Macrofinancial Risk Analysis

Foreword
 
Preface
 
1 Introduction
 
PART I OVERVIEW OF FINANCE, MACROECONOMICS, AND RISK CONCEPTS
 
2 A Brief History of Macroeconomics, and Why the Theory of Asset Pricing and Contingent Claims Should Shape its Future
 
References
 
3 Macroeconomic Models
 
References
 
4 Stochastic Processes, Asset Pricing, and Option Pricing
 
Appendix 4A Primer on relationship of put, call, and exchange options
 
Appendix 4B Physics, Feynman, and finance
 
References
 
5 Balance Sheets, Implicit Options, and Contingent Claims Analysis
 
References
 
6 Further Extensions and Applications of Contingent Claims Analysis
 
Appendix 6A Calculating parameters in the Vasicek model
 
References
 
PART II THE MACROFINANCE MODELING FRAMEWORK
 
7 The Macrofinance Modeling Framework: Interlinked Sector Balance Sheets
 
References
 
8 The Macrofinance Modeling Framework: A Closer Look at the Sovereign CCA Balance Sheet
 
Appendix 8A Value and volatility of local currency liabilities and base money
 
References
 
9 The Macrofinance Modeling Framework: Linking Interest Rate Models in Finance and Macroeconomics
 
References
 
10 Macrofinance Modeling Framework: Financial Sector Risk and Stability Analysis
 
Appendix 10A CCA model for banks and borrowers with foreign-currency-denominated debt and lending spreads based on credit risk
 
References
 
11 Macrofinancial Modeling Framework: Extensions to Different Exchange Rate Regimes
 
References
 
PART III LINKING MACROFINANCIAL AND MACROECONOMIC FRAMEWORKS
 
12 Sovereign Reserve, Debt, and Wealth Management from a Macrofinancial Risk Perspective
 
References
 
13 Macrofinancial Modeling Framework: Relationship to Accounting Balance Sheets and the Flow of Funds
 
Appendix 13A Cross-holding by households and

Dr. DALE GRAY is the Senior Risk Expert in the Monetary and Capital Markets Department of the International Monetary Fund (IMF). He is founder and President of Macro Financial Risk, Inc. (Mf Risk) a pioneer in the application of risk management tools to economies (board members include Robert Merton and Zvi Bodie). He has worked for investment banks, hedge funds, Moody's Investors Service, IMF, World Bank, IFC as well as advising governments on macro risk analysis, management of sovereign wealth funds, and the design of risk mitigation strategies. He has worked on over thirty countries, is a frequent lecturer with numerous publications. He has a Ph.D. from MIT, MS from Stanford and is a certified Financial Risk Manager.

Dr. SAMUEL W. MALONE is a professor of finance at the IESA, a business school in Caracas, and director of ProAlea, Inc., a risk and strategy consultancy based in Latin America. He holds a doctorate in economics from the University of Oxford, UK, and undergraduate degrees in mathematics and economics from Duke University, where he graduated Phi Beta Kappa with summa cum laude Latin honors. Elected to attend Oxford as a Rhodes Scholar representing the United States, Malone is also a four-time winner of the international Mathematical Contest in Modeling, an intensive problem-solving competition in which participants devise and write up solutions to real-world problems chosen by experts in government and industry. Author of several articles in applied mathematics and economics, he has consulted for the International Monetary Fund and the Inter-American Development Bank in Washington, DC.

"...compelling" (Risk, November 2008)