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Macrofinancial Risk Analysis



Author: Dale Gray, Samuel W Malone

Publisher: Wiley

Genres:

Publish Date: April 28, 2008

ISBN-10: 470058315

Pages: 362

File Type: PDF

Language: English

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Book Preface

The arrival of Macrofinancial Risk Analysis, with its new perspective on how investors, bankers, risk managers, economic overseers and policymakers can measure and analyze risk in both emerging market and developed economies, could not have been better timed. We are amidst a perplexing financial crisis of banking and credit risk which is directly affecting the United States, United Kingdom and Europe. At the same moment, many emerging market countries, often the sources of financial crisis, appear remarkably strong, with large reserves and trade surpluses. How it will play out in the impending future, we do not know. But what we do know is that over the past five to ten years, the interconnected risks among emerging and developed market countries have become significantly greater, reactions in financial markets across geopolitical borders are considerably more rapid, and the complexity of the risk structures in every domain has increased dramatically. Happily, the collection of market-proven risk measurement and risk management techniques has also become proportionally richer. Dale Gray and Samuel Malone provide a prime exemplifying case by applying the financial engineering tools of contingent claims analysis (CCA) to create an innovative and substantial addition to the measurement, analysis, and management of the financial risks of a national economy. From its 1970s origins in measuring the risk and pricing of derivative securities, CCA has continuously found ever broader applications in the mainstream of finance and risk management. This book extends this type of analysis to help us better understand and evaluate risk flows among sectors and across economies and links this new approach to traditional macroeconomic analysis.


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