Macrofinancial Risk Analysis

Description

Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.Content: Chapter 1 Introduction (pages 1–5): Chapter 2 An Overview of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future (pages 7–28): Chapter 3 Macroeconomic Models (pages 29–42): Chapter 4 Stochastic Processes, Asset Pricing, and Option Pricing (pages 43–58): Chapter 5 Balance Sheets, Implicit Options, and Contingent Claims Analysis (pages 59–72): Chapter 6 Further Extensions and Applications of Contingent Claims Analysis (pages 73–89): Chapter 7 The Macrofinance Modeling Framework: Interlinked Sector Balance Sheets (pages 91–107): Chapter 8 The Macrofinance Modeling Framework: A Closer Look at the Sovereign CCA Balance Sheet (pages 109–128): Chapter 9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics (pages 129–137): Chapter 10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis (pages 139–162): Chapter 11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes (pages 163–174): Chapter 12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective (pages 175–185): Chapter 13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds (pages 187–202): Chapter 14 Macrofinancial Risk Framework Linked to Macroeconomic Models (pages 203–218): Chapter 15 Macroeconomic Models vs. Crisis Models: Why Nonlinearity Matters (pages 219–230): Chapter 16 Sensitivity Analysis, Destabilization Mechanisms, and Financial Crises (pages 231–245): Chapter 17 The Case of Thailand, 1996–1999 (pages 247–258): Chapter 18 The Brazil Crisis of 2002–2003 (pages 259–266): Chapter 19 International Shocks, Risk Transmission, and Crisis Prevention: Backdrop for Understanding the 2007–08 Global Financial Credit Turmoil (pages 267–284): Chapter 20 Macro Risk Management: Ways to Mitigate, Control, and Transfer Risk in the Economy (pages 285–295): Chapter 21 Integrated Framework for Corporate and Sovereign Relative Value and Capital Structure Arbitrage (pages 297–302): Chapter 22 Conclusions and New Directions for Macrofinance (pages 303–309):