitrage Process 1 Chapter 1 Introduction to Merger Arbitrage 3 Chapter 2 The Mechanics of Merger Arbitrage 18 Chapter 3 The Role of Merger Arbitrage in a Diversified Portfolio 50 Chapter 4 Incorporating Risk into the Arbitrage Decision 103 Part Two Pitfalls of Merger Arbitrage 141 Chapter 5 Sources of Risk and Return 143 Chapter 6 Deal Structures: Mergers and Tender Offers 188 Chapter 7 Financing 217 Chapter 8 Legal Aspects 250 Chapter 9 Management Incentives 293 Chapter 10 Buyouts by Private Equity 328 Chapter 11 Minority Squeeze-Outs 341 Part Three Investing In Merger Arbitrage 361 Chapter 12 Government Involvement 363 Chapter 13 Four Ways to Fight Abuse of Shareholders in Mergers 409 Chapter 14 Investing in Arbitrage 435 Notes 475 About the Author 483 Exercises 485 Index 497

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Book SynopsisA comprehensive resource for understanding the complexities of agricultural finance Agricultural Finance: From Crops to Land, Water, and Infrastructure is a pioneering book that offers a comprehensive resource for understanding the worldwide agriculture markets, from spikes in agricultural commodity prices to trading strategies, and the agribusiness industry generally to the challenges of feeding the planet in particular. The book also goes in-depth on the topics of land, water, fertilizers, biofuels, and ethanol. Written by Helyette Gemanan industry expert in commodity derivativesthis book explores the agricultural marketplace and the cycles in agricultural commodity prices that can be the key to investor success. This resource addresses a wide range of other important topics as well, including agricultural insurance, energy, shipping and bunker prices, sustainability, investments in land, subsidies, agricultural derivatives, and farming risk-management. OtherTable of ContentsAcknowledgments xiii About the Author xv Preamble xvii 1 Physical and Financial Agricultural Markets 1 1.1 Agriculture and the Beginning of Human Sedentarization 1 1.1.1 Some recent numbers 2 1.1.2 The growing role of Africa 2 1.2 The Outlook of Agricultural Commodities Markets 3 1.2.1 Recent mergers and acquisitions 3 1.2.2 ‘Trading places’: from the abcd to the now 4 1.2.3 The physical markets 9 1.2.4 The global flows of commodities 10 1.2.5 Back to the future: a new age for barter 11 1.2.6 The sources of information in agricultural commodity markets 12 1.3 History of Commodity Futures and Spot Markets 12 1.3.1 The actors in financial markets 12 1.3.2 The actors in agricultural commodity exchanges 13 1.3.3 The growth of Futures markets exchanges and the recent mergers 14 1.3.4 Futures markets and price volatility 15 1.3.5 The role of indexes in the creation of efficient commodity spot markets 16 1.3.6 Commodities and numéraire 17 1.4 Shipping and Freight 17 1.4.1 International trade 18 1.4.2 Price formation in freight markets 18 2 Agricultural Commodity Spot Markets 25 2.1 Introduction 25 2.2 Price Formation in Agricultural Commodity Markets 25 2.3 Volatility in Agricultural Markets 27 2.3.1 Volatility of the price level versus return in agricultural commodity markets 32 2.3.2 Which factors drive volatility? 36 2.3.3 Conclusion 38 3 Futures Exchanges – Future and Forward Prices – Theory of Storage – The Forward Curve 39 3.1 Major Commodity Exchanges 39 3.2 Forward Contracts 41 3.3 Futures Contracts 43 3.3.1 Definition 43 3.3.2 Exchange of Futures for physicals (efp) 44 3.4 Relationship between Forward and Futures Prices 45 3.5 Example of a Future Spread 47 3.6 Inventory and Theory of Storage 47 3.6.1 Spot and Futures prices volatilities 49 3.6.2 Development of the theory of storage: inventory and prices 51 3.7 The Benefits of Forward Curves 52 3.7.1 Trading strategies around forward curves 52 3.7.2 Example of a seasonality-based Futures spread 53 3.7.3 From linear to convex payoffs 54 3.8 Stochastic Modeling of the Forward Curve 55 4 Plain Vanilla Options on Commodity Spot and Forward Prices. The Bachelier–Black–Scholes Formula, the Merton Formula, the Black Formula 59 4.1 Introduction 59 4.2 Classical Strategies involving European Calls and Puts 62 4.2.1 Straddle 62 4.2.2 Strangle 62 4.2.3 Call spread or vertical call spread 63 4.2.4 Butterfly spread 64 4.3 Put–Call Parity for a Non-dividend Paying Stock 64 4.4 Valuation of European Calls: the Bachelier–Black–Scholes Formula and the Greeks 66 4.4.1 Consequences of the Black–Scholes formula 70 4.4.2 The Greeks 71 4.5 The Merton (1973) Formula for Dividend-paying Stocks 75 4.6 Options on Commodity Spot Prices 77 4.7 Options on Commodity Futures: the Black (1976) Formula 78 4.8 Monte-Carlo Simulations for Option Pricing 79 4.8.1 The founding result 79 4.8.2 Monte-Carlo methods for plain vanilla options on non-dividend paying stocks 80 4.8.3 Monte-Carlo methods for plain vanilla options on the spot commodity 82 4.9 Implied Volatility, Smile, and Skew in Equity Option Markets 83 4.10 Volatility Smile in Agricultural Commodity Markets 86 4.10.1 W here is the liquidity in agricultural commodity option markets? 86 4.10.2 Extracting the implied volatility from options on commodity Futures 86 5 Commodity Swaps, Swaptions, Accumulators, Forward-Start, and Asian Options 89 5.1 Swaps and Swaptions 89 5.2 Accumulators 92 5.3 Forward-Start Options (or Calendar Spread Options on the Spot Price) 93 5.4 Asian Options as Key Instruments in Commodity Markets 95 5.4.1 Approximation of the arithmetic average by a geometric average 96 5.4.2 Approximation of the distribution of the arithmetic average by a log-normal distribution 97 5.4.3 Monte-Carlo simulations for Asian options valuation 98 5.4.4 Exact results (Geman and Yor, 1993) 100 5.5 Trading the Shape of the Forward Curve through Floating-strike Asian Options 102 6 Exchange, Spread, and Quanto Options in Commodity Markets 103 6.1 Exchange Options 103 6.2 Commodity Spread Options and Their Importance in Commodity Markets 105 6.3 Commodity Quanto Options 109 7 Grain Cereals: Corn, Wheat, Soybean, Rice, and Sorghum 113 7.1 Introduction 113 7.2 Corn 113 7.3 Wheat 118 7.3.1 W heat trading 119 7.3.2 Global wheat 119 7.3.3 The wheat supply chain 120 7.4 Soybeans 123 7.5 Rice 126 7.6 Sorghum 129 8 Sugar, Cocoa, Coffee, and Tea 133 8.1 Sugar 133 8.1.1 Links of sugar with other commodities 134 8.1.2 Sugar trading 135 8.1.3 The European Union 136 8.1.4 Special relations of the eu with other countries 136 8.1.5 The United States 136 8.1.6 Special relations of the usa with other countries 137 8.1.7 Brazil 137 8.1.8 China 138 8.1.9 India 138 8.1.10 Thailand 139 8.1.11 Australia 139 8.1.12 Guatemala and Cuba 139 8.1.13 Sugar cane in Mauritius 140 8.2 Cocoa 140 8.3 Coffee 146 8.4 Tea 149 9 Cotton, Timber and Wood, Pulp and Paper, Wool 153 9.1 Cotton 153 9.2 Lumber and Wood 156 9.3 Pulp and Paper 158 9.3.1 Pulp NBSK and BHKP indexes 159 9.3.2 Pulp US NBSK index 160 9.3.3 Pulp BHKP China 160 9.3.4 Pulp NBSK China 161 9.3.5 When bank notes go plastic 161 9.4 Wool and Cashmere 162 9.4.1 Cashmere 163 9.4.2 From the Kashmir Goat to high quality yarns 164 10 Orange Juice, Livestock, Dairy, and Fishery 165 10.1 Orange Juice 165 10.2 Livestock 166 10.2.1 Livestock markets 167 10.2.2 Cattle 168 10.2.3 Hogs 169 10.2.4 Pork bellies 169 10.2.5 The US live cattle contract specifications 170 10.2.6 Australia 171 10.2.7 The USA 171 10.3 Dairy 172 10.4 Fish Markets 173 10.5 Poultry and Eggs 174 11 Rubber, Palm Oil, and Biofuels 177 11.1 Rubber 177 11.2 Palm Oil 180 11.2.1 The oil palm and palm oil 181 11.2.2 Markets 182 11.3 Ethanol, Biofuels, and Biomass 183 12 Land, Water, and Fertilizers 187 12.1 Land Types, Yields, and Erosion 187 12.1.1 Yield-at-risk 187 12.1.2 Land competition 188 12.1.3 Farmland in the USA 188 12.2 Fertilizers 189 12.2.1 Fertilizer markets 191 12.2.2 Fertilizer Index, corn, and wheat price trajectories over the period 1991 to 2011 193 12.2.3 Fertilizer producing companies and share price returns over the period 2004 to 2011 193 12.2.4 A factor model for the share returns of fertilizer firms 198 12.3 Water and its crucial Role in the World Economy 207 12.3.1 The case of Australia, China, and Saudi Arabia 208 12.3.2 The case of Brazil 208 12.3.3 Competition for electricity, water, and land 209 12.4 Projections for the Future of Agriculture 209 12.4.1 Farm insurance 210 12.4.2 Estimating long-term agricultural supply 210 12.4.3 Market concentration 211 12.4.4 Spare capacity 211 12.5 Subsidies and Export Bans 211 12.5.1 Subsidies 212 12.5.2 Export bans 212 12.6 Market-oriented Farming 212 12.6.1 Open wheat market takes root in Canada 213 12.6.2 Kansas City wheat Futures trading coming to an end after 157 years 213 12.6.3 China food needs 214 13 Infrastructure and Farming Management in the Digital Age 217 13.1 Introduction 217 13.2 Agricultural Infrastructure 218 13.2.1 Total factor productivity 218 13.2.2 Climate change 219 13.2.3 Irrigation and increased productivity 219 13.2.4 Trends in irrigation 219 13.2.5 Storage 220 13.2.6 Grain elevators 220 13.2.7 Soybean crushers 220 13.2.8 The Brave New World of Monsanto 221 13.2.9 Infrastructure in sub-Saharan Africa 221 13.2.10 Gabon: after black gold, green gold? 221 13.2.11 Agricultural Transformation Agenda (ATA) in Nigeria 222 13.2.12 Digital age on the farm: prescriptive planting 222 13.2.13 Sugar biofactory for ethanol in Brazil 224 13.2.14 After ethanol, railway, and natural gas 224 13.2.15 From iron ore mining to cattle farming in Australia 225 13.2.16 Robots for cow milking 225 13.2.17 Containers for agricultural commodities 226 13.2.18 Singapore as a hub for refrigeration containers 226 13.2.19 The trip of the banana 226 13.2.20 Energy, water, and infrastructure for DAP and agriculture in Saudi Arabia 227 13.3 Country Risk: the Example of Ukraine in 2014 227 13.4 Analyzing the Risks Involved in an International Wheat Tender Offer 228 13.5 Weather Risk and Weather Derivatives 229 14 Investing in Agricultural Commodities, Land, and Physical Assets 233 14.1 Purchase of Commodity Futures 233 14.2 Purchase of Commodity Options and Structured Products 235 14.3 Commodity Index Investing 236 14.3.1 Some prominent commodity indexes 236 14.3.2 How commodity indices are constructed 238 14.3.3 Commodity-linked bonds 239 14.4 Investing in Commodity-related Equities 239 14.5 Investing in Land 240 14.5.1 The US case 241 14.5.2 The world case 241 14.6 Acquisition of Infrastructure and Physical Assets 242 14.6.1 Valuation of a transformation plant using a real options approach 242 14.6.2 D CF approach to the valuation of a transformation plant 243 14.6.3 Valuation of a silo (or an aquifer, or any storage facility) 245 14.7 Conclusion 247 Glossary 248 References 252 Index 257

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Book SynopsisAn introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-wTable of ContentsPreface xvii Financial Glossary xxii Part I Measure Theory 1 Sets and Sequences 3 2 Measures 15 3 Extension of Measures 29 4 Lebesgue-Stieltjes Measures 37 5 Measurable Functions 47 6 Lebesgue Integration 57 7 The Radon-Nikodym Theorem 77 8 LP Spaces 85 9 Convergence 97 10 Product Measures 113 Part II Probability Theory 11 Events and Random Variables 127 12 Independence 141 13 Expectation 161 14 Conditional Expectation 173 15 Inequalities 189 16 Law of Large Numbers 199 17 Characteristic Functions 217 18 Discrete Distributions 227 19 Continuous Distributions 239 20 Central Limit Theorems 257 Part III Stochastic Processes 21 Stochastic Processes 271 22 Martingales 291 23 Stopping Times 301 24 Martingale Inequalities 321 25 Martingale Convergence Theorems 333 26 Random Walks 343 27 Poisson Processes 357 28 Brownian Motion 373 29 Markov Processes 389 30 Lévy Processes 401 Part IV Stochastic Calculus 31 The Wiener Integral 421 32 The Itô Integral 431 33 Extension of the Itô Integral 453 34 Martingale Stochastic Integrals 463 35 The Itô Formula 477 36 Martingale Representation Theorem 495 37 Change of Measure 503 38 Stochastic Differential Equations 515 39 Diffusion 531 40 The Feynman-Kac Formula 547 Part V Stochastic Financial Models 41 Discrete-Time Models 561 42 Black-Scholes Option Pricing Models 579 43 Path-Dependent Options 593 44 American Options 609 45 Short Rate Models 629 46 Instantaneous Forward Rate Models 647 47 LIBOR Market Models 667 References 687 List of Symbols 703 Subject Index 707

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Book SynopsisThe complete guide to the principles and practice of risk quantification for business applications. The assessment and quantification of risk provide an indispensable part of robust decision-making; to be effective, many professionals need a firm grasp of both the fundamental concepts and of the tools of the trade. Business Risk and Simulation Modelling in Practice is a comprehensive, indepth, and practical guide that aims to help business risk managers, modelling analysts and general management to understand, conduct and use quantitative risk assessment and uncertainty modelling in their own situations. Key content areas include: Detailed descriptions of risk assessment processes, their objectives and uses, possible approaches to risk quantification, and their associated decision-benefits and organisational challenges. Principles and techniques in the design of risk models, including the similarities and differences with traditionalTable of ContentsPreface xvii About the Author xxiii About the Website xxv Part I An Introduction to Risk Assessment – Its Uses, Processes, Approaches, Benefits and Challenges Chapter 1 The Context and Uses of Risk Assessment 3 1.1 Risk Assessment Examples 3 1.1.1 Everyday Examples of Risk Management 4 1.1.2 Prominent Risk Management Failures 5 1.2 General Challenges in Decision-Making Processes 7 1.2.1 Balancing Intuition with Rationality 7 1.2.2 The Presence of Biases 9 1.3 Key Drivers of the Need for Formalised Risk Assessment in Business Contexts 14 1.3.1 Complexity 14 1.3.2 Scale 15 1.3.3 Authority and Responsibility to Identify and Execute Risk-Response Measures 16 1.3.4 Corporate Governance Guidelines 16 1.3.5 General Organisational Effectiveness and the Creation of Competitive Advantage 18 1.3.6 Quantification Requirements 18 1.3.7 Reflecting Risk Tolerances in Decisions and in Business Design 19 1.4 The Objectives and Uses of General Risk Assessment 19 1.4.1 Adapt and Improve the Design and Structure of Plans and Projects 20 1.4.2 Achieve Optimal Risk Mitigation within Revised Plans 20 1.4.3 Evaluate Projects, Set Targets and Reflect Risk Tolerances in Decision-Making 21 1.4.4 Manage Projects Effectively 21 1.4.5 Construct, Select and Optimise Business and Project Portfolios 22 1.4.6 Support the Creation of Strategic Options and Corporate Planning 25 Chapter 2 Key Stages of the General Risk Assessment Process 29 2.1 Overview of the Process Stages 29 2.2 Process Iterations 30 2.3 Risk Identification 32 2.3.1 The Importance of a Robust Risk Identification Step 32 2.3.2 Bringing Structure into the Process 32 2.3.3 Distinguishing Variability from Decision Risks 34 2.3.4 Distinguishing Business Issues from Risks 34 2.3.5 Risk Identification in Quantitative Approaches: Additional Considerations 35 2.4 Risk Mapping 35 2.4.1 Key Objectives 35 2.4.2 Challenges 35 2.5 Risk Prioritisation and Its Potential Criteria 36 2.5.1 Inclusion/Exclusion 36 2.5.2 Communications Focus 37 2.5.3 Commonality and Comparison 38 2.5.4 Modelling Reasons 39 2.5.5 General Size of Risks, Their Impact and Likelihood 39 2.5.6 Influence: Mitigation and Response Measures, and Management Actions 40 2.5.7 Optimising Resource Deployment and Implementation Constraints 41 2.6 Risk Response: Mitigation and Exploitation 42 2.6.1 Reduction 42 2.6.2 Exploitation 42 2.6.3 Transfer 42 2.6.4 Research and Information Gathering 43 2.6.5 Diversification 43 2.7 Project Management and Monitoring 44 Chapter 3 Approaches to Risk Assessment and Quantification 45 3.1 Informal or Intuitive Approaches 46 3.2 Risk Registers without Aggregation 46 3.2.1 Qualitative Approaches 46 3.2.2 Quantitative Approaches 48 3.3 Risk Register with Aggregation (Quantitative) 50 3.3.1 The Benefits of Aggregation 50 3.3.2 Aggregation of Static Values 51 3.3.3 Aggregation of Risk-Driven Occurrences and Their Impacts 52 3.3.4 Requirements and Differences to Non-Aggregation Approaches 54 3.4 Full Risk Modelling 56 3.4.1 Quantitative Aggregate Risk Registers as a First Step to Full Models 56 Chapter 4 Full Integrated Risk Modelling: Decision-Support Benefits 59 4.1 Key Characteristics of Full Models 59 4.2 Overview of the Benefits of Full Risk Modelling 61 4.3 Creating More Accurate and Realistic Models 62 4.3.1 Reality is Uncertain: Models Should Reflect This 62 4.3.2 Structured Process to Include All Relevant Factors 63 4.3.3 Unambiguous Approach to Capturing Event Risks 63 4.3.4 Inclusion of Risk Mitigation and Response Factors 66 4.3.5 Simultaneous Occurrence of Uncertainties and Risks 66 4.3.6 Assessing Outcomes in Non-Linear Situations 67 4.3.7 Reflecting Operational Flexibility and Real Options 67 4.3.8 Assessing Outcomes with Other Complex Dependencies 71 4.3.9 Capturing Correlations, Partial Dependencies and Common Causalities 73 4.4 Using the Range of Possible Outcomes to Enhance Decision-Making 74 4.4.1 Avoiding “The Trap of the Most Likely” or Structural Biases 76 4.4.2 Finding the Likelihood of Achieving a Base Case 78 4.4.3 Economic Evaluation and Reflecting Risk Tolerances 82 4.4.4 Setting Contingencies, Targets and Objectives 83 4.5 Supporting Transparent Assumptions and Reducing Biases 84 4.5.1 Using Base Cases that are Separate to Risk Distributions 85 4.5.2 General Reduction in Biases 85 4.5.3 Reinforcing Shared Accountability 85 4.6 Facilitating Group Work and Communication 86 4.6.1 A Framework for Rigorous and Precise Work 86 4.6.2 Reconcile Some Conflicting Views 86 Chapter 5 Organisational Challenges Relating to Risk Modelling 87 5.1 “We Are Doing It Already” 87 5.1.1 “Our ERM Department Deals with Those Issues” 88 5.1.2 “Everybody Should Just Do Their Job Anyway!” 88 5.1.3 “We Have Risk Registers for All Major Projects” 89 5.1.4 “We Run Sensitivities and Scenarios: Why Do More?” 89 5.2 “We Already Tried It, and It Showed Unrealistic Results” 89 5.2.1 “All Cases Were Profitable” 90 5.2.2 “The Range of Outcomes Was Too Narrow” 90 5.3 “The Models Will Not Be Useful!” 91 5.3.1 “We Should Avoid Complicated Black Boxes!” 91 5.3.2 “All Models Are Wrong, Especially Risk Models!” 91 5.3.3 “Can You Prove that It Even Works?” 92 5.3.4 “Why Bother to Plan Things that Might Not Even Happen?” 93 5.4 Working Effectively with Enhanced Processes and Procedures 93 5.4.1 Selecting the Right Projects, Approach and Decision Stage 93 5.4.2 Managing Participant Expectations 95 5.4.3 Standardisation of Processes and Models 95 5.5 Management Processes, Culture and Change Management 96 5.5.1 Integration with Decision Processes 96 5.5.2 Ensuring Alignment of Risk Assessment and Modelling Processes 97 5.5.3 Implement from the Bottom Up or the Top Down? 98 5.5.4 Encouraging Issues to Be Escalated: Don’t Shoot the Messenger! 99 5.5.5 Sharing Accountability for Poor Decisions 99 5.5.6 Ensuring Alignment with Incentives and Incentive Systems 100 5.5.7 Allocation and Ownership of Contingency Budgets 101 5.5.8 Developing Risk Cultures and Other Change Management Challenges 102 Part II The Design of Risk Models – Principles, Processes and Methodology Chapter 6 Principles of Simulation Methods 107 6.1 Core Aspects of Simulation: A Descriptive Example 107 6.1.1 The Combinatorial Effects of Multiple Inputs and Distribution of Outputs 107 6.1.2 Using Simulation to Sample Many Diverse Scenarios 110 6.2 Simulation as a Risk Modelling Tool 112 6.2.1 Distributions of Input Values and Their Role 113 6.2.2 The Effect of Dependencies between Inputs 114 6.2.3 Key Questions Addressable using Risk-Based Simulation 114 6.2.4 Random Numbers and the Required Number of Recalculations or Iterations 115 6.3 Sensitivity and Scenario Analysis: Relationship to Simulation 116 6.3.1 Sensitivity Analysis 116 6.3.2 Scenario Analysis 119 6.3.3 Simulation using DataTables 121 6.3.4 GoalSeek 121 6.4 Optimisation Analysis and Modelling: Relationship to Simulation 122 6.4.1 Uncertainty versus Choice 122 6.4.2 Optimisation in the Presence of Risk and Uncertainty 129 6.4.3 Modelling Aspects of Optimisation Situations 131 6.5 Analytic and Other Numerical Methods 133 6.5.1 Analytic Methods and Closed-Form Solutions 133 6.5.2 Combining Simulation Methods with Exact Solutions 135 6.6 The Applicability of Simulation Methods 135 Chapter 7 Core Principles of Risk Model Design 137 7.1 Model Planning and Communication 138 7.1.1 Decision-Support Role 138 7.1.2 Planning the Approach and Communicating the Output 138 7.1.3 Using Switches to Control the Cases and Scenarios 139 7.1.4 Showing the Effect of Decisions versus Those of Uncertainties 140 7.1.5 Keeping It Simple, but not Simplistic: New Insights versus Modelling Errors 144 7.2 Sensitivity-Driven Thinking as a Model Design Tool 146 7.2.1 Enhancing Sensitivity Processes for Risk Modelling 150 7.2.2 Creating Dynamic Formulae 151 7.2.3 Example: Time Shifting for Partial Periods 153 7.3 Risk Mapping and Process Alignment 154 7.3.1 The Nature of Risks and Their Impacts 155 7.3.2 Creating Alignment between Modelling and the General Risk Assessment Process 156 7.3.3 Results Interpretation within the Context of Process Stages 157 7.4 General Dependency Relationships 158 7.4.1 Example: Commonality of Drivers of Variability 159 7.4.2 Example: Scenario-Driven Variability 160 7.4.3 Example: Category-Driven Variability 162 7.4.4 Example: Fading Impacts 168 7.4.5 Example: Partial Impact Aggregation by Category in a Risk Register 170 7.4.6 Example: More Complex Impacts within a Category 171 7.5 Working with Existing Models 173 7.5.1 Ensuring an Appropriate Risk Identification and Mapping 173 7.5.2 Existing Models using Manual Processes or Embedded Procedures 174 7.5.3 Controlling a Model Switch with a Macro at the Start and End of a Simulation 175 7.5.4 Automatically Removing Data Filters at the Start of a Simulation 176 7.5.5 Models with DataTables 178 Chapter 8 Measuring Risk using Statistics of Distributions 181 8.1 Defining Risk More Precisely 181 8.1.1 General Definition 181 8.1.2 Context-Specific Risk Measurement 181 8.1.3 Distinguishing Risk, Variability and Uncertainty 182 8.1.4 The Use of Statistical Measures 183 8.2 Random Processes and Their Visual Representation 184 8.2.1 Density and Cumulative Forms 184 8.2.2 Discrete, Continuous and Compound Processes 186 8.3 Percentiles 187 8.3.1 Ascending and Descending Percentiles 188 8.3.2 Inversion and Random Sampling 189 8.4 Measures of the Central Point 190 8.4.1 Mode 190 8.4.2 Mean or Average 191 8.4.3 Median 193 8.4.4 Comparisons of Mode, Mean and Median 193 8.5 Measures of Range 194 8.5.1 Worst and Best Cases, and Difference between Percentiles 194 8.5.2 Standard Deviation 195 8.6 Skewness and Non-Symmetry 199 8.6.1 The Effect and Importance of Non-Symmetry 201 8.6.2 Sources of Non-Symmetry 202 8.7 Other Measures of Risk 203 8.7.1 Kurtosis 204 8.7.2 Semi-Deviation 205 8.7.3 Tail Losses, Expected Tail Losses and Value-at-Risk 206 8.8 Measuring Dependencies 207 8.8.1 Joint Occurrence 207 8.8.2 Correlation Coefficients 209 8.8.3 Correlation Matrices 210 8.8.4 Scatter Plots (X–Y Charts) 212 8.8.5 Classical and Bespoke Tornado Diagrams 212 Chapter 9 The Selection of Distributions for Use in Risk Models 215 9.1 Descriptions of Individual Distributions 215 9.1.1 The Uniform Continuous Distribution 216 9.1.2 The Bernoulli Distribution 218 9.1.3 The Binomial Distribution 219 9.1.4 The Triangular Distribution 220 9.1.5 The Normal Distribution 222 9.1.6 The Lognormal Distribution 226 9.1.7 The Beta and Beta General Distributions 232 9.1.8 The PERT Distribution 234 9.1.9 The Poisson Distribution 236 9.1.10 The Geometric Distribution 238 9.1.11 The Negative Binomial Distribution 240 9.1.12 The Exponential Distribution 241 9.1.13 The Weibull Distribution 242 9.1.14 The Gamma Distribution 242 9.1.15 The General Discrete Distribution 244 9.1.16 The Integer Uniform Distribution 245 9.1.17 The Hypergeometric Distribution 245 9.1.18 The Pareto Distribution 246 9.1.19 The Extreme Value Distributions 246 9.1.20 The Logistic Distribution 250 9.1.21 The Log-Logistic Distribution 251 9.1.22 The Student (t), Chi-Squared and F-Distributions 252 9.2 A Framework for Distribution Selection and Use 256 9.2.1 Scientific and Conceptual Approaches 257 9.2.2 Data-Driven Approaches 258 9.2.3 Industry Standards 259 9.2.4 Pragmatic Approaches: Distributions, Parameters and Expert Input 259 9.3 Approximation of Distributions with Each Other 263 9.3.1 Modelling Choices 263 9.3.2 Distribution Comparison and Parameter Matching 265 9.3.3 Some Potential Pitfalls Associated with Distribution Approximations 267 Chapter 10 Creating Samples from Distributions 273 10.1 Readily Available Inverse Functions 274 10.1.1 Functions Provided Directly in Excel 274 10.1.2 Functions Whose Formulae Can Easily Be Created 276 10.2 Functions Requiring Lookup and Search Methods 277 10.2.1 Lookup Tables 277 10.2.2 Search Methods 278 10.3 Comparing Calculated Samples with Those in @RISK 279 10.4 Creating User-Defined Inverse Functions 280 10.4.1 Normal Distribution 281 10.4.2 Beta and Beta General Distributions 282 10.4.3 Binomial Distribution 283 10.4.4 Lognormal Distribution 283 10.4.5 Bernoulli Distribution 284 10.4.6 Triangular Distribution 284 10.4.7 PERT Distribution 284 10.4.8 Geometric Distribution 285 10.4.9 Weibull Distribution 285 10.4.10 Weibull Distribution with Percentile Inputs 285 10.4.11 Poisson Distribution 285 10.4.12 General Discrete Distribution 287 10.5 Other Generalisations 287 10.5.1 Iterative Methods using Specific Numerical Techniques 287 10.5.2 Creating an Add-In 289 Chapter 11 Modelling Dependencies between Sources of Risk 291 11.1 Parameter Dependency and Partial Causality 291 11.1.1 Example: Conditional Probabilities 293 11.1.2 Example: Common Risk Drivers 293 11.1.3 Example: Category Risk Drivers 294 11.1.4 Example: Phased Projects 294 11.1.5 Example: Economic Scenarios for the Price of a Base Commodity 295 11.1.6 Example: Prices of a Derivative Product 296 11.1.7 Example: Prices of Several Derivative Products 297 11.1.8 Example: Oil Price and Rig Cost 297 11.1.9 Example: Competitors and Market Share 298 11.1.10 Example: Resampling or Data-Structure-Driven Dependence 299 11.1.11 Implied Correlations within Parameter Dependency Relationships 302 11.2 Dependencies between Sampling Processes 302 11.2.1 Correlated Sampling 303 11.2.2 Copulas 304 11.2.3 Comparison and Selection of Parameter-Dependency and Sampling Relationships 306 11.2.4 Creating Correlated Samples in Excel using Cholesky Factorisation 309 11.2.5 Working with Valid Correlation Matrices 313 11.2.6 Correlation of Time Series 315 11.3 Dependencies within Time Series 316 11.3.1 Geometric Brownian Motion 317 11.3.2 Mean-Reversion Models 319 11.3.3 Moving Average Models 321 11.3.4 Autoregressive Models 321 11.3.5 Co-Directional (Integrated) Processes 323 11.3.6 Random State Switching and Markov Chains 323 Part III Getting Started with Simulation in Practice Chapter 12 Using Excel/VBA for Simulation Modelling 327 12.1 Description of Example Model and Uncertainty Ranges 327 12.2 Creating and Running a Simulation: Core Steps 328 12.2.1 Using Random Values 328 12.2.2 Using a Macro to Perform Repeated Recalculations and Store the Results 330 12.2.3 Working with the VBE and Inserting a VBA Code Module 330 12.2.4 Automating Model Recalculation 331 12.2.5 Creating a Loop to Recalculate Many Times 331 12.2.6 Adding Comments, Indentation and Line Breaks 332 12.2.7 Defining Outputs, Storing Results, Named Ranges and Assignment Statements 333 12.2.8 Running the Simulation 334 12.3 Basic Results Analysis 335 12.3.1 Building Key Statistical Measures and Graphs of the Results 335 12.3.2 Clearing Previous Results 336 12.3.3 Modularising the Code 338 12.3.4 Timing and Progress Monitoring 339 12.4 Other Simple Features 339 12.4.1 Taking Inputs from the User at Run Time 339 12.4.2 Storing Multiple Outputs 340 12.5 Generalising the Core Capabilities 340 12.5.1 Using Selected VBA Best Practices 340 12.5.2 Improving Speed 341 12.5.3 Creating User-Defined Functions 342 12.6 Optimising Model Structure and Layout 343 12.6.1 Simulation Control Sheet 343 12.6.2 Output Links Sheet 344 12.6.3 Results Sheets 344 12.6.4 Use of Analysis Sheets 346 12.6.5 Multiple Simulations 348 12.7 Bringing it All Together: Examples Using the Simulation Template 350 12.7.1 Model 1: Aggregation of a Risk Register using Bernoulli and PERT Distributions 351 12.7.2 Model 2: Cost Estimation using Lognormal Distributions 352 12.7.3 Model 3: Cost Estimation using Weibull Percentile Parameters 352 12.7.4 Model 4: Cost Estimation using Correlated Distributions 353 12.7.5 Model 5: Valuing Operational Flexibility 353 12.8 Further Possible uses of VBA 354 12.8.1 Creating Percentile Parameters 354 12.8.2 Distribution Samples as User-Defined Functions 354 12.8.3 Probability Samples as User-Defined Array Functions 355 12.8.4 Correlated Probability Samples as User-Defined Array Functions 356 12.8.5 Assigning Values from VBA into Excel 358 12.8.6 Controlling the Random Number Sequence 359 12.8.7 Sequencing and Freezing Distribution Samples 363 12.8.8 Practical Challenges in using Arrays and Assignment Operations 364 12.8.9 Bespoke Random Number Algorithms 364 12.8.10 Other Aspects 364 Chapter 13 Using @RISK for Simulation Modelling 365 13.1 Description of Example Model and Uncertainty Ranges 365 13.2 Creating and Running a Simulation: Core Steps and Basic Icons 366 13.2.1 Using Distributions to Create Random Samples 368 13.2.2 Reviewing the Effect of Random Samples 369 13.2.3 Adding an Output 370 13.2.4 Running the Simulation 370 13.2.5 Viewing the Results 370 13.2.6 Results Storage 373 13.2.7 Multiple Simulations 373 13.2.8 Results Statistics Functions 374 13.3 Simulation Control: An Introduction 377 13.3.1 Simulation Settings: An Overview 377 13.3.2 Static View 377 13.3.3 Random Number Generator and Sampling Methods 379 13.3.4 Comparison of Excel and @RISK Samples 381 13.3.5 Number of Iterations 382 13.3.6 Repeating a Simulation and Fixing the Seed 382 13.3.7 Simulation Speed 383 13.4 Further Core Features 384 13.4.1 Alternate Parameters 384 13.4.2 Input Statistics Functions 384 13.4.3 Creating Dependencies and Correlations 385 13.4.4 Scatter Plots and Tornado Graphs 385 13.4.5 Special Applications of Distributions 395 13.4.6 Additional Graphical Outputs and Analysis Tools 400 13.4.7 Model Auditing and Sense Checking 405 13.5 Working with Macros and the @RISK Macro Language 405 13.5.1 Using Macros with @RISK 405 13.5.2 The @RISK Macro Language or Developer Kit: An Introduction 407 13.5.3 Using the XDK to Analyse Random Number Generator and Sampling Methods 409 13.5.4 Using the XDK to Generate Reports of Simulation Data 417 13.6 Additional In-Built Applications and Features: An Introduction 417 13.6.1 Optimisation 419 13.6.2 Fitting Distributions and Time Series to Data 420 13.6.3 MS Project Integration 421 13.6.4 Other Features 421 13.7 Benefits of @RISK over Excel/VBA Approaches: A Brief Summary 421 Index 425

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Book SynopsisA fully updated edition of the definitive guide to financial regulation In recent years, not only has the compliance field become firmly established, but it has seen staggering growth, thanks to never-ending changes in the regulatory environment. As regulation increases still further, the demand for clear guidance on navigating daily compliance issues is greater than ever. Now in its second edition, the highly successful Essential Strategies for Financial Services Compliance has been updated with the latest compliance strategies and regulatory information, making it indispensable for compliance officers, legal firms, and anyone else working with the financial services compliance function. Non-compliance represents a significant material risk for any financial services firm that fails to understand and appropriately apply regulatory standards. This Second Edition of Essential Strategies for Financial Services Compliance makes it easy to digest complex infTable of ContentsAcknowledgements ix List of Abbreviations xi Preface (Or, How Not to be an Execution Officer) xvii Foreword to the First Edition xxi Foreword to the Second Edition xxiii Part One Commentary and Context 1 Chapter 1 The UK Regulatory Environment 3 1.1 Regulation in the UK 3 1.2 Different regulatory regimes in the UK 5 1.3 The FSMA regime for investment business 5 1.4 The UK’s anti-money laundering regime 11 1.5 The UK’s takeover regime 13 1.6 Other UK regulatory regimes 13 Chapter 2 The Compliance Function 15 2.1 Compliance as a concept 16 2.1.1 What is Compliance? 16 2.1.2 Who is responsible for Compliance? 19 2.1.3 Different Compliance models 21 2.2 The Compliance Officer 22 2.2.1 Key responsibilities of the Compliance Officer 22 2.2.2 What are the characteristics of a good Compliance Officer? 24 2.3 Compliance: good and bad 26 2.3.1 What are the characteristics of a good Compliance regime? 26 2.3.2 What are the characteristics of a bad Compliance regime? 30 2.3.3 Danger signals 32 2.4 The argument for Compliance 33 2.4.1 What are the benefits of Compliance, regulation and the Compliance Officer? 33 2.4.2 What are the costs of Compliance? 40 2.5 Compliance as a profession 41 Chapter 3 The Compliance Contract 45 3.1 The Compliance Mission Statement 46 3.2 The Compliance Charter 47 3.2.1 Contents of a Compliance Charter 47 Chapter 4 Mapping Your Compliance Universe 53 Chapter 5 Mapping Your Corporate Universe 57 5.1 Operating entities 57 5.2 Business units 61 5.3 External Service Providers 66 Chapter 6 Regulators and Other Industry Bodies 69 6.1 Exchanges 70 6.2 Clearing houses 76 Chapter 7 The Legislative Environment and Rules Mapping 77 7.1 Rules mapping 79 7.2 Detailed rules mapping for your own firm 79 7.3 Rules mapping for an overseas jurisdiction 82 Chapter 8 Financial Products, Services and Documentation 85 8.1 Products and services 85 8.2 Understanding products and services in context 86 8.3 Documentation 88 Chapter 9 Compliance Outside the Compliance Department 91 9.1 The Front Office 92 9.2 The Back Office and other support functions 93 Chapter 10 Key Compliance Department Activities 95 10.1 Routine activities 95 10.2 Off-Piste Compliance: advisory work 96 10.2.1 Understanding what it is all about 97 10.2.2 What are the regulatory implications? 99 10.2.3 Your plan of attack 105 10.3 Compliance conundrums 107 10.4 Dealing with a lack of cooperation 108 Chapter 11 Comply or Die – When Things Go Wrong 111 11.1 Someone’s watching you 113 11.2 The regulators have ‘hot buttons’ 118 11.3 What the regulators can do to find out more 120 11.4 What to do if you are being investigated or are subject to disciplinary action 122 11.5 Consequences of rule breaches and other regulatory misdemeanours 124 Appendices A Routine Compliance Activities 131 B Routine Anti-Money Laundering Activities 207 C Compliance in the Front Office 221 D Compliance for Senior Management, the Back Office and Other Support Departments 265 E Compliance Conundrums – What Would You Do? 291 Part Two Compliance Perspectives 333 Box 1: Acting on Principle 335 Box 2: ARROW 339 Box 3: Basel III and CRD IV 340 Box 4: Extradition 342 Box 5: Financial Services Action Plan 343 Box 6: Going Global? 345 Box 7: Industry Guidance 347 Box 8: L&G v. the FSA – Who are the Real Winners and Losers? 349 Box 9: Markets in Financial Instruments Directive 350 Box 10: Money Laundering Statistics 353 Box 11: Prudential Regulation of Capital Adequacy 354 Box 12: The Enforcement Process – Getting on the Wrong Side of the Regulators 356 Box 13: The Laundering Process 357 Box 14: Treating Customers Fairly 358 Index 361

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Book SynopsisAn accessible and thorough review of the international financial markets Life in the Financial MarketsHow They Really Work And Why They Matter To Youoffers the financial services professional, and anyone interested in knowing more about the profession, an entertaining and comprehensive analysis of the financial markets and the financial services industry. Written by Daniel Lacallea noted portfolio manager with EcoFin and well-known media personalitythe book goes beyond a simple summary and offers solid advice on the future of the global financial markets. This great resource also includes a review of effective strategies and forecasts the trends that represent potential opportunities for investors. The book reviews the recent history of the financial crisis and includes information on hot topics such as derivatives and high frequency trading. An in-depth section on investment banking is written from the perspective of a successful practitioner and Table of ContentsPreface xi Acknowledgements xiii Part I The financial markets: Who they are, what they are, how they work 1 Chapter 1 “Thinking against the box” 3 Chapter 2 The financial market: Complex and volatile 9 Chapter 3 Welcome to London 25 Chapter 4 The market doesn’t attack, it defends itself 37 Chapter 5 The Lehman crisis and the change in mentality: Habits and customs 43 Chapter 6 Traders, “robots” and speculators 55 Part II The debt crisis and the great lie of free money 71 Chapter 7 The debt market 73 Chapter 8 Welcome, investors! 83 Chapter 9 The European and sovereign debt crises 85 Chapter 10 Credit-rating agencies 95 Chapter 11 When the problem only seemed to be Greece 99 Chapter 12 Why was the break-up of the euro feared? 105 Chapter 13 Evil speculators: Someone else is to blame 111 Chapter 14 Snowballing debt 115 Chapter 15 The damned risk premium 119 Chapter 16 Derivatives: Weapons of mass destruction? 125 Chapter 17 The illusion of easy money: The investment banks and the great deception 131 Chapter 18 Stimulus policies and kicking the can down the road 137 Chapter 19 Lies and mistakes of the debt crisis 147 Chapter 20 Economic liberty and austerity 165 Part III Hedge funds and the stock market 173 Chapter 21 Hedge funds: The bad guys of the economic crisis? 175 Chapter 22 Active management 181 Chapter 23 Critics and reality 185 Chapter 24 Strategies 187 Chapter 25 Building portfolios 193 Chapter 26 Closeness makes the heart grow fonder: How to identify investment opportunities 197 Chapter 27 Short positions in a portfolio 203 Chapter 28 Banning short selling and the Tobin tax 207 Chapter 29 Recommendations 211 Chapter 30 The long-term illusion… and the opportunity of value investing 223 Chapter 31 A strange case: Companies with politicians 231 Chapter 32 Communication with the market and attractiveness to investors 239 Chapter 33 Why invest in a hedge fund? 245 Chapter 34 Ten golden rules for investing 249 Chapter 35 “Warning” phrases and comments 253 Chapter 36 Books and films about the market 259 Chapter 37 A day in the life of an investment fund 263 Chapter 38 Farewell 271 Euro-crisis and “exceptions” 275 Recommended reading 285 Index 287

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Book SynopsisDevise an organized, proactive approach to financial compliance Financial Regulation and Compliance provides detailed, step-by-step guidance for the compliance professional seeking to manage overlapping and new regulatory responsibilities. Written by David Kotz, former Inspector General of the SEC with additional guidance provided by leading experts, this book is a one-stop resource for navigating the numerous regulations that have been enacted in response to the financial crisis. You''ll learn how best to defend your organization from SEC, CFTC, FINRA, and NFA Enforcement actions, how to prepare for SEC, FINRA, and NFA regulatory examinations, how to manage the increasing volume of whistleblower complaints, how to efficiently and effectively investigate these complaints, and more. Detailed discussion of the regulatory process explains how aggressive you should be in confronting federal agencies and self-regulatory organizations and describes how commenting on issues Table of ContentsForeword xiii Preface xvii Acknowledgments xxiii About the Author xxv CHAPTER 1 Jurisdiction of Regulators – Who Regulates Whom and What 1 1.1 Federal Financial Regulatory Structure 2 1.2 The Securities and Exchange Commission (SEC) 3 1.3 The Financial Industry Regulatory Authority (FINRA) 6 1.4 The Commodity Futures Trading Commission (CFTC) 8 1.5 The National Futures Association (NFA) 10 1.6 The Department of Justice (DOJ) 12 1.7 Recent Regulatory Failures to Uncover Fraud 14 1.8 Expert Advice on Overlapping Regulations 19 CHAPTER 2 How to Strengthen Governance and Compliance in Light of New Regulations 23 2.1 Dodd-Frank Act’s Impact on Governance and Compliance 25 2.2 Managing Executive Compensation 29 2.3 Creating Effective Policies and Procedures 30 2.4 Ensuring Accountability within an Organization 32 2.5 Red Flags of an Unethical Culture 33 2.6 Ethical Decision-Making 34 CHAPTER 3 How to Manage Whistleblowers’ Complaints 37 3.1 Oversight and Failures of the SEC’s Whistleblower Program 37 3.2 The Dodd-Frank Act’s Restructuring of the SEC’s Whistleblower Program 41 3.3 Whistleblower Complaints to the SEC since the Restructuring of Its Program 43 3.4 The CFTC’s New Whistleblower Program 45 3.5 Significant U.S. Supreme Court Decision on Whistleblower Complaints 46 3.6 Managing Complaints Brought to Internal Compliance Officials 47 3.7 Putting Appropriate Whistleblower Policies and Procedures in Place 51 3.8 Effect of the SEC and CFTC’s New Whistleblower Programs 52 CHAPTER 4 How to Defend SEC Examinations 55 4.1 SEC Authority to Conduct Examinations 55 4.2 SEC’s Office of Compliance Inspections and Examinations (OCIE) 57 4.3 Types of SEC OCIE Exams 57 4.4 Preparation for the Exams 58 4.5 Process of Examinations 60 4.6 How the SEC Exam Concludes 65 4.7 SEC OCIE Examination Trends 66 4.8 Not Underestimating the SEC Examiners 67 CHAPTER 5 How to Defend FINRA Examinations 69 5.1 FINRA Qualification Standards and Rules and Regulations 70 5.2 FINRA’s Risk-Based Approach 71 5.3 FINRA’s Regulatory and Examination Priorities 71 5.4 Differences between FINRA and SEC Exams 78 5.5 Types of FINRA Exams 79 5.6 Conduct of FINRA Exams 80 5.7 How the FINRA Exam Concludes 83 5.8 Educating the FINRA Examiners 84 CHAPTER 6 How to Defend an NFA Examination 87 6.1 Types of Entities under the Jurisdiction of the NFA 87 6.2 Impact of the Dodd-Frank Act 90 6.3 NFA Examination Process 90 6.4 Preparing for an NFA Exam 92 6.5 Length and Conduct of the NFA Exam 93 6.6 How the NFA Exam Concludes 95 6.7 CFTC Examinations 96 6.8 Focusing on Strict Compliance with the Regulations 97 CHAPTER 7 How to Defend SEC Enforcement Actions 99 7.1 SEC’s Law Enforcement Function 99 7.2 How SEC Enforcement Actions are Triggered 101 7.3 Commencement of an SEC Enforcement Action 102 7.4 Converting the Inquiry to a Formal Investigation 103 7.5 Discovery Conducted by the SEC 104 7.6 The SEC Enforcement’s “Wells” Process 105 7.7 Use of Experts in SEC Enforcement Proceedings 108 7.8 Settlement Discussions 109 7.9 Trends in SEC Enforcement 110 7.10 Minimizing Exposure in an SEC Enforcement Case 114 CHAPTER 8 How to Defend FINRA Enforcement Actions 115 8.1 FINRA Disciplinary Actions 116 8.2 FINRA Enforcement Process 123 8.3 FINRA’s Formal Proceeding 125 8.4 Challenges of FINRA Enforcement Process 125 8.5 Conduct of the FINRA Hearing 126 8.6 Settlement Possibilities 128 8.7 Disciplinary Sanctions Available to FINRA 128 8.8 Right to Appeal Decision of Hearing Panel 129 8.9 Recent Trends in FINRA Enforcement 129 8.10 Mounting an Aggressive Defense 130 CHAPTER 9 How to Defend CFTC Enforcement Actions 131 9.1 Increased Aggressiveness on the Part of CFTC Enforcement 131 9.2 Types of Enforcement Actions Brought by the CFTC 133 9.3 Triggers for CFTC Enforcement Actions 137 9.4 CFTC Enforcement Process 137 9.5 Differences between CFTC and SEC Enforcement Proceedings 138 9.6 The CFTC “Wells” Process 139 9.7 CFTC Enforcement’s Use of Experts 140 9.8 Settlement Discussions 141 9.9 CFTC Enforcement’s Use of Administrative Proceedings 142 9.10 Trends in CFTC Enforcement 142 9.11 Flawed Assumptions about CFTC Enforcement Process 143 9.12 Strategies for CFTC Enforcement Cases 144 CHAPTER 10 How to Defend NFA Enforcement Actions 147 10.1 NFA Disciplinary Actions 147 10.2 How Complaints are Triggered 148 10.3 Investigative Process 149 10.4 Settlement 150 10.5 The Hearing Panel and Hearing Committee 151 10.6 Conduct of the Hearing 152 10.7 Written Decision after the Hearing 153 10.8 Appeal of an Adverse Decision 153 10.9 The MRA Procedure 154 10.10 Types of Penalties Assessed by the NFA 155 10.11 Number and Types of Disciplinary Actions 156 10.12 Trends in NFA Enforcement 159 10.13 Preparing a Defense 159 CHAPTER 11 How to Participate in the Regulatory Comment Process 161 11.1 Dodd-Frank Rulemaking 161 11.2 SEC Rulemaking Process 162 11.3 Candidates for Comments 163 11.4 Role of Trade Association in Comment Process 163 11.5 Content of the Comment Letter 165 11.6 Approaches to an Effective Comment Letter 168 11.7 Significance of the Economic Impact of Proposed Regulations 168 11.8 Requesting Meetings with Agency Officials 170 11.9 Submitting Comments after the Deadline 171 11.10 Learning about Rulemakings 171 11.11 Assistance from Outside Counsel 172 CHAPTER 12 How to Defend FCPA Claims 173 12.1 FCPA Provisions 173 12.2 FCPA Enforcement Authority 174 12.3 Violations of the FCPA 175 12.4 Penalties for Violating the FCPA 176 12.5 FCPA Exemptions 176 12.6 DOJ/SEC Guidance 177 12.7 The U.K. Bribery Act 179 12.8 Devising Effective Compliance Programs 180 12.9 Training on Compliance Standards 181 12.10 Achieving a Culture of Compliance 181 12.11 Risk-based Due Diligence and Monitoring 182 12.12 Conducting FCPA Compliance Assessments 183 12.13 Importance of Risk Assessment 184 12.14 Management of Third Parties 185 12.15 Conducting Due Diligence on Acquisition Targets 187 12.16 The Triggers for an FCPA Enforcement Action 188 12.17 Self-disclosing Violations 189 12.18 Reducing Exposure 190 CHAPTER 13 How to Conduct Internal Investigations 191 13.1 Limiting Exposure through Effective Internal Investigations 191 13.2 Lessons Learned from High-Profile Investigations 192 13.3 Commencing the Internal Investigation 193 13.4 Retaining an Outside Investigator 194 13.5 Initial Steps of Investigation Process 195 13.6 Methods of Obtaining Information 195 13.7 Collecting Documents 196 13.8 Strategies for Conducting Interviews 197 13.9 Briefing Management during an Investigation 200 13.10 Drafting the Investigative Report 201 13.11 Incorporating Recommendations for Improvement 201 13.12 Protecting Files Associated with Internal Investigation 202 13.13 Retaining the Investigative Report 204 CHAPTER 14 Conclusion 205 14.1 Overlapping Jurisdictions after the Dodd-Frank Act 206 14.2 Regulatory Failures Post-Financial Crisis 209 14.3 Improving of Coordination between Regulatory Agencies 210 14.4 Understanding the Regulatory Climate 212 About the Website 215 Index 217

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Book SynopsisNavigate cross border M&A for a flawless integration execution Cross Border Mergers and Acquisitions is a practical toolbox for corporate strategy and development professionals dealing with the many challenges involved in cross border M&A. With a detailed discussion of key market specifics and broadly-applicable critical insight, this book demystifies the cross border M&A process and provides a host of practical tools that ease strategic implementation. A geographical overview explains the trends in major M&A markets including Australia, Brazil, China, Russia, the U.K., and the U.S., and industry-specific guidance covers Financial Services, Aerospace and Defense, Health Care, Tech, Manufacturing, and more. Leading experts relate lessons learned while managing actual PMI (post merger integration)processes, and the discussion of cultural impacts and specific situational needs provides deep insight into the type of leadership a flawless integration requires. CorporTable of ContentsPreface xi About the Author xv About the Contributors xvii Part One Cross-Border Strategy and Deal Planning Chapter 1 Cross-Border Deal Evolution and Rationale 3Gilles Ourvoie The Evolution of M&A and Cross-Border Deals 4 Strategic Motives 23 Factors Influencing Cross-Border Deals 28 Chapter Checklist 42 Chapter 2 Cross-Border M&A Strategy and Deal Planning Essentials 45Michael Holm M&A Strategy Overview 45 Components of Cross-Border M&A Strategy 50 Responsibilities and Accountability in the Organization 53 Target Company Criteria 56 Prepare and Plan for a Cross-Border Deal 59 Chapter Checklist 63 Chapter 3 Legal, Financial, Social, and Political Interdependencies with Cross-Border Integration 65Andrew Scola Introduction 65 Legal Impact 68 Financial Impact 78 Social Impact 81 Political Implications 82 Managing External Risks and Issues 84 Chapter Checklist 85 Chapter 4 Trends and Leading Practices in Global M&A 87Thomas Kessler Global Transaction Trends in the Post–Financial Crisis World 88 The M&A Life Cycle 89 Developing a Succinct Cross-Border Transaction Strategy 92 Matching M&A Strategy with Transaction Reality 98 Selecting the Right Candidate 102 Planning Cross-Border Due Diligence 105 Defining Successful Options and Strategies for Mitigating Execution Risk in Cross-Border M&A Transactions 107 Chapter Checklist 110 Chapter 5 Cross-Border M&A: Region- and Country-Specific Trends and Deal Planning Tips 111Michael Holm Introduction 111 Some Useful Cross-Border Insights and Tips 118 Understanding Corporate versus Country Cultures When Doing Cross-Border M&A Deals 120 Chapter Checklist 123 Part Two Cross-Border Culture and Leadership Alignment Chapter 6 Leading during Cross-Border M&A 127Scott Whitaker Why Leadership is So Critical during M&A 128 Leadership Responsibilities of Acquiring Companies 129 Leadership Responsibilities of Target Companies 131 Leadership Responsibilities of the Integration Management Office 133 Symptoms of A Leadership Void and How to Address Them 134 Leadership Leading Practices 136 Chapter Checklist 137 Chapter 7 The Role of Culture in Cross-Border M&A 139Christophe Van Gampelaere Understanding Cultural Management 139 Cultural Awareness 141 Strategy and Culture 149 Implementation 156 Chapter Checklist 164 Chapter 8 Managing National Reactions and Sovereignty Issues 167Gilles Ourvoie The Ambivalent Relation between Cross-Border M&A and National Interest 168 Inward Cross-Border Deals: Key Restrictions 174 International Differences and Similarities 189 How to Deal with Sensitive Cross-Border Transactions 190 Conclusion 196 Chapter Checklist 198 Part Three Cross-Border Integration, Planning, and Execution Chapter 9 Managing Pre–PMI Due Diligence 203Eitan Grosbard Introduction 204 Traditional Due Diligence 206 Integrated Due Diligence—360-Degree Due Diligence 219 Conducting the Due Diligence Process 224 Chapter Checklist 228 Chapter 10 Ramping Up an Integration Management Office and Day One in Cross-Border Deals 229Stefan Hofmeyer The Impact of an Integration Management Office on Cross-Border Integration 229 Understanding the Integration Management Office 232 Establishing and Executing the Integration Management Office 237 Day One: Starting the Integrate and Analyze Phases 247 Chapter Checklist 250 Chapter 11 Integration Decision Making and Process Strategy in Cross-Border Deals 251Stefan Hofmeyer Preparation and Localization of Decision Making 251 Primary Decision-Making Tools, Approaches, and Leading Practices 257 Leading Practices for Global Integration Process Change 263 Kaizen-Based Leading Practices 266 Catching the Wave of Change 268 Chapter Checklist 270 Chapter 12 Post-Merger Integration Process, Methodologies, and Tools 273Thomas Kessler The M&A Life Cycle 274 Strategic Selection 275 Integration Due Diligence 279 Pre-Signing 281 Post-Signing 283 Post-Closing 293 Chapter Checklist 298 Chapter 13 Managing Post-Merger Integration Globally 299Eitan Grosbard Introduction 300 Due Diligence 305 Relate 306 Analyze 316 Integrate 318 Chapter Checklist 319 Chapter 14 Country-Specific Trends and Tips for Integration Planning 321Christophe Van Gampelaere Opening 321 A Cultural Overview of the Most Active M&A Regions 323 Anglo-Saxon Regions 324 Asian Countries 328 European Countries and Regions 334 Summary 337 Chapter Checklist 338 Chapter 15 M&A and Post-Merger Integration Considerations for China and Japan 339Robert Ping Yu, Makoto Ideno, and Masaki Yamamoto Overview of M&A Trends in China 339 Issues and Approaches for Inbound M&A in China 343 Issues and Approaches for Outbound M&A from China 353 Chapter Checklist for Part 1: China 356 Overview of M&A and Post-Merger Integration in Japan 357 Issues and Approaches for Outbound M&A and Post-Merger Integration from Japan 358 Issues and Approaches for Inbound M&A and Post-Merger Integration in Japan 361 Chapter Checklist for Part 2: Japan 365 Chapter 16 Cross-Border Synergy Program Management 367Michael Holm Introduction 367 Defining and Validating Synergies 371 Structuring Synergy Programs 376 Critical Actions to Capture Synergies 378 Post-Closing Due Diligence 384 Chapter Checklist 388 Part Four Unique Cross-Border M&A Transaction Scenarios Chapter 17 Managing Carve-Outs and Transition Service Agreements 391Andrew Scola Introduction to Divestitures and Carve-Outs 391 The Context of Divestiture Impacts Carve-Out Processes 392 Divestiture Program Overview 394 Planning a Carve-Out and Transition 395 Program Structure 398 Managing the Transition Service Agreement 407 Chapter Checklist 409 Chapter 18 Joint Ventures 411Thomas Kessler The Joint Venture Life Cycle 411 Chapter Checklist 423 Index 425

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Book SynopsisMoney and Finance After the Crisis provides a critical multi-disciplinary perspective on the post-crisis financial world in all its complexity, dynamism and unpredictability. Contributions illuminate the diversity of ways in which money and finance continue to shape global political economy and society. A multidisciplinary collection of essays that study the geographies of money and finance that have unfolded in the wake of the financial crisis Contributions discuss a wide range of contemporary social formations, including the complexities of modern debt-driven financial markets Chapters critically explore proliferating forms and spaces of financial power, from the realms of orthodox finance capital to biodiversity conservation Contributions demonstrate the centrality of money and finance to contemporary capitalism and its political and cultural economies Table of ContentsSeries Editors’ Preface vii Notes on Contributors ix 1 Money and Finance After the Crisis: Taking Critical Stock 1Brett Christophers, Andrew Leyshon and Geoff Mann Part I Financial Imaginaries 41 2 From Time–Space Compression to Spatial Spreads: Situating Nationality in Global Financial Liquidity 43Dick Bryan, Michael Rafferty and Duncan Wigan 3 Financial Flows: Spatial Imaginaries of Speculative Circulations 69Paul Langley 4 Making Financial Instability Visible in Space as Well as Time: Towards a More Keynesian Geography 91Gary A. Dymski Part II Financial Practices 117 5 Banks in the Frontline: Assembling Space/Time in Financial Warfare 119Marieke de Goede 6 Undoing Apartheid? From Land Reform to Credit Reform in South Africa 145Deborah James Part III Financialization 169 7 Infrastructure’s Contradictions: How Private Finance is Reshaping Cities 171Phillip O’Neill 8 The Financialization of Nature Conservation? 191Jessica Dempsey 9 Financialization of Singaporean Banks and the Production of Variegated Financial Capitalism 217Karen P.Y. Lai and Joseph A. Daniels Index 245

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Book SynopsisA deeply insightful guide to goal-based financial planning and wealth management Planning a Successful Future empowers advisors and clients to take control of their money and manage their income to achieve their financial goals.Table of ContentsAcknowledgments ix Preface xi Introduction 1 Creating Your Financial Plan 2 How Does This Relate to Investing? 3 Are You Meeting Your Goals? 3 Obstacles to Reaching Financial Goals 4 Fuel Your Goals with Income 6 Developing Your Plan 7 Attaining Peace of Mind 8 Chapter #1 What Do You Want? 9 Put It in Writing 9 Six Steps to Financial Freedom 10 Start Planning 13 Other Goals 18 Review Your Plans with Your Family Members and Advisors 18 You Know What You Want 19 Chapter #2 What Do You Have Now? 21 Materials 22 Information You’ll Need 22 Filing the Information 22 Looking for Missing Financial Information 24 Understand What You Have 25 Cash Flow Planning: When, Where, and How Much? 26 Plan Your Future Cash Flow 34 Plan Your Cash Reserve 34 Balance Sheet: What Is Your Financial Worth? 43 Chapter #3 Retirement 51 Review Your Retirement Goals 52 Your Cash Flow Worksheet Is Crucial 52 Assumptions for Retirement Planning 53 But What About . . .? 62 Chapter #4 Planning to Send Your Children to College 67 How Much Will a College Degree Cost? 67 Where Will You Find the Money? 68 Review Your Goals 70 Who Controls the Money? 71 Effects of Tax Laws on Your Education Goal 72 Income Shifting to Save Taxes 75 Chapter #5 A House Is Not Always a Good Investment 81 The True Cost of Home Ownership 82 A House as an Investment 85 Shopping for a Mortgage 90 Saving Money on Your Mortgage 94 Buying and Selling 98 Chapter #6 Insurance 101 Types of Life Insurance 101 My Recommendation 105 Types of Insurance Companies 106 Tax Considerations 106 Disability Insurance 109 Chapter #7 Liabilities 115 Good Reasons to Borrow Money 115 Bad Reasons to Borrow 116 Types of Credit 117 Chapter #8 Taxes 125 Four Methods for Reducing Taxes 125 Tax Tools 131 Chapter #9 Investments 137 Financial Basics 138 How the Financial Cycle Works 141 Your Investment Goal 143 Evaluating Risk 143 Investment Triangle 146 Investment Strategy 148 Investment Choices 152 Common Investment Mistakes 160 Other Investments 165 Chapter #10 How to Find and Work with a Financial Planner 171Tyler V. Cook What Is a Financial Planner? 171 Exposing the Myths 174 How to Find a Financial Planner 175 Chapter #11 Financial Planning for Women 179Kimberly E. Wirtz Learn About Family Finances While You Can 180 Understand Your Assets, Where They Are, and Who Legally Owns Them 182 Consolidate Accounts 182Name Primary and Backup Beneficiaries 183 Understand Pension and Social Security Arrangements 184 You Need a Will, a Living Will, and Two Powers of Attorney 185 Both Spouses Need Life and Disability Insurance 186 Balancing It All 188 Chapter #12 Financial Planning for Business Owners 189Stephen Lukan Business Structure 190 Turning a Hobby into a Business 191 Tax and Retirement Planning 192 Building a Team 193 Business Partners 194 Succession Planning 195 Chapter #13 Financial Planning for Physicians 197Bhagwan Satiani Reasons for Bad Financial Decisions 198 Results of Financial Mistakes 198 Chapter #14 Learning from Professional Athletes’ Mistakes 207Lawrence Funderburke Holes in Their Pockets 208 Inexperience Hurts 209 Learn from Their Mistakes 209 About the Contributors 215 About the Author 217 Index 219

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Book SynopsisA must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk coTable of ContentsPreface to the Second Edition xi Preface xiii Abbreviations xv About the Companion Website xix PART I MOTIVATION 1 1 Introduction 3 Reference 5 2 A brief course in R 6 2.1 Origin and development 6 2.2 Getting help 7 2.3 Working with R 10 2.4 Classes, methods, and functions 12 2.5 The accompanying package FRAPO 22 References 28 3 Financial market data 29 3.1 Stylized facts of financial market returns 29 3.1.1 Stylized facts for univariate series 29 3.1.2 Stylized facts for multivariate series 32 3.2 Implications for risk models 35 References 36 4 Measuring risks 37 4.1 Introduction 37 4.2 Synopsis of risk measures 37 4.3 Portfolio risk concepts 42 References 44 5 Modern portfolio theory 46 5.1 Introduction 46 5.2 Markowitz portfolios 47 5.3 Empirical mean-variance portfolios 50 References 52 PART II RISK MODELLING 55 6 Suitable distributions for returns 57 6.1 Preliminaries 57 6.2 The generalized hyperbolic distribution 57 6.3 The generalized lambda distribution 60 6.4 Synopsis of R packages for GHD 66 6.4.1 The package fBasics 66 6.4.2 The package GeneralizedHyperbolic 67 6.4.3 The package ghyp 69 6.4.4 The package QRM 70 6.4.5 The package SkewHyperbolic 70 6.4.6 The package VarianceGamma 71 6.5 Synopsis of R packages for GLD 71 6.5.1 The package Davies 71 6.5.2 The package fBasics 72 6.5.3 The package gld 73 6.5.4 The package lmomco 73 6.6 Applications of the GHD to risk modelling 74 6.6.1 Fitting stock returns to the GHD 74 6.6.2 Risk assessment with the GHD 77 6.6.3 Stylized facts revisited 80 6.7 Applications of the GLD to risk modelling and data analysis 82 6.7.1 VaR for a single stock 82 6.7.2 Shape triangle for FTSE 100 constituents 84 References 86 7 Extreme value theory 89 7.1 Preliminaries 89 7.2 Extreme value methods and models 90 7.2.1 The block maxima approach 90 7.2.2 The rth largest order models 91 7.2.3 The peaks-over-threshold approach 92 7.3 Synopsis of R packages 94 7.3.1 The package evd 94 7.3.2 The package evdbayes 95 7.3.3 The package evir 96 7.3.4 The packages extRemes and in2extRemes 98 7.3.5 The package fExtremes 99 7.3.6 The package ismev 101 7.3.7 The package QRM 101 7.3.8 The packages Renext and RenextGUI 102 7.4 Empirical applications of EVT 103 7.4.1 Section outline 103 7.4.2 Block maxima model for Siemens 103 7.4.3 r-block maxima for BMW 107 7.4.4 POT method for Boeing 110 References 115 8 Modelling volatility 116 8.1 Preliminaries 116 8.2 The class of ARCH models 116 8.3 Synopsis of R packages 120 8.3.1 The package bayesGARCH 120 8.3.2 The package ccgarch 121 8.3.3 The package fGarch 122 8.3.4 The package GEVStableGarch 122 8.3.5 The package gogarch 123 8.3.6 The package lgarch 123 8.3.7 The packages rugarch and rmgarch 125 8.3.8 The package tseries 127 8.4 Empirical application of volatility models 128 References 130 9 Modelling dependence 133 9.1 Overview 133 9.2 Correlation, dependence, and distributions 133 9.3 Copulae 136 9.3.1 Motivation 136 9.3.2 Correlations and dependence revisited 137 9.3.3 Classification of copulae 139 9.4 Synopsis of R packages 142 9.4.1 The package BLCOP 142 9.4.2 The package copula 144 9.4.3 The package fCopulae 146 9.4.4 The package gumbel 147 9.4.5 The package QRM 148 9.5 Empirical applications of copulae 148 9.5.1 GARCH–copula model 148 9.5.2 Mixed copula approaches 155 References 157 PART III PORTFOLIO OPTIMIZATION APPROACHES 161 10 Robust portfolio optimization 163 10.1 Overview 163 10.2 Robust statistics 164 10.2.1 Motivation 164 10.2.2 Selected robust estimators 165 10.3 Robust optimization 168 10.3.1 Motivation 168 10.3.2 Uncertainty sets and problem formulation 168 10.4 Synopsis of R packages 174 10.4.1 The package covRobust 174 10.4.2 The package fPortfolio 174 10.4.3 The package MASS 175 10.4.4 The package robustbase 176 10.4.5 The package robust 176 10.4.6 The package rrcov 178 10.4.7 Packages for solving SOCPs 179 10.5 Empirical applications 180 10.5.1 Portfolio simulation: robust versus classical statistics 180 10.5.2 Portfolio back test: robust versus classical statistics 186 10.5.3 Portfolio back-test: robust optimization 190 References 195 11 Diversification reconsidered 198 11.1 Introduction 198 11.2 Most-diversified portfolio 199 11.3 Risk contribution constrained portfolios 201 11.4 Optimal tail-dependent portfolios 204 11.5 Synopsis of R packages 207 11.5.1 The package cccp 207 11.5.2 The packages DEoptim, DEoptimR, and RcppDE 207 11.5.3 The package FRAPO 210 11.5.4 The package PortfolioAnalytics 211 11.6 Empirical applications 212 11.6.1 Comparison of approaches 212 11.6.2 Optimal tail-dependent portfolio against benchmark 216 11.6.3 Limiting contributions to expected shortfall 221 References 226 12 Risk-optimal portfolios 228 12.1 Overview 228 12.2 Mean-VaR portfolios 229 12.3 Optimal CVaR portfolios 234 12.4 Optimal draw-down portfolios 238 12.5 Synopsis of R packages 241 12.5.1 The package fPortfolio 241 12.5.2 The package FRAPO 243 12.5.3 Packages for linear programming 245 12.5.4 The package PerformanceAnalytics 249 12.6 Empirical applications 251 12.6.1 Minimum-CVaR versus minimum-variance portfolios 251 12.6.2 Draw-down constrained portfolios 254 12.6.3 Back-test comparison for stock portfolio 260 12.6.4 Risk surface plots 265 References 272 13 Tactical asset allocation 274 13.1 Overview 274 13.2 Survey of selected time series models 275 13.2.1 Univariate time series models 275 13.2.2 Multivariate time series models 281 13.3 The Black–Litterman approach 289 13.4 Copula opinion and entropy pooling 292 13.4.1 Introduction 292 13.4.2 The COP model 292 13.4.3 The EP model 293 13.5 Synopsis of R packages 295 13.5.1 The package BLCOP 295 13.5.2 The package dse 297 13.5.3 The package fArma 300 13.5.4 The package forecast 301 13.5.5 The package MSBVAR 302 13.5.6 The package PortfolioAnalytics 304 13.5.7 The packages urca and vars 304 13.6 Empirical applications 307 13.6.1 Black–Litterman portfolio optimization 307 13.6.2 Copula opinion pooling 313 13.6.3 Entropy pooling 318 13.6.4 Protection strategies 324 References 334 14 Probabilistic utility 339 14.1 Overview 339 14.2 The concept of probabilistic utility 340 14.3 Markov chain Monte Carlo 342 14.3.1 Introduction 342 14.3.2 Monte Carlo approaches 343 14.3.3 Markov chains 347 14.3.4 Metropolis–Hastings algorithm 349 14.4 Synopsis of R packages 354 14.4.1 Packages for conducting MCMC 354 14.4.2 Packages for analyzing MCMC 358 14.5 Empirical application 362 14.5.1 Exemplary utility function 362 14.5.2 Probabilistic versus maximized expected utility 366 14.5.3 Simulation of asset allocations 369 References 375 Appendix A Package overview 378 A.1 Packages in alphabetical order 378 A.2 Packages ordered by topic 382 References 386 Appendix B Time series data 391 B.1 Date/time classes 391 B.2 The ts class in the base package stats 395 B.3 Irregularly spaced time series 395 B.4 The package timeSeries 397 B.5 The package zoo 399 B.6 The packages tframe and xts 401 References 404 Appendix C Back-testing and reporting of portfolio strategies 406 C.1 R packages for back-testing 406 C.2 R facilities for reporting 407 C.3 Interfacing with databases 407 References 408 Appendix D Technicalities 411 Reference 411 Index 413

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Book SynopsisA global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey Table of ContentsPreface xi Acknowledgments xvii CHAPTER 1 Introduction 1 Banks and Risk Management 1 Evolution of Bank Capital Regulation 4 Creating Value from Risk Management 9 Financial Risk Systems 10 Risk Analytics 11 Risk Infrastructure 13 Risk Technology 15 Model Risk Management 17 PART ONE Market Risk CHAPTER 2 Market Risk with the Normal Distribution 23 Linear Portfolios 24 Basic Model 24 Risk Measures 28 Risk Contributions 31 Estimating the Covariance Matrix of Risk Factors 39 Distribution of Risk Measures 40 Probabilistic Stress Testing 41 Quadratic Portfolios 43 Quadratic Portfolio Representation 44 Quadratic Portfolio Distribution 50 Calculation of Risk Measures for the Quadratic Portfolio 51 Simulation-Based Valuation 53 Example of Barrier Stock Options and Position Nonlinearity 54 Simulation from the Multivariate Normal Distribution 56 Risk Factor Dimension Reduction 60 Incorporating Model Estimation Error in the Simulation Scheme 65 Variance Reduction by Importance Sampling 66 Reducing Pricing Time 69 CHAPTER 3 Advanced Market Risk Analysis 75 Risk Measures, Risk Contributions, and Risk Information 75 VaR Interval Estimation 76 Coherent Measures of Risk 79 Simulation-Based Risk Contributions 80 Risk Information Measures 88 Risk Distortion Measures 93 Modeling the Stylized Facts of Financial Time Series 97 Univariate Time Series 97 Multivariate Time Series 110 Model Validation and Backtesting 122 A Multivariate Model of Risk Factor Returns 127 Time Scaling VaR and VaR with Trading 134 Time Aggregation of VaR with Constant Portfolios 134 Time Aggregation of VaR with Trading 135 Market Liquidity Risk 136 Closeout Time with No Liquidity Cost 137 A Note on General Market Illiquidity Models 140 Scenario Analysis and Stress Testing 142 Portfolio Sensitivity Analysis 143 Systematic Portfolio Stress Tests 143 Hypothetical Scenario from Reverse Stress Testing 147 Integration of Stress and Model Analysis 154 Portfolio Optimization 155 Portfolio Mean Risk Optimization 156 Cash Flow Replication 161 Developments in the Market Risk Internal Models Capital Regulation 165 PART TWO Credit Risk CHAPTER 4 Portfolio Credit Risk 171 Issuer Credit Risk in Wholesale Exposures and Trading Book 174 Market Pricing of Corporate Bonds 174 Merton’s Structural Model for Corporate Bond Pricing 178 The Multivariate Merton Model 185 Applied Portfolio Migration and Default Risk Models 187 Economic Capital for a Portfolio of Traded Bonds 230 Credit Models for the Banking Book 235 The Binomial Loss Model 236 Credit Transition Score Models 242 Simulation of State Transitions and Markov Iteration 254 Mortgage Portfolio Risk Analysis: An Illustration 258 Point in Time and Through the Cycle Models—with Applications to Regulatory Stress Testing 277 An Economic Capital Model for Loan Portfolios 285 The Poisson Mixture Model and CreditRisk+ 289 Firmwide Portfolio Credit Risk and Credit Risk Dependence 296 Joint Codependency with Different Models 297 Indirect and Direct Codependency in Credit Risk Models 298 Credit Risk Stress Testing 299 Stress Testing with Multifactor Model 301 Stress Testing with Macroeconomic Credit Score Model 303 Features of New Generation Portfolio Credit Risk Models 309 Multi-Horizon Models for Banking Book 309 Modeling the Recovery Process for Banking Book Portfolios 310 Earnings and Loss Rather than Just Loss 311 Loan-Level Models 314 Granularity of Credit Factors 314 Hedging Credit Risk 315 Single-Name Credit Default Swaps 315 Credit Default Swaps on Portfolio Indices 320 Basket Credit Default Swaps 321 Regulatory Capital for Credit Risk 324 Regulatory Risk Components 326 Risk Mitigation and Regulatory Capital 327 Appendix 328 CHAPTER 5 Counterparty Credit Risk 333 Counterparty Pricing and Exposure 335 Market Standard Pricing Metrics 335 Assessment of Counterparty Default Probability 343 Exposure Simulation Framework for CVA 346 Market Correlations, Wrong-Way Risk, and Counterparty Pricing 360 Collateralized Exposures 364 CVA Risks 382 Portfolios of Derivatives 384 Netting 384 Marginal and Incremental Portfolio Trades 386 Recent Counterparty Credit Risk Developments 392 OIS Discounting for Derivatives 392 Advanced CVA Calculations and CVA Greeks 393 Funding Value Adjustments 394 Counterparty Credit Risk Regulation 395 Basel Counterparty Default Risk Charges 395 Enhanced Requirements on Counterparty Default Risk Charges 396 New Basel III Capital Requirements for Counterparty Credit Risk 397 Mitigating Regulatory Costs 399 PART THREE Asset and Liability Management CHAPTER 6 Liquidity Risk Management with Cash Flow Models 403 Measurement of Liquidity Risk 407 Liquidity Exposure with General Liquidity Hedging Capacity 408 Liquidity Exposure with Cash Hedging Capacity 411 Components of the Liquidity Measure 412 Liquidity Exposure 414 Balance Sheet Cash Flows and Facilities 417 Off–Balance-Sheet Derivative Flows 427 Combining the Risk and Finance View 428 Hedging the Liquidity Exposure 428 Ranking-Based Liquidity Hedging Strategy 432 Optimal Liquidity Hedging Strategy 433 Structural Liquidity Planning 441 Mitigating Balance Sheet Vulnerability with Contractual Cash Flows 442 Choosing the Optimal Liquidity Hedging Portfolio 445 Components of the Liquidity Hedging Program 449 Cash Liquidity Risk and Liquidity Risk Measures 450 Cash Liquidity at Risk 450 Portfolio Cash Liquidity Exposure 451 Allocating Cash Liquidity Risk 453 Regulation for Liquidity Risk 455 Liquidity Coverage Ratio 455 Net Stable Funding Ratio 458 Regulatory Liquidity Monitoring Tools 459 CHAPTER 7 Funds Transfer Pricing and Profitability of Cash Flows 463 Basic Funds Transfer Pricing Concept 465 Example of FTP for a Mortgage and a Loan 466 Risk-Based Funds Transfer Pricing 468 Credit Risk and Capital 468 Embedded Optionality 470 Liquidity Risk 477 Funds Transfer Rate and Risk Adjusted Returns 481 Example of Mortgage Risk Adjusted Returns 481 Profitability Measures and Decompositions 482 Balance Sheet Breakdown with Funds Transfer Instruments 482 Application to Net Interest Income and Economic Value View 483 Banking Book Fair Value with Funds Transfer Rates 486 Example of Fair Values with FTP 486 A Note on the Scope of Funds Transfer Pricing 486 Regulation and Profitability Analysis 487 PART FOUR Firmwide Risk CHAPTER 8 Firmwide Risk Aggregation 493 Correlated Aggregation and Firmwide Risk Levels 494 Linear Risk Aggregation 495 Copula Aggregation 497 Example of Copula Aggregation 497 Mixed Copula Aggregation 498 Example of Mixed Copula Aggregation 499 Capital Allocation in Risk Aggregation 501 Example of Mixed Copula Capital Allocation 502 Measuring Concentration and Diversification 503 Risk Aggregation and Regulation 503 CHAPTER 9 Firmwide Scenario Analysis and Stress Testing 507 Firmwide Scenario Model Approaches 509 Silo Approach 509 Firmwide Risk Model Approach 510 Multiple Model Approaches 512 Firmwide Risk Capital Measures 512 Risk Measures and Stress Scenarios 512 A Risk Reserve Approach—A Practical Illustration 514 Regulatory Stress Scenario Approach 516 Bank-Specific Approach: A Total Balance Sheet View 517 Bank-Specific Approach: More on Scenarios and Models 520 Systemic View: Financial System Analysis and Financial Contagion 523 The Future of Firmwide Stress Testing 524 References 527 Index 543

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Book SynopsisA survival guide for the FinTech era of banking FinTech Innovation examines the rise of financial technology and its growing impact on the global banking industry. Wealth managers are standing at the epicenter of a tectonic shift, as the balance of power between offering and demand undergoes a dramatic upheaval. Regulators are pushing toward a ''constrained offering'' norm while private clients and independent advisors demand a more proactive role; practitioners need examine this banking evolution in detail to understand the mechanisms at work. This book presents analysis of the current shift and offers clear insight into what happens when established economic interests collide with social transformation. Business models are changing in profound ways, and the impact reaches further than many expect; the democratization of banking is revolutionizing the wealth management industry toward more efficient and client-centric advisory processes, and keeping pace with these chTrade Review"...the only book you need right now on the subject of robo-investment." (QA Financial, September 2016)Table of ContentsPreface xiii Acknowledgments xix About the Author xxi Part One Personalize Personal Finance Chapter 1 The Theory of Innovation: From Robo-Advisors to Goal Based Investing and Gamification 3 1.1 Introduction 3 1.2 A vibrant FinTech ecosystem 5 1.3 Some definitions, ladies and gentlemen 8 1.4 Personalization is king 9 1.5 The theory of innovation 11 1.6 My Robo-Advisor is an iPod 13 1.7 What incumbents should consider when thinking about FinTech innovation 15 1.8 Conclusions 17 Part Two Automated Long-Term Investing Means Robo-Technology Chapter 2 Robo-Advisors: Neither Robots Nor Advisors 21 2.1 Introduction 21 2.2 What is a Robo-Advisor? 22 2.3 Automated digital businesses for underserved markets 25 2.4 Passive investment management with ETFs 26 2.5 Algorithms of automated portfolio rebalancing 29 2.6 Personalized decision-making, individual goals, and behaviour 30 2.7 Single minded businesses 31 2.8 Principles of tax-loss harvesting 33 2.9 Conclusions 36 Chapter 3 The Transformation of the Supply-Side 39 3.1 Introduction 39 3.2 The investment management supply-demand chain 40 3.3 How intermediaries make money 42 3.4 Issuers of direct claims (debt owners) 44 3.5 The institutionalization of the private banking relationship 45 3.6 The digital financial advisor 51 3.7 Asset management is being disintermediated 54 3.8 ETF providers and the Pyrrhic victory 57 3.9 Vertically integrated solutions challenge traditional platforms 59 3.10 Conclusions 60 Chapter 4 Social and Technology Mega Trends Shape a New Family of Taxable Investors 61 4.1 Introduction 61 4.2 Generational shift (X, Y, Z, and HENRYs) 62 4.3 About transparency, simplicity, and trust 65 4.4 The cognitive era 67 4.5 Conclusions 70 Chapter 5 The Industry’s Dilemma and the Future of Digital Advice 71 5.1 Introduction 71 5.2 Wealth management firms: Go digital or die 72 5.3 Asset management firms: Less passive, more active 75 5.4 Robo-Platforms: Less transactions, more portfolios 76 5.5 Digital-Advisors: Empowered customization 77 5.6 Robo-Advisors: Be human, be virtual, take care of retirement 79 5.7 Conclusions: Clients take centre stage, at last 81 Part Three Goal Based Investing is the Spirit of the Industry Chapter 6 The Principles of Goal Based Investing: Personalize the Investment Experience 85 6.1 Introduction 85 6.2 Foundations of Goal Based Investing 89 6.3 About personal needs, goals, and risks 91 6.4 Goal Based Investing process 96 6.5 What changes in portfolio modelling 97 6.6 Personal values 100 6.7 Goal elicitation 100 6.8 Goal priority 102 6.9 Time horizons 102 6.10 Risk tolerance 103 6.11 Reporting goal-centric performance 105 6.12 Conclusions 108 Chapter 7 The Investment Journey: From Model Asset Allocations to Goal Based Operational Portfolios 109 7.1 Introduction 109 7.2 Main traits of Modern Portfolio Theory 113 7.2.1 Asset diversification and efficient frontier 114 7.2.2 The Mean-Variance model portfolio 117 7.2.3 Final remarks about Mean-Variance 118 7.3 Main traits of Black-Litterman 118 7.3.1 The equilibrium market portfolio 119 7.3.2 Embedding professional views 121 7.3.3 The Black-Litterman optimal portfolio 122 7.3.4 Final remarks on Black-Litterman 122 7.4 Mean-Variance and mental accounts 123 7.4.1 Final remarks on Mean-variance and Mental Account 123 7.5 Main traits of Probabilistic Scenario Optimization 124 7.5.1 The PSO process 124 7.5.2 The investor’s risk and return profile 126 7.5.3 Generation of scenarios and scenario paths 128 7.5.4 Stochastic simulation of products and portfolios over time 128 7.5.5 Potential and admissible portfolios: Allocation constraints 129 7.5.6 Adequate portfolios: Risk adequacy 130 7.5.7 Objective function: Probability maximization 131 7.5.8 Final remarks on PSO 135 7.5.9 Conclusions 135 Chapter 8 Goal Based Investing and Gamification 137 8.1 Introduction 137 8.2 Principles of Gamification 138 8.3 Gamification of wealth management 140 8.4 The mechanics of games 141 8.5 Conclusions 143 Concluding Remarks 145 Bibliography 147 Index 151

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Book SynopsisA New E-Commerce Model is Coming from the Eastit is More Advanced and it is Spreading Worldwide China is now the biggest e-commerce market, hardware producer and soon Internet of Things player in the world. Written by a world-recognized expert, this eye-opening treatment allows readers a rare glimpse into how China will shape the global online world for the next decade. Featuring hundreds of interviews, with influential companies and investors such as Alibaba, Baidu, Tencent, Xiaomi, Yihaodian, Cogobuy, Rocket Internet, Didi-Kuaidi Taxi, Snapdeal, Tokopedia, DST Global, Credit Suisse, UBS, Qiming Ventures and many more, this ground-breaking guide provides exceptional firsthand accounts of the key considerations to making lucrative investments in this powerful sector. East-Commerce enables you to: Understand how China''s e-commerce explosion began and where it is heading See where China is shaping investments and innovation allTable of ContentsForeword vii Preface ix Acknowledgments xiii About the Author xvii The East-Commerce Video Course xix Illustration Credit xx Chapter 1 The Great (Technological) Leap Forward 1 Chapter 2 A Perfect Blend 15 Chapter 3 A New Breed of Companies 29 Chapter 4 Transformed Lives 51 Chapter 5 A Super-Connected World 67 Chapter 6 It Is All About Social 83 Chapter 7 Moving East (and West) 99 Chapter 8 The Connected Brand 115 Chapter 9 What Happens Next? 129 Endnotes 137 Index 145

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Book SynopsisMake sense of international personal finance with expat-specific expert advice The Cross-Border Family Wealth Guide is the long-awaited financial handbook for cross border families, with expert insight from a financial advisor who specializes in expat issues. Whether you''re an American living abroad, or foreign-born and living in the U.S., this book demystifies the complex issues surrounding the worldwide tax system, international information reporting, sensible investments, international real estate, and retirement planning. When your wealth crosses international borders, managing even the most mundane financial affairs can become wrought with time-consuming complexity; moving money, opening accounts, dealing with currency risks and translation, and setting up investments suddenly involves a whole new set of rules and regulations. Your 401(k), IRA, or annuity must be handled properly to retain certain tax benefits, and retirement planning takes on a braTable of ContentsForeword by Tim Kochis, JD, MBA, CFP® xvii Preface xix Acknowledgments xxiii About the Author xxv Part I: Financial Challenges of a Cross-Border Life 1 Chapter 1 Who Are These Cross-Border Families? 3 The Growing Need for a Definitive Guide 4 Who’s Who: Who This Book Is Meant to Serve 6 Examples of Who Might Benefit from This Book 7 Diagramming a Cross-Border Person: Residency and U.S. Income Tax Status 8 How Many Cross-Border Professionals and Families Are There? 10 Unique Challenges Faced by Cross-Border Families Connected to the United States 11 Chapter 2 Unique Challenges and the Regulatory Landscape 12 The Unequal Nature of Tax Regimes and Reach 12 The Unique Worldwide Reach of the U.S. Tax System 13 Complexity in Taxation and Other Regulations 14 Scarcity of Professional Help and Information 15 A Changing Legal, Financial, and Regulatory Landscape 17 The Far Reach of the Foreign Account Tax Compliance Act (FATCA) 19 Recommending Against Secretive Offshore Wealth Strategies 20 Part II: Saving and Investing: Building Your Personal Net Worth 21 Chapter 3 Building a Strong Foundation 23 Retirement Destination Unknown: Invest Globally 23 Spreading It Around 24 Wealth Creation and Accumulation 25 Saving from Earnings 25 Real Estate Ownership 26 Stock-Based Compensation 27 Entrepreneurs and Businesses Ownership 27 Investment Gains and Reinvestment 28 Inheritance 28 Diversification: Protecting and Growing Wealth 28 Considering Your Entire Balance Sheet 29 The Meaning of “Diversification” versus “Asset Allocation” 30 Spreading Thing Around 30 Asset Allocation in Investment Portfolios 30 A Well-Allocated Portfolio Can Still Lack Diversification 32 Allocating Your Net Worth: A Balance Sheet Approach 32 Six Primary Asset Categories 33 Three Additional Items of Importance 33 Cash and Cash Equivalents 33 Personal Residences 34 Income Property 35 Publicly Traded Securities: Stocks and Bonds 36 Bonds and Bond Funds (Fixed Income) 36 Stocks and Stock Funds (Equities) 37 Downsides of Owning Stocks 38 Concentrated Business Ownership 39 Personal Debt 40 Collectibles and Other Hard Assets 41 Other Private Investment Vehicles 41 Conclusion 42 Chapter 4 Investing in the Markets: Stocks and Bonds 43 Three Important Attributes 43 Easy Diversification 43 No Active Involvement 43 Source of Growth and Risk Control 44 Stocks and Bonds Work Better Together 44 Setting a Risk Objective 45 Managing Emotions While Focusing on the Long Term 45 Stock Picking—Maybe Not 46 Investment Advice to Live By 47 Avoiding the Herd Mentality 48 Staying Calm in Times of Change 49 Determining Investment Goals and Objectives 49 Four Common Investor Objectives Defined 50 Fundamental Investment Guidelines 51 Low-Cost Passive Investing 52 Tax Efficiency Is Huge 53 Global Diversification for All 53 Risk Control Through Asset Allocation 54 Regular Rebalancing Adds Value: Don’t Invest and Forget 54 Strategic Versus Tactical Asset Allocation 55 Strategic Asset Allocation (SAA) 55 Tactical Asset Allocation (TAA) 55 Take It Slow 56 A Jurisdictional Review: Where to Hold Investments? 57 Large Foreign Banks in Europe or Asia 58 Have You Earned Your Own Private Banker? 58 Not World-Class Investments 58 Not World-Class Advice 59 Tax Reporting and FATCA 59 Large Offshore Private Banks 60 Smaller Offshore Banks and Insurance Companies 61 U.S. Brokerage Accounts 62 Problems with Maintaining Accounts in the United States 63 Foreign Residents with U.S. Accounts 64 The Best Choice for Many People 65 Part III: 401(k)s, IRAs, and Other Pensions and Savings Plans 67 Chapter 5 A Global Approach to 401(k)s and IRAs 69 Investing Your Serious Money 69 401(k) Plan Basics 70 Key Benefits of 401(k) Plans 70 Global Investing for a Global Retirement 72 The Location of Underlying Assets Is What Matters 72 401(k) Plans Lack a Global Perspective 74 Inherent Currency Risks 74 Target Date Funds: A Lot to Like and Dislike 76 IRA Rollovers 76 IRAs Offer Distinct Advantages 77 Owning Real Estate Within an IRA 78 Leave It Alone and Let It Grow 78 Chapter 6 Unique Cross-Border 401(k) Issues 80 A Lack of International Tax Agreement 81 Do the Benefits of a 401(k) Follow You? 82 International Tax Law Is Unclear 82 The 401(k) Gets Respect 82 Benefits May Travel with You, but Your Account Stays Put 83 Taking It with You 84 Must I File a U.S. Tax Return Because of a 401(k)? 84 How Are Distributions Taxed? 85 What If You Are Living Abroad When You Draw Out Money? 85 Tax Withholdings on Distributions to Nonresidents 87 Many U.S. Institutions Will Overwithhold Tax on Distributions 87 How Are Foreign Residents Recovering U.S. Withholding Tax? 87 Unreported Income Isn’t Right 88 Contributions to IRA Accounts While Living Abroad—Be Careful 89 Chapter 7 Foreign Retirement Plans, Pensions, and Other Savings Accounts 91 Foreign Retirement Plans 91 U.S. Tax Treatment of Foreign Retirement Plans Is Often Unclear 92 What Is Really Happening Now? 92 Contributions by U.S. Citizens and Residents to Foreign Plans 93 For U.S. Taxpayers: Foreign Contributions Typically Do Lower Taxes 93 It Is Likely Not Being Reported to the IRS at All 94 Best Planning of All—Save Now and Save Later 94 Existing Foreign Retirement Accounts: The Real World 95 Better International Reporting and Coordination Is Needed 96 Investing Inside a Foreign Retirement Account 96 High Fees and Poor Investments: A Headwind Against Growth 96 Roth IRAs and Roth 401(k)s 97 How to Get Money In 98 Foreign Implications of Roth IRAs and Roth 401(k)s 99 Roth Accounts Don’t Speak Foreign Languages 99 Traditional Pension Income 100 Pensions Paid Across Borders 100 U.S. Taxpayers Abroad with U.S. Pension Income 101 Not Reporting to Foreign Authorities Is Risky 101 U.S. Taxpayers Abroad with Foreign Pension Income 102 Nonresidents Living Abroad with U.S. Pension Income 102 Don’t Claim to Be a U.S. Tax Resident When You Are Not 103 Proper Tax Treatment 103 Educational Savings: 529 Plans 104 To Maximize Benefit, Start Very Young 105 Foreign Residents Beware 105 Finding Good Advice Is a Challenge 106 Part IV: Real Estate 107 Chapter 8 Renting, Owning, and Investing 109 Crazy for Real Estate 109 Real Estate Appreciation Likely to Slow in Future 109 Primary Residences and Vacation Homes 110 Advantages to Owning Your Home 110 Owning a Vacation Home 111 The Process of Buying a Home in the United States 112 Selling Expenses and Property Taxes 113 Buy or Rent upon Arrival? 113 When You Should Probably Own 115 Real Estate as an Investment 115 Before Even Considering an Investment 115 Benefits (and Some Negatives) to Investing in Real Estate 116 Property Types: Single-Family Homes Versus Commercial 117 Types of Commercial Real Estate Assets 117 Owning Property: Directly or with Other Investors 119 Real Estate Partnerships 119 To Rent Out or Sell a Former Home 120 Why Turn Your Old Home into a Rental Property? 120 Do You Like Fixing Toilets? 121 You Have Three Years to Decide 121 Cross-Border Situations Where a Home Is Left Behind 122 Americans on the Move 122 Foreign Nationals with U.S. Residency 122 Foreigners Might Sell Before Becoming a U.S. Tax Resident 123 Selling Before Entering the United States, When Gains Are Very Large 124 Sale and Lease Back 124 Chapter 9 Real Estate Taxation and Other Considerations 125 Basic Tax Treatment of Real Estate 125 Taxation of Primary Residences 125 Tax-Free Gain on Sale of a Primary Residence 126 The Treatment of Vacation Homes 127 Taxation of Rentals and Other Investment Property 127 Reducing Income Tax—A Shelter from the Tax Man 128 Selling Investment Property—Calculating Taxable Gains 129 Tax Basis and Accumulated Depreciation—Shifting Income Down 129 Foreign Properties Often Not Reported to the IRS 130 Go Ahead, It Won’t Hurt Too Much 131 It’s Not Really “Forever”—But It Might Be 131 Global Transparency Is Coming 132 Foreign Property Gifted by Family Members 132 Owning Property Inside of an IRA 133 Rules to Be Carefully Followed 133 Be Careful to Read the Fine Print 134 Other Cross-Border Considerations 135 Tax-Free Exchange of Investment Property—Doesn’t Travel Well 135 Sorry, This Only Works for U.S. Properties 136 Avoid Owning Foreign Real Estate Through a Foreign Corporation 136 Unique Currency Risk When Owning Property Abroad 137 Strange Gains and Losses on the Retirement of Debt on Personal Residence 137 Nonresident Aliens: Investing in the United States and the EB-5 Program 139 Nonresident Aliens Investing in U.S. Real Estate 139 Becoming a U.S. Resident—EB-5 Visas 140 Estate Taxes on U.S. Property Owned by Nonresidents 140 Risk of Estate Taxes with Foreign Property 140 Part V: Cross-Border Taxation 143 Chapter 10 Understanding the Three Types of Cross-Border Families 145 The Unique Complexities of Cross-Border Taxation 145 Tax Profiles: Three Types of Cross-Border Families 147 Type 1: Foreign Nationals in the United States 147 Learning the U.S. Tax System 148 Type 2: American Citizens and Permanent Residents Living Abroad 148 Foreign Citizens Leaving the United States for Short-Term Assignments 149 Expatriate Assignments and Tax-Equalized Employment Packages 150 “Localized” Employment Contracts in Another Country 151 Reducing U.S. Tax for Taxpayers Living Abroad 152 Foreign Earned Income Exclusion 152 Foreign Housing Exclusion 152 Foreign Tax Credits 153 Revoking the Foreign Earned Income Exclusion 153 Likely U.S. Tax Liabilities for U.S. Taxpayers Abroad 154 Type 3: Foreign Nationals with Assets in the United States 155 Taxation by the IRS—On Passive U.S. Investments 156 Interest Income, Dividends, and Capital Gains 157 Rental Real Estate Property In the United States 157 Overwithholding Tax on Bond Interest Inside a Fund 158 Estate Tax Exemptions for Nonresidents 159 Becoming a U.S. Resident for Tax Purposes 159 Two Tests to Determine U.S. Residency 160 Lawful Permanent Resident Test (the Green Card Test) 160 Substantial Presence Test 161 Situations When Taxed Only on U.S.-Sourced Income 162 Tax Treaty Basics 163 Chapter 11 U.S. Tax Overview: Federal and State 165 Taxing Worldwide Income: The IRS Is Different 165 Filing Deadlines 166 Income Tax Overview 166 Gross Income 167 Deductions from Gross Income 168 Itemized or Standard Deductions from AGI 168 Personal Exemptions 169 Final Taxable Income 169 Understanding Marginal Tax Rates 169 Lower Tax Rates on Capital Gains and Dividends 170 Real Estate Rental Income 171 Stock-Based Compensation: Options 173 Stock-Based Compensation: Stock Grants and RSUs 173 Exchange Rate Issues When Taxing Foreign Income 174 State Income Taxes 176 State Tax Returns Often Based on Federal Returns 176 Different Treatments of Long-Term Capital Gains and Qualified Dividends 176 State Tax Residency: Requirements and Termination 177 When States Come Looking for You 178 U.S. Tax Residents Living Abroad with State Tax Liabilities 179 Avoiding Unnecessarily Becoming a State Resident in the First Place 179 Chapter 12 Additional Tax-Planning Considerations 181 Investing Outside of the United States—Avoiding PFIC Rules 181 Passive Foreign Investment Corporations (PFICs) Explained 181 Complex Reporting and Punitive Tax Treatment 182 Advice on Foreign Accounts and PFIC 184 Three PFIC Scenarios to Consider 185 Foreign Asset Reporting and Tax Evasion 186 Foreign Bank Account Reporting (FBAR) Requirements 187 FBAR Penalties 188 Other Foreign Asset Reporting: Form 8938 188 Additional Foreign Asset Reporting 191 Voluntary Offshore Disclosure Programs (OVPD) 191 Other Forms of Taxation in the United States 192 Social Security Taxes 192 Social Security Tax Calculation 192 Totalization Agreements 192 Special Taxes on High-Earners 193 Additional Medicare Taxes on Ordinary Income 193 Net Investment Income Tax (NIIT) 194 Gift and Estate Taxes 194 Gift Taxes 195 Estate Taxes 196 Estate Taxes for Nonresidents 197 Expatriation Tax (Exit Tax) 197 Prearrival Planning 198 Accelerate Gift Planning 199 Accelerate Income When Possible 199 Distribute Deferred Income When Possible 199 Consider Realizing Gains Before Moving Here 200 Review Existing Asset Structures Before Arriving 201 Review Immigration and Visa Alternatives 201 Part VI: Retirement Planning 203 Chapter 13 Planning for a Global Retirement 205 Where to Retire? A Common Dilemma 205 Being Near Family Is Most Important 206 Plan to Retire Anywhere, to Maximize Flexibility 206 Worldwide Planning Is Also Inherently More Complex 207 Investing for Retirement 207 Having Enough Money to Retire 208 How Much Money Will You Need? 208 First Question: What Will You Need to Live On? 208 Second Question: What Are Your Sources of Ongoing Retirement Income? 209 Third Question: Will Your Retirement Savings Make Up the Difference? 209 Safe Withdrawal Rates: The 4 Percent Rule 210 What Is a Successful Retirement? 211 The Important Role of Financial Planning 211 Longevity Risk Is Alive and Well 212 Inheritance: Plan for It, But Don’t Count on It 212 Organizing and Optimizing Worldwide Income and Assets 213 Assessing Sources of Income in Retirement 213 Organizing Your Assets 214 Cash and Cash Equivalents 215 Qualified Accounts: 401(k)s, IRAs, and Other U.S. and Foreign Retirement Accounts 215 Nonqualified Investment Accounts—Generally Holding Stocks and Bonds 216 Concentrated Stock and Stock Options 217 Real Estate 217 Alternative Investments 217 Currency Exposure: A Real Retirement Risk 218 Chapter 14 Considerations for Cross-Border Retirees 219 Tax Planning for Retirement 219 Taxes on Pension and Social Security Income 219 Taxes on Investment Income and Gains 219 Taxes on Distributions from Qualified Accounts 220 Taking Retirement Accounts with You 221 Cash Management and Account Administration 221 FATCA Fallout: Harder to Deal with Big International Banks 222 Accessing Your Money 222 Foreign Exchange Costs—Minimize Translations 223 Efficient Cross-Border Money Transfers 223 Social Security and Foreign Government Pensions 224 Social Security Benefits Earned Are Usually Yours for Life 225 Possible “Windfall Elimination” Reduction to Benefits 226 Long-Term Viability and Ongoing Changes 226 Filing for Benefits Early, on Time, or Late? 227 Foreign Government Pensions 228 Drawing on Tax-Deferred Accounts 228 The Ordering of Withdrawals 229 Conclusion 230 An Overview of Key Points 230 Final Thoughts and Words of Encouragement 234 Index 235

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Book Synopsis

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Book SynopsisRisk management strategy for the pioneering technological sector Enterprise Risk and Opportunity Management provides much-needed guidance tailored specifically to the technological sector. While most enterprise risk management guides are written for traditional businesses and finance firms, this book translates effective enterprise risk and opportunity management (EROM) principles into strategies and practices that work for government, nonprofit, and for-profit organizations in the technological space. Originally designed for noncommercial pioneering enterprises like NASA, an entire chapter is now devoted toward applying the methods to profit-making technological enterprises. A 40-year veteran of the tech sector, Dr. Allan Benjamin outlines risk management strategies for organizations in which the advancement and integration of science and technology within complex systems is necessary for accomplishment of the mission. Commercial EROM strategies do not translate diTable of ContentsPreface xxiii Introduction xxv CHAPTER 1 An EROM Primer for Organizations Concerned with Technical Research, Integration, and Operations (TRIO Enterprises) 1 1.1 EROM Scope and Objectives for TRIO Enterprises 1 1.1.1 What Is EROM? 1 1.1.2 Why Is EROM Important to TRIO Enterprises? 2 1.1.3 What Kinds of Risk and Opportunity Are Considered within EROM for TRIO Enterprises? 3 1.1.4 How Does EROM for Nonprofit and Government TRIO Enterprises Differ from EROM for Typical Commercial Enterprises? 4 1.1.5 To What Extent Does EROM Work within the Existing Management Structure of a TRIO Enterprise? 5 1.1.6 How Does EROM Facilitate Negotiations between a TRIO Enterprise and the Entities That Provide Funding and Governance? 6 1.1.7 Can Various Management Units within the Organization Separately Apply EROM as Though Each Were an Enterprise? 7 1.1.8 In What Areas Does EROM Facilitate Strategic Planning, Implementation, and Evaluation of Performance for TRIO Enterprises? 8 1.2 EROM Definitions and Technical Attributes for TRIO Enterprises 9 1.2.1 What Is Meant by Risk and Opportunity within the Context of EROM? 9 1.2.2 How Do We Differentiate between Risks and Opportunities during Strategic Planning versus during Plan Implementation and Performance Evaluation? 11 1.2.3 How Does EROM Help Achieve an Optimal Balance between Risk and Opportunity? 11 1.2.4 What Is Meant by the Terms Risk Scenario, Opportunity Scenario, Cumulative Risk, and Cumulative Opportunity? 13 1.2.5 How Does EROM Incorporate Risk-Informed Decision Making and Continuous Risk Management within the rganization as a Whole and within Different Management Units? 14 1.2.6 Is the Analysis in EROM Principally Qualitative or Quantitative? 16 1.2.7 Can EROM Account for Unknown and Underappreciated (UU) Risks? 17 Notes 18 References 19 CHAPTER 2 Coordination of EROM with Organizational Management Activities 21 2.1 The Executive, Programmatic, and Institutional/Technical Management Functions and Their Interfaces 21 2.2 EROM-Relevant Management Activities 23 2.2.1 Activities within Each Management Level 23 2.2.2 Roles and Responsibilities within and between Each Management Level 26 2.3 Coordination of EROM with Management Activities 31 2.3.1 Organizational Planning and Plan Implementation 31 2.3.2 Evaluation of Organizational Performance and Replanning 31 2.3.3 Alignment with Management-Level Roles and Responsibilities 35 2.4 Communication across Extended Partnerships 35 2.4.1 Nature of the Strategic Objectives That Require Extended Partnerships 35 2.4.2 The Challenges of Conducting EROM across Extended Partnerships 42 2.5 Contribution of EROM to Compliance with Federal Regulations and Directives 43 2.5.1 OMB Circular A-11 and GPRAMA (Government Performance, Results, and Budgeting) 43 2.5.2 EROM and Internal Controls from the Viewpoint of Federal Regulations and Guidance 45 2.5.3 OMB Circular A-123 (Management’s Responsibility for ERM and Internal Control) and the Required Statement of Assurance 47 2.5.4 Example Risk Profile from OMB Circular A-123 49 Notes 52 References 52 CHAPTER 3 Overview of EROM Process and Analysis Approach 55 3.1 Organizational Objectives Hierarchies 55 3.1.1 Objectives Hierarchies for Each Management Unit 55 3.1.2 Objectives Hierarchy for the Enterprise as a Whole 57 3.2 Populating the Organizational Objectives Hierarchies with Risk and Opportunity Information 61 3.3 Establishing Risk Tolerances and Opportunity Appetites 63 3.3.1 Risk and Opportunity Parity Statements 63 3.3.2 Response Boundaries and Watch Boundaries 65 3.4 Identifying Risk and Opportunity Scenarios and Leading Indicators 66 3.4.1 Risk and Opportunity Taxonomies 67 3.4.2 Risk and Opportunity Scenario Statements 68 3.4.3 Risk and Opportunity Scenario Narratives 72 3.4.4 Risk and Opportunity Leading Indicators 73 3.4.5 Leading Indicators of Unknown and Underappreciated (UU) Risks 74 3.5 Specifying Leading Indicator Trigger Values and Evaluating Cumulative Risks and Opportunities 78 3.5.1 Leading Indicator Trigger Values 80 3.5.2 Cumulative Risks and Opportunities 80 3.6 Identifying and Evaluating Risk Mitigation, Opportunity Exploitation, and Internal Control Options 82 3.6.1 Deducing Risk and Opportunity Drivers 82 3.6.2 Deducing Risk and Opportunity Scenario Drivers 83 3.6.3 Evaluating Risk and Opportunity Scenario Likelihoods and Impacts 85 3.6.4 Identifying Options for Risk Response, Opportunity Action, and Internal Control 87 3.6.5 Evaluating Options for Risk Response, Opportunity Action, and Internal Control 89 3.6.6 Brief Comparison of this Approach with the COSO Internal Control Framework and the GAO Green Book 91 Notes 94 References 94 CHAPTER 4 The Development and Utilization of EROM Templates for Performance Evaluation and Strategic Planning 97 4.1 Overview 97 4.2 Demonstration Example: The NASA Next-Generation Space Telescope as of 2014 99 4.3 Example Objectives Hierarchies 101 4.3.1 Objectives Hierarchies for Different Management Levels 101 4.3.2 Integrated Objectives Hierarchies for the Enterprise as a Whole 103 4.4 Risks, Opportunities, and Leading Indicators 103 4.4.1 Known Risk and Opportunity Scenarios 105 4.4.2 Cross-Cutting Risks and Opportunities 105 4.4.3 Unknown and Underappreciated Risks 112 4.5 Example Templates for Risk and Opportunity Identification and Evaluation 113 4.5.1 Risk and Opportunity Identification Template 113 4.5.2 Leading Indicator Evaluation Template 113 4.6 Example Templates for Risk and Opportunity Roll-Up 126 4.6.1 Objectives Interface and Influence Template 126 4.6.2 Known Risk Roll-Up Template 126 4.6.3 Opportunity Roll-Up Template 144 4.6.4 Composite Indicator Identification and Evaluation Template 147 4.6.5 UU Risk Roll-Up Template 151 4.7 Example Templates for the Identification of Risk and Opportunity Drivers, Responses, and Internal Controls 159 4.7.1 Risk and Opportunity Driver Identification Template 159 4.7.2 Risk and Opportunity Scenario Likelihood and Impact Evaluation Template 161 4.7.3 Risk Mitigation, Opportunity Action, and Internal Control Identification Templates 161 4.7.4 High-Level Display Template 165 4.8 Upward Propagation of Templates for Full-Scope EROM Applications 165 4.8.1 Scope of the Problem 165 4.8.2 Propagation of Templates 173 4.8.3 Development of an Integrated EROM Database 175 4.9 Application of the Templates to Organizational Planning and the Selection from among Alternative Candidate Portfolios 175 Notes 181 References 181 CHAPTER 5 Management and Implementation of EROM at the Institutional/Technical Level (Technical Centers or Directorates) 183 5.1 EROM from a Technical Center’s Perspective 183 5.2 Extended Enterprises and the Technical Center’s Extended Organization 184 5.2.1 Overview 184 5.2.2 Relationship of Each Technical Center to the Other Entities in the Center’s Extended Organization 187 5.2.3 EROM Organizational Structure for a Technical Center’s Extended Enterprises 189 5.2.4 Challenges of Creating and Managing an Integrated Database 191 5.3 EROM-Informed Budgeting of Resources across a Technical Center’s Extended Organization 192 5.3.1 Objectives-Based Distribution of Human, Physical, and Instructional Assets 192 5.3.2 Representative Templates for Distributions of Allocated Assets 192 5.3.3 Asset Risks, Opportunities, and Risk/Opportunity Scenario Statements 198 5.3.4 Leading Indicators of a Technical Center’s Health 200 5.3.5 Correlations between Internal Leading Indicators and Gaps in the Distributions of Human, Physical, and Instructional Assets 201 5.3.6 Optimization of the Acquisition, Allocation, and Retirement of Human, Physical, and Instructional Assets 203 5.3.7 Relevance to Provider Acquisition Decisions Made by Technical Centers 206 References 206 CHAPTER 6 Special Considerations for EROM Practice and Analysis at Commercial TRIO Enterprises 207 6.1 Overview 207 6.2 Risk and Opportunity Scenarios and Leading Indicators 210 6.2.1 Risk and Opportunity Taxonomies 210 6.2.2 Risk and Opportunity Branching Events and Scenario Event Diagrams 210 6.2.3 Risk and Opportunity Templates 215 6.2.4 Risk and Opportunity Matrices 221 6.3 Controllable Drivers, Mitigations, Actions, and Internal Controls 229 CHAPTER 7 Examples of the Use of EROM Results for Informing Risk Acceptance Decisions 237 7.1 Overview 237 7.2 Example 1: DoD Ground-Based Midcourse Missile Defense in the 2002 Time Frame 238 7.2.1 Background 238 7.2.2 Top-Level Objectives, Risk Tolerances, and Risk Parity 239 7.2.3 Risks and Leading Indicators 242 7.2.4 Leading Indicator Trigger Values 244 7.2.5 Example Template Entries and Results 247 7.2.6 Implications for Risk Acceptance Decision Making 247 7.3 Example 2: NASA Commercial Crew Transportation System as of 2015 249 7.3.1 Background 249 7.3.2 Top-Level Objectives, Risk Tolerances, and Risk Parity 251 7.3.3 Remainder of Example 2 253 7.4 Implication for TRIO Enterprises and Government Authorities 254 References 254 CHAPTER 8 Independent Appraisal of EROM Processes and Results to Assure the Adequacy of Internal Controls and Inform Risk Acceptance Decisions 255 8.1 Background 255 8.1.1 OMB Motivation 255 8.1.2 Department of Energy Guidance 256 8.1.3 Institute of Internal Auditors Guidance 257 8.2 Queries for an Independent Appraisal of EROM in the Contexts of Internal Control and Risk Acceptance 258 8.2.1 Overview 258 8.2.2 Template for Evaluating EROM Process and Results 259 References 265 CHAPTER 9 Brief Overview of the Potential Integration of EROM with Other Strategic Assessment Activities 267 9.1 Technical Capability Assessment (TCA) 267 9.2 Strategic Annual Review (SAR) 270 9.3 Portfolio Performance Review (PPR) 271 References 274 CHAPTER 10 An Integrated Framework for Hierarchical Internal Controls 275 10.1 Internal Control Principles and the Integration of Internal Control, Risk Management, and Governance 275 10.2 Methodological Basis 280 10.2.1 Hierarchical Control Loops 280 10.2.2 RACI Matrices 282 10.3 Examples 285 10.3.1 Example 1: Institutional Responsibility for Risk Management and System Safety 285 10.3.2 Example 2: NASA Commercial Crew Program Risk-Based Assurance Process and Shared Assurance Model 287 10.4 Incorporation of Internal Control Principles into the Control Loop Approach 297 10.5 Summary of Observations 302 References 306 APPENDIX A Acronyms 309 APPENDIX B Definitions 311 About the Companion Website 314 About the Author 315 Index 317

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Book SynopsisGraduate from Excel to MATLAB to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today's analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset. This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB's capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data Table of ContentsIntroduction xiii Why You Should Read This Book xiii The Intended Reader xiv Why MATLAB®? xiv How to Use This Book xvi Font Conventions xvi About the Author xvii MathWorks Information xviii References xviii Part I MATLAB Conventions and Basic Skills 1 Chapter 1 Working with MATLAB® Data 3 1.1 Introduction 3 1.2 Arrays 3 1.2.1 Numerical Arrays 4 1.2.2 Math Calculations with Scalars,Vectors, and Matrices 10 1.2.3 Statistical Calculations on Vectors and Matrices 16 1.2.4 Extracting Values from Numerical Vectors and Matrices 19 1.2.5 Counting Elements 26 1.2.6 Sorting Vectors and Matrices 28 1.2.7 Relational Expressions and Logical Arrays 31 1.2.8 Dealing with NaNs (Not a Number) 35 1.2.9 Dealing with Missing Data 39 1.3 Character Arrays 40 1.3.1 String Arrays 44 1.4 Flexible Data Structures 46 1.4.1 Cell Arrays 47 1.4.2 Structure (“struct”) Arrays 49 1.4.3 Tables 51 References 60 Further Reading 60 Chapter 2 Working with Dates and Times 61 2.1 Introduction 61 2.2 Finance Background: Why Dates and Times Matter 61 2.2.1 First Challenge: Day Count Conventions 62 2.2.2 Second Challenge: Date Formats 63 2.3 Dates and Times in MATLAB 64 2.3.1 Datetime Variables 64 2.3.2 Date Conversions 73 2.3.3 Date Generation Functions with Serial Number Outputs 79 2.3.4 Duration Arrays 83 2.3.5 Calendar Duration Variables 86 2.3.6 Date Calculations and Operations 89 2.3.7 Plotting Date Variables Introduction 94 References 95 Chapter 3 Basic Programming with MATLAB® 97 3.1 Introduction 97 3.1.1 Algorithms 101 97 3.1.2 Go DIY or Use Built-In Code? 98 3.2 MATLAB Scripts and Functions 99 3.2.1 Scripts 99 3.2.2 Developing Functions 106 3.2.3 If Statements 112 3.2.4 Modular Programming 115 3.2.5 User Message Formats 121 3.2.6 Testing and Debugging 124 References 127 Chapter 4 Working with Financial Data 129 4.1 Introduction 129 4.2 Accessing Financial Data 129 4.2.1 Closing Prices versus Adjusted Close Prices for Stocks 130 4.2.2 Data Download Examples 131 4.2.3 Importing Data Interactively 133 4.2.4 Automating Data Imports with a Script 138 4.2.5 Automating Data Imports with a Function 140 4.2.6 Importing Data Programmatically 147 4.3 Working with Spreadsheet Data 154 4.3.1 Importing Spreadsheet Data with Import Tool 154 4.3.2 Importing Spreadsheet Data Programmatically 154 4.4 Data Visualization 156 4.4.1 Built-In Plot Functions 156 4.4.2 Using the Plot Tools 158 4.4.3 Plotting with Commands 159 4.4.4 Other Plot Tools 162 4.4.5 Built-In Financial Charts 173 References 176 Part II Financial Calculations with MATLAB 177 Chapter 5 The Time Value of Money 179 5.1 Introduction 179 5.2 Finance Background 180 5.2.1 Future Value with Single Cash Flows 180 5.2.2 Future Value with Multiple Cash Flows 185 5.2.3 Present Value with Single Cash Flows 187 5.2.4 Present Value with Multiple Variable Cash Flows 188 5.3 MATLAB Time Value of Money Functions 189 5.3.1 Future Value of Fixed Periodic Payments 190 5.3.2 Future Value of Variable Payments 191 5.3.3 Present Value of Fixed Payments 193 5.3.4 Present Value of Variable Payments 194 5.4 Internal Rate of Return 197 5.5 Effective Interest Rates 198 5.6 Compound Annual Growth Rate 198 5.7 Continuous Interest 200 5.8 Loans 200 References 202 Chapter 6 Bonds 203 6.1 Introduction 203 6.2 Finance Background 204 6.2.1 Bond Classifications 204 6.2.2 Bond Terminology 205 6.3 MATLAB Bond Functions 206 6.3.1 US Treasury Bills 206 6.3.2 Bond Valuation Principles 208 6.3.3 Calculating Bond Prices 209 6.3.4 Calculating Bond Yields 212 6.3.5 Calculating a Bond’s Total Return 214 6.3.6 Pricing Discount Bonds 216 6.4 Bond Analytics 216 6.4.1 Interest Rate Risk 217 6.4.2 Measuring Rate Sensitivity 219 6.4.3 Yield Curves 227 6.5 Callable Bonds 229 References 231 Further Reading 231 Chapter 7 Dealing with Uncertainty and Risk 233 7.1 Introduction 233 7.2 Overview of Financial Risk 234 7.3 Data Insights 234 7.3.1 Visualizing Data 235 7.3.2 Basic Single Series Plots 237 7.3.3 Basic Multiple Series Plots 237 7.3.4 Adding Plot Customization 238 7.3.5 Histograms 239 7.3.6 Measures of Central Location 241 7.3.7 Measures of Data Dispersion 243 7.4 Data Relationships 249 7.4.1 Covariance and Correlation 251 7.4.2 Correlation Coefficients 252 7.5 Creating a Basic Simulation Model 253 7.6 Value at Risk (VaR) 258 References 261 Further Reading 262 Chapter 8 Equity Derivatives 263 8.1 Introduction 263 8.2 Options 264 8.2.1 Option Quotes 265 8.2.2 Market Mechanics 266 8.2.3 Factors in Option Valuation 267 8.3 Option Pricing Models 268 8.3.1 Arbitrage 269 8.3.2 Binomial Option Pricing 270 8.3.3 Black-Scholes 274 8.4 Options’ Uses 276 8.4.1 Hedging 277 8.4.2 Speculation and Leverage 277 8.4.3 Customizing Payoff Profiles 278 8.5 Appendix: Other Types of Derivatives 279 8.5.1 Commodity and Energy 279 8.5.2 Credit 279 8.5.3 Exotic Options 280 References 281 Further Reading 281 Chapter 9 Portfolios 283 9.1 Introduction 283 9.2 Finance Background 283 9.3 Portfolio Optimization 285 9.4 MATLAB Portfolio Object 286 9.4.1 Object-Oriented Programming (OOP) 286 9.4.2 A Basic Example 287 9.4.3 Using Data Stored in a Table Format 294 References 296 Chapter 10 Regression and Time Series 297 10.1 Introduction 297 10.2 Basic Regression 297 10.2.1 Understanding Least Squares 300 10.2.2 Model Notation 301 10.2.3 Fitting a Polynomial with polyfit and polyval 303 10.2.4 Linear Regression Methods 305 10.3 Working with Time Series 308 10.3.1 Step 1: Load the Data (Single Series) 308 10.3.2 Step 2: Create the FTS Object 309 10.3.3 Step 3: Using FTS Tools 311 References 314 Appendix 1 Sharing Your Work 315 A1.1 Introduction 315 A1.2 Publishing a Script 316 A1.2.1 Publishing with Code Sections 317 A1.2.2 futureValueCalc3 319 A1.2.3 Formatting Options 321 A1.2.4 Working with Live Scripts 322 A1.2.5 Editing and Control 325 References 326 Appendix 2 Reference for Included MATLAB® Functions 327 Index 335

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Book SynopsisThe Fintech Entrepreneur's Guide to Regulation and Regulatory Strategy Fintech has been growing dramatically over the last few years, and it is now an important sector in its own right. This means that Fintech companies, who could so far often rely on a comparatively lenient regulatory regime, will now have to give serious thoughts on compliance with applicable regulatory rules. Operating in a highly regulated environment is tedious, but not all badcompanies that can play the regulatory game well have a strategic advantage, especially with regard to time-to-market and scaling. Nothing spells missed opportunity like a competitor building market share with a copycat product whilst you are still waiting for your license! Written for professionals, this book helps anyone whose job has to do with formulating or executing a Fintech startup strategy or whose job touches financial services regulation, or anyone who simply wants an easy- to-read introduction to financial services and their reguTable of ContentsAbout the Book ix Acknowledgments xi About the Author xiii PART I Fintech Regulation and Strategy 1 CHAPTER 1 Regulatory Strategy for Fintech Companies 3 CHAPTER 2 Overview of Financial Services Regulation 17 CHAPTER 3 Regulation in Practice 35 CHAPTER 4 The Financial Services Industry 65 CHAPTER 5 Retail Financial Services Products 77 CHAPTER 6 Wholesale Financial Services Products 99 PART II Selected Regulations in Detail 121 SHEET 1 Alternative Investment Fund Manager Directive 123 SHEET 2 Anti Money Laundering Directive 131 SHEET 3 Bank Recovery and Resolution Directive 139 SHEET 4 Cross-Border Payments Regulation 147 SHEET 5 Consumer Contracts Directive 149 SHEET 6 Consumer Credit Directive 151 SHEET 7 Capital Requirements Directives 155 SHEET 8 Deposit Guarantee Scheme Directive 169 SHEET 9 Distance Marketing in Financial Services Directive 173 SHEET 10 European Market Infrastructure Regulation 177 SHEET 11 Electronic Money Directive 183 SHEET 12 General Data Protection Regulation 187 SHEET 13 Market Abuse Regulation 195 SHEET 14 Mortgage Credit Directive 201 SHEET 15 Markets in Financial Instruments Directive 209 SHEET 16 Packaged Retail and Insurance-based Investment Products Regulation 225 SHEET 17 Payments Services Directive 229 SHEET 18 Rating Agencies Regulation 239 SHEET 19 Undertakings for Collective Investment in Transferable Securities Directive 243 SHEET 20 Unfair Commercial Practices Directive 253 Appendix A Important Definitions from European Legal Texts 257 Appendix B Abbreviations Used for Legal References 277 Index 279

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Book SynopsisThe definitive guide on fund and asset managers worldwide Fund Managers: The Complete Guide is an all-encompassing overview of fund and asset managers around the globe. The only comprehensive guide on the subject, this book covers both the fund manager and the market as a whole while providing insights from current and future fund managers and leaders in the technology industry from the UK, EU and US. Focused examination of the fund managers and their investors the categories of manager, the asset classes they participate in, how they are using technology and their views on the market complements a wider survey of the market that includes upcoming changes to regulation, taxation and political shifts in the Western world. The asset management industry continues to undergo significant changes that rise from the Global Financial Crisis and its recovery, the recent technology boom and political fluctuations that have altered the way business is conducted inTable of ContentsPreface vii Chapter 1 Seismic Shifts 1 Chapter 2 What is it like Being an Asset Manager? 18 Chapter 3 Structures and Economics 27 Chapter 4 Governance 57 Chapter 5 Investment Strategies 84 Chapter 6 Investors’ View of the Industry 119 Chapter 7 Asset Allocation and Portfolio Construction 150 Chapter 8 Technology 167 Chapter 9 Regulation in the Asset Management Industry 183 Chapter 10 Risk, Compliance, and Regulatory Trends 209 Chapter 11 Taxation 233 Chapter 12 Regional Trends 255 Chapter 13 Future Trends 281 Some Conclusions 297 Glossary of Terms 301 Abbreviations 327 Acknowledgments 333 About the Author 337 Index 339

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Book SynopsisA mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: Value at risk Stress testing Credit risk Liquidity risk Factor analysis Expected shortfall Copulas Extreme value theory Risk model backtesting Bayesian analysis . . . and much moreTable of ContentsPreface vii About the Author ix 1 Overview of Financial Risk Management 1 2 Market Risk: Standard Deviation 15 3 Market Risk: Value at Risk 51 4 Market Risk: Expected Shortfall, and Extreme ValueTheory 73 5 Market Risk: Portfolios and Correlation 91 6 Market Risk: Beyond Correlation 119 7 Market Risk: Risk Attribution 151 8 CreditRisk 167 9 Liquidity Risk 189 10 Bayesian Analysis 205 11 Behavioral Economics and Risk 231 Appendix A Maximum Likelihood Estimation 247 Appendix B Copulas 253 Answers to End-of-Chapter Questions 257 References 295 Index 297

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Book SynopsisFamilies share how they have maintained and grown their wealth from generation to generation. While creating wealth is a wonderful achievement, business families are also concerned with how their wealth is used to support their values, the lives of their children and the well-being of the community. Over several generations, families who are successful in growing their wealth have been able to reinvent themselves and their business in the face of significant environmental transformations and internal differences cause by family dynamics. Borrowed from my Grandchildren is a fascinating look at how large, long-lasting business families succeed across generations. Author Dennis T. Jaffe, one of the leading architects of the field of family enterprise consulting, has interviewed members of successful, well known, 100-year family enterprises from 20 countries, whoserve as role models for those wishing to see their wealth positively impact their cTable of ContentsForeword: Rice Paddy to Rice Paddy xv Preface xxi Part One The Wisdom of Generative Families 1 Chapter 1 Learning from the Best: Researching Long-Term Family Enterprises 3 Chapter 2 Creating a Great Family: The Virtuous Circle of Family and Business 19 Chapter 3 The Social History of Family Dynasties 35 Part Two The Evolution of the Resilient Family Enterprise 59 Chapter 4 The First Four Generations 61 Chapter 5 Business Resiliency: Common Transformations Along the Path 87 Chapter 6 The Generative Alliance: Building and Sustaining a Values-Based Culture 113 Chapter 7 Corporate Social Responsibility: Changing the World from Local to Global 151 Chapter 8 Owners’ Mindset: Stewardship and the Board of Directors 177 Part Three Inside the Family: Family Governance to Create a Great Family 199 Chapter 9 The Family Tribe: Creating Purposeful Extended Family Community Beyond the Enterprise 201 Chapter 10 Governance: Organizing the Interconnection of Family and Business 215 Chapter 11 The Family Council: Conducting the Work of the Family 237 Chapter 12 The Family Constitution: Governing Document of the Generative Family 259 Part Four The Rising Generation: Sustaining the Future 283 Chapter 13 Releasing the Potential of the Rising Generation: How to Develop Capable Successors 285 Chapter 14 Family as a Cross-Generational Learning Community 309 Chapter 15 Family Philanthropy: Balancing Roots and Wings 333 Chapter 16 Reflections on the Economic and Social Future of Family Enterprise 351 Appendix: Tools for Families (and Advisors) 357 About the Author 361 About the Research Team 365 About Wise Counsel Research Associates 369 Acknowledgments 371 Index 373

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Book SynopsisTable of ContentsForewords xv About the Author xxix Disclaimer xxxi Introduction 1 Part One Foundations of Platform Theory Chapter 1 Platform Essentials on Outcome Economies 15 1.1 Introduction 16 1.2 Platforms and ecosystems 17 1.3 Innovating from output to outcome economies 22 1.4 Linear and non-linear thinking 24 1.5 Platform types 25 1.6 About platforms and innovation theory 27 1.7 Shifting the perception of value 29 1.8 Banks and fintech on outcome economies 31 1.9 Conclusions 33 Takeaways for banks and fintech 34 Chapter 2 The Trust Advantage 35 2.1 Introduction 35 2.2 Elements of platform creation 37 2.2.1 The platform challenge 38 2.2.2 The chicken-or-egg dilemma 39 2.3 Transparency generates trust 42 2.3.1 It’s marketing, stupid! or not? 42 2.3.2 Trust in the middle kingdom 43 2.4 The trust advantage for banks and fintech 44 2.5 Conclusions 47 Takeaways for banks and fintech 48 Chapter 3 Open Innovation and Data 49 3.1 Introduction 49 3.2 Closed and open innovation 51 3.2.1 Attributes of closed and open innovation 52 3.2.2 Open innovation in platform economies 53 3.3 The strategic role of complementors 55 3.4 The monetisation perspective 56 3.5 The monetisation of APIs 58 3.5.1 Free use 59 3.5.2 API consumers pay 59 3.5.3 API consumers get paid 60 3.5.4 Indirect monetisation 60 3.6 The monetisation of user engagement 61 3.6.1 Imposing transaction fees 61 3.6.2 Asking for access fees 61 3.6.3 Tiering enhanced access fees 61 3.6.4 Delivering enhanced curation 62 3.7 The API economy for banks and fintech 62 3.8 Conclusions 65 Takeaways for banks and fintech 66 Chapter 4 Platform Governance Founded on Transparency 67 4.1 Introduction 67 4.2 Power comes with responsibility 68 4.3 Platform monopoly between competition and regulation 71 4.3.1 Intensified regulation 71 4.3.2 Better governance to fight monopoly powers 73 4.4 Negative externalities threaten platform resilience 74 4.5 Governance of openness and curation 76 4.6 The transparency governing principle 78 4.6.1 Transparency about platform management 78 4.6.2 Transparency about platform orchestration 79 4.7 Transparency for banks and fintech 80 4.8 Conclusions 82 Takeaways for banks and fintech 83 Part Two Reinventing Financial Services Chapter 5 The Existential Shift of Bank Business Models 89 5.1 Introduction 89 5.2 The new normal of central banks 91 5.2.1 Lehman Brothers’ default 91 5.2.2 The annihilation of central banks’ systemic put 92 5.2.3 Banks’ Catch-22 95 5.2.4 From product-centricity to human-centricity 98 5.3 About the tension between information and communication 99 5.4 The banking reinvention quadrant 101 5.4.1 The map and the compass 101 5.4.2 The information and communication quotients 103 5.5 Four BRQ business value spaces 104 5.5.1 Traditional Banking 105 5.5.2 Digital Banking 105 5.5.3 Contextual Banking 105 5.5.4 Conscious Banking 106 5.6 Conclusions 107 Takeaways for banks and fintech 108 Chapter 6 Lessons Learned from Fintech Innovation 109 6.1 Introduction 110 6.2 The true meaning of disruption 111 6.2.1 My Robo-advisor was an iPod 113 6.2.2 Sustaining innovation with Contextual and Conscious Banking 117 6.3 Resolving the “pull-push” motivational gap 119 6.3.1 Digital is a pull technology 120 6.3.2 What is happening on Amazon? 121 6.3.3 The offer-driven business of banking 122 6.4 Rebundling on platform economies 123 6.4.1 From client-centricity to human-centricity 124 6.4.2 Banking-as-a-Service and Banking-as-a-Platform 126 6.5 Conclusions 128 Takeaways for banks and fintech 129 Chapter 7 Competitive Factors for the Future of Banks 131 7.1 Introduction 131 7.2 The financial services engine 132 7.3 External factors affecting digital transformations 135 7.3.1 Digital infrastructure 135 7.3.2 Digital society 135 7.3.3 Digital ecosystems 136 7.3.4 Capital at risk 137 7.3.5 Regulation 137 7.4 Internal factors enabling digital transformation 138 7.4.1 Digital leadership, strategy, and culture 138 7.4.2 New business architectures and operating models 139 7.5 Conclusions 140 Takeaways for banks and fintech 141 Part Three Leading Platform Strategies Chapter 8 Contextual Banking 147 8.1 Introduction 147 8.2 Compete with open business architectures 150 8.3 From open banking to open finance 152 8.4 Contextual Banking 156 8.4.1 Removing ex-ante frictions without increasing them ex-post 158 8.5 Bigtech gravity 159 8.5.1 Facebook experience vs. WeChat engagement 160 8.5.2 Amazon’s platform philosophy 161 8.6 Financial services fight back 164 8.6.1 Cloud-native payment providers are also chipping away bank revenues 164 8.6.2 Ping An’s investment philosophy 166 8.6.3 Banking orchestration of non-banking ecosystems 168 8.6.4 The platform of platforms 170 8.7 Conclusions 173 Takeaways for banks and fintech 174 Chapter 9 Foundations of Financial Market Transparency 175 9.1 Introduction 175 9.2 Contextual Banking and architectural resilience 177 9.3 Conscious Banking and financial antifragility 179 9.3.1 Breaking out from mainstream reference theory 179 9.3.2 Opening the reference system to fundamental uncertainty 181 9.4 Empirical evidence to open platforms and reference systems 183 9.5 Conclusions 186 Takeaways for banks and fintech 187 CHAPTER 10 Conscious Banking 189 10.1 Introduction 190 10.2 Micro and macro antifragility across ecosystems 193 10.2.1 Value generation at the micro-level investors’ ecosystem 193 10.2.2 Value generation at the macro-level financial ecosystem 196 10.3 Unlocking hidden value in the ecosystem 197 10.4 Exponential technologies on transparent markets 199 10.4.1 Generating value with transparent AI 199 10.4.2 Opening up the reference system with technology 201 10.4.3 Integrating clients’ emotion with a transparent heuristic 203 10.4.4 Opening the AI envelope to stay radically rational 204 10.5 The scientific shift from reductionism to holism 205 10.5.1 Conscious Banking platforms on the edge of chaos 206 10.5.2 Augmenting the human mind with technology 207 10.6 The core engine of Conscious Banking platforms 208 10.6.1 Value-generating interactions based on cost-benefit analysis 208 10.6.2 Open up the risk management engine to the conscious image of endogenous uncertainty 210 10.7 Conclusions 212 Takeaways for banks and fintech 213 Concluding Remarks 215 Bibliography 219 Index 227

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Book SynopsisEducate yourself about finance and socially conscious investing with a woman-centered approach Activate Your Money provides the foundational support women need to talk to each other about their money, invest to grow their wealth, and to take the actions required to shift their assets into alignment with their values. Written for smart, savvy women who want to feel financially empowered, Activate Your Money starts where other personal finance books leave off. It delivers the depth of information you need to make informed investment decisions across your entire portfolio. Starting with checking and savings accounts and proceeding asset class by asset class, this book provides you with core investment knowledge, as well as concrete examples about how and where you can invest your money in alignment with your values. You don''t have to do it alone. As women, our strength is in relationships, and this book will help you use that strength to attain betteTable of ContentsPreface: Welcome to a Brave New World xiii Part 1 Establishing Your Foundation 1 Chapter 1 Values-Aligned Investing: Step into Your Financial Power 3 Chapter 2 Your Relationship with Money: Invest with Your Heart and Mind 15 Chapter 3 Your Financial Foundation: Master Some Core Principles 31 Part 2 Crafting an Aligned Portfolio 53 Chapter 4 Cash: Activate Your Savings and Checking Accounts 55 Chapter 5 Cash Alternatives: Yield Higher Returns for Idle Cash 77 Chapter 6 Fixed Income: Grasp the Potential of Bonds 87 Chapter 7 Public Equities: Invest in the Stock Market with Confidence 113 Chapter 8 Public Equities: Select Values-Aligned Investments 133 Chapter 9 Private Investments: Explore Private Debt, Private Equity, and Angel Investing 153 Chapter 10 Alternative Investments: Achieve Deeper Diversification and Impact 177 Chapter 11 Maximize Your Philanthropy: Finish with Grants and Concessionary Investing 199 Part 3 Building a Community of Support 221 Chapter 12 Professional Support: Find Values-Aligned Financial Advisors 223 Chapter 13 Retirement Accounts: Build Values into IRAs and Employer Plans 243 Chapter 14 Gather Your Friends: Get Together for Fun and Profit 261 Conclusion Stepping into Your Financial Future 273 Glossary275 Acknowledgments 285 About the Author 289 Index 291

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Book SynopsisTable of ContentsIntroduction 1 About This Book 1 Foolish Assumptions 2 Icons Used in This Book 2 Beyond the Book 3 Where to Go from Here 3 Part 1: Understanding Financial Security 5 Chapter 1: Navigating the (Bumpy) Road to Financial Independence 7 Reaching for Financial Security 8 Defining what you value 8 Assessing where you are 10 Grasping financial lingo and trends 11 Trying not to avoid money 11 Making use of insurance: A necessary evil 12 Coping with Crises 13 Everyone faces challenges, obstacles, and setbacks 13 Common crisis 14 Making Decisions Based on Changing Circumstances 15 Chapter 2: Understanding Capitalism and Economic Downturns 17 Understanding Our Economic System 18 Capitalism strengths and criticism 18 History of growth and downturns 22 Touring Past Crises: What Happened and Why 25 Why pilot training has relevance for your tour 25 The Panic of 1907 26 The Great Depression 27 World War II 29 Arab oil embargo and Watergate/Nixon’s resignation 29 9/11 terrorist attacks and recession 30 2008 financial crisis 31 2020 COVID-19 Pandemic 32 Mistakes Made and Lessons to Carry With You 35 Chapter 3: Coping with Personal Crises 39 When a Crisis Comes Calling 40 Losing your job or a significant source of income 40 Facing a medical crisis 43 Caring for elderly parents unexpectedly 44 Splitting from your spouse 46 Coping with the death of a spouse 47 Dealing with a natural disaster 48 Success Plans for Personal Crises and Life Changes 49 Keeping your big picture in mind 50 Considering a comprehensive checklist 50 Part 2: Crisis Mode: Accessing Safety Nets and Emergency Measures 53 Chapter 4: Your Safety Nets 55 Taking Stock of Your Resources 55 Surveying your accessible money and spending options 56 Finding assistance from family 57 Ensuring adequate insurance coverage 58 Surveying Societal Safety Nets 59 Health insurance subsidies 59 Unemployment insurance benefits 63 Federal refundable tax credits 64 Help with housing 65 For more information on safety net programs 66 Chapter 5: Digging Out and Forging Ahead 67 Turning Your Eye toward Recovery 67 Knowing how long it will take to regain stable financial footing 68 Coping with frustration and moving on 69 Thinking (and Researching) Before Making Financial Moves 70 Wise financial actions to take 70 Boneheaded financial actions to avoid 70 Leaning on an Expert for Help 71 Knowing how experts can help 72 Being careful in a time of need 72 Finding financial advisors and planners 72 Being aware of budget counselors 75 Investing in investment managers 76 Looking into real estate agents 77 Making note of tax preparers and advisors 79 Dealing with insurance agents 80 Tuning in to attorneys 80 Minding Your Media Intake 80 Example 1: The COVID-19 pandemic 81 Example 2: The 2008 Financial Crisis 83 Example 3: Corporations not paying income taxes 85 Lessons learned and keys to remember 86 Part 3: Being a Smart Consumer of Economic Information 87 Chapter 6: So Many Numbers! Making Sense of Economic Reports 89 Keeping Economic Reports in Perspective 90 Reports are a (small) snapshot in time 90 Beware annualized numbers 91 Take a long-term view of the numbers 92 Sleuthing Through Economic Reports 93 Employment/jobs reports 93 Gross Domestic Product 95 Consumer confidence 96 Corporate profits 97 Consumer prices (also known as inflation) 99 The reports you can mostly ignore 100 Interpreting Media Coverage of Economic Data 102 Understanding the short-term and provocative focus 102 Keeping an eye out for biases 102 Example 1: The COVID-19 pandemic 103 Example 2: The 2008 financial crisis 105 Chapter 7: Says Who? Weighing “Experts’” Advice 109 Understanding Why Particular Pundits Get Attention 110 Important things to know about the “news” media 110 Getting media attention is a competitive business 112 Controversial points of view often attract 112 Political partisans can be hazardous to your wealth 114 Uncovering Gurus’ Agendas 118 Figuring out what they’re really selling 118 Checking out their qualifications and track records 119 Deciding Whether Hiring an Advisor is the Right Choice 120 Chapter 8: Following Financial Markets 121 Understanding Stocks and Bonds 122 Making Informed Investing Decisions 123 Connecting corporate profits to stock prices 124 Looking at financial market efficiency 125 Focusing on interest rates, inflation, and the Federal Reserve 126 Challenging Financial Markets During Changing Times 129 What really moves financial markets (in the short term) 130 Why market timing is so hard to do 131 Part 4: Keeping Your Personal Finance House in Order 133 Chapter 9: Getting on the Right Road with Spending and Saving 135 Getting a Handle on Your Spending 136 Differentiating necessities from luxuries 136 Reducing your expenditures 137 Setting and following a budget 143 Some final spending reminders 144 Saving: Necessary Rocket Fuel 145 Understanding compounded returns 146 Considering your short- and long-term personal and financial goals 146 Noting the power of tax-deferred retirement accounts 149 Upping Your Income 151 Lowering Your Tax Bill 152 Knowing your income tax rate 152 Using your income tax rate 153 Taxing issues regarding children 156 Making quarterly tax filing requirements 157 Ouch! Dealing with Major Medical Bills 158 Reviewing your billing statements for accuracy 158 Negotiating with providers or an insurance company 158 Chapter 10: Investing Wisely and Securely 161 Checking Out All the Places You Can Invest Your Money 161 Noting how investment types differ from one another 162 Understanding the major investments 164 Building wealth with stocks 165 Locating money through real estate 171 Turning to small business options 174 Searching for safe money investments 175 Cultivating Good Investing Habits 176 Understanding fees 177 Managing monitoring and trading your investments 178 Keeping your emotions from following market trends 180 Dealing with investment setbacks 181 Developing a Personal Investing Plan 182 Taxing situations 183 Assessing your current portfolio 183 Allocating those assets 185 Selecting the Best Mutual Funds and Exchange-Traded Funds (ETFs) 188 Investing in stock and bond funds 189 Minding the ABCs of ETFs 191 Seizing Investment Opportunities During Tough Times 191 Cashing in on reduced stock and real estate prices 192 Mustering the courage to buy when more people are selling 193 Chapter 11: Getting and Maintaining Proper Insurance 195 Being Prepared: A Quick Lesson on Insurance 196 Don’t sweat the small losses 196 Define a small loss 197 Insurance not to buy 198 Insurance worth purchasing 199 Protecting Your Health 199 Reviewing your current health insurance 200 Saving tax dollars with health savings accounts 201 Maximizing your personal health 202 Securing Your Income-Earning Ability 204 Long-term disability insurance 204 Life insurance 207 Insurance on Your Assets 209 Insuring your home 210 Auto insurance 213 Excess liability insurance 217 Will, Trusts, and Estate Planning 217 Starting with a will 217 Preparing other useful legal documents 218 Considering your preparation options 219 Protecting Yourself from Identity Theft and Fraud 219 Part 5: Prepping for Future Armageddon 223 Chapter 12: What Pundits Scare People About 225 Fearmongers Have Been Scaring Folks for Generations 226 Case study: Peter Schiff has been scaring investors for generations 227 Understanding what pundits are trying to sell you 231 Seeing why fearmongers’ predictions are often wrong 232 Surveying the Leading Worries Being Pitched Today 233 Excessive government debts 233 High inflation and worthless currencies 237 Anarchy and the breakdown of society 238 Chapter 13: Preparing Yourself for Unexpected Future Crises 241 What Possible Future Crises Should You Be Prepared For? 242 Dangers of excessive dependence upon technology and internet 243 Hazards of faster and inaccurate “news” flow 243 Spreading socialism 245 Climate change (also known as global warming) 245 Power grid failures and resource shortages 247 Solvency of Social Security 248 Preparing Financially and Otherwise for New Future Crises 249 Part 6: The Part of Tens 251 Chapter 14: Tens Ways to Improve Your Personal Safety 253 Combine Your Instincts with Proven Strategies 253 What You Don’t Know Can Hurt You 254 Do Unto Others As You Would Have Others Do Unto You 254 Err on the Side of Caution 255 There’s (Some) Safety in Numbers, But There May be a Weak Link 255 If It Looks Too Good to Be True, It Probably is 255 Don’t Assume “Lightning Never Strikes Twice” 256 Don’t Judge a Book by Its Cover 257 Trust Your Instincts 257 Share Your Concerns with Someone You Trust 257 Chapter 15: Ten Ways to Address Over-Saving 259 Understanding the Over-Saver Mindset 259 Balancing Spending and Saving 261 Keeping Money Accumulation in Proper Perspective 261 Giving Yourself Permission to Spend More 262 Doing Some Retirement Analysis 262 Getting Smart about Investing Your Money 262 Going On a News Diet 262 Treating Yourself to Something Special 263 Buying More Gifts for the People You Love 263 Going Easy When It Comes to Everyday Expenses 263 Index 265

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Book SynopsisTable of ContentsIntroduction 1 Part 1: Getting Started with Fundraising 5 Chapter 1: Fundraising Continuously During Economic Fluctuations 7 Chapter 2: Embracing Fundraising with a Passion 21 Chapter 3: All About Attitude: Fundraising Issues and Ethics 33 Chapter 4: Winning with Words: Your Case Statement 45 Chapter 5: Organizing Your Cheerleaders: Board Members and Volunteers 63 Chapter 6: Creating a Fundraising Plan 81 Part 2: Identifying Potential Donors and Rallying for Their Support 99 Chapter 7: Mining for Donors 101 Chapter 8: Meeting Your Donor with Grace and Grit 115 Chapter 9: Cultivating Major Givers 127 Chapter 10: Making the Major Gift Ask 139 Chapter 11: Writing Winning Grant Proposals to Reach Your Fundraising Goal 155 Part 3: Sharing the Organization’s Story and Building Its Brand 175 Chapter 12: Connecting for Potential Donor Awareness: Sharing Your Story 177 Chapter 13: Projecting Your Organization’s Image in the Media 191 Chapter 14: Social Media Networking to Build Potential Donor Awareness 205 Chapter 15: Perfecting Electronic Communications 217 Chapter 16: Ramping Up Your Website 229 Chapter 17: Spotlighting Your Brand Online 241 Part 4: Engaging Donors with the Right Campaigns 253 Chapter 18: Organizing, Implementing, and Celebrating Your Annual Fund 255 Chapter 19: Planning a Successful Special Event 271 Chapter 20: Asking for the Big Bucks: The Capital Campaign 283 Chapter 21: Securing the Big Three: Major Gifts, Planned Gifts, and Challenge Grants 297 Chapter 22: Tapping into Corporate Givers 317 Chapter 23: Building and Growing an Endowment 327 Part 5: The Part of Tens 335 Chapter 24: Ten Fundraising Resources for New Nonprofit Organizations 337 Chapter 25: Ten Snippets of Powerful Fundraising Communications 347 Index 353

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