Earticle

초록

영어

This paper first dichotomizes risk drivers into “stock” or “flow” attributes. Stock risk drivers are prices of tradable securities and flow risk drivers are rates represented by the stochastic movements of a term structure of securities. This paper then shows that the Black Scholes model is the relative valuation model for the stock risk drivers while the proposed unified model is for the flow risk drivers. The unified model can be described in the Ho-Lee model framework. We apply this model to five different flow risk drivers: interest rate, credit risk, liquidity risk, energy risk, and inflation risk. We then show that the unified model provides an analytical framework for securities that are subjected to several of these flow risk drivers, offering many applications. For example, the 2008 financial crisis clearly shows the importance of the use of a unified model in enterprise risk management. The crisis demonstrates that risk management should not take a silo approach to manage each flow risk driver, such as interest rate risk and credit risk. We propose an integrated approach to manage risks using the unified model.

목차

Abstract
 I. Introduction
 II. The Black Scholes Model and the Ho Lee Model
 III. Examples of Term Structure of Flow Risk Drivers
  A. Interest Rate Model
  B. Credit Valuation Model
  C. Liquidity Valuation Model
  D. Energy Valuation Model
  E. Inflation Contingent Claims Valuation Model
 IV. Modeling the Stochastic Process of the Unified Model
 V. Implications of the Unified Model to Risk Management
  A. Relevance of the Unified Model to the Financial Crisis 2008
  B. Benchmark securities and model calibration
  C. Combining interest rate risk, credit risk and liquidity risk in enterprise risk management
  D. Financial Engineering Considerations
 VI. Conclusions
 Appendix
 REFERENCES

저자

• Thomas S. Y. Ho [ President Thomas Ho Company, Ltd ]
• Sang Bin Lee [ Professor in Finance Hanyang University Seoul, Korea ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330