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Fully revised and updated, this new edition features coverage of Basel 2.5, Basel III and Dodd-Frank as well as expanded sections on counterparty credit risk, central clearing, and collateralization. In addition, end-of-chapter practice problems and a website featuring supplemental materials designed to provide a more comprehensive learning experience make this the ultimate learning resource. Written by acclaimed risk management expert, John Hull, Risk Management and Financial Institutions is the only book you need to understand-and respond to-financial risk. CHAPTER 1 Introduction CHAPTER 2 Banks CHAPTER 3 Insurance Companies and Pension Plans CHAPTER 4 Mutual Funds and Hedge Funds CHAPTER 6 The Credit Crisis of 2007 CHAPTER 7 How Traders Manage Their Risks CHAPTER 8 Interest Rate Risk CHAPTER 9 Value at Risk CHAPTER 10 Volatility CHAPTER 11 Correlations and Copulas CHAPTER 12 Basel I, Basel II, and Solvency II CHAPTER 13 Basel 2.5, Basel III, and Dodd--Frank CHAPTER 14 Market Risk VaR: The Historical Simulation Approach CHAPTER 15 Market Risk VaR: The Model-Building Approach CHAPTER 16 Credit Risk: Estimating Default Probabilities CHAPTER 17 Counterparty Credit Risk in Derivatives CHAPTER 18 Credit Value at Risk CHAPTER 19 Scenario Analysis and Stress Testing CHAPTER 20 Operational Risk CHAPTER 21 Liquidity Risk CHAPTER 22 Model Risk CHAPTER 23 Economic Capital and RAROC CHAPTER 24 Risk Management Mistakes to Avoid Appendix A Compounding Frequencies for Interest Rates Appendix B Zero Rates, Forward Rates, and Zero-Coupon Yield Curves Appendix C Valuing Forward and Futures Contracts Appendix D Valuing Swaps Appendix E Valuing European Options Appendix F Valuing American Options Appendix G Taylor Series Expansions Appendix H Eigenvectors and Eigenvalues Appendix I Principal Components Analysis Appendix J Manipulation of Credit Transition Matrices Appendix K Valuation of Credit Default Swaps Appendix L Synthetic CDOs and Their Valuation Answers to Questions and Problems Glossary DerivaGem Software Table for N(x) when x 2264 0 Table for N(x) when x 2265 0 Index Printed Pages: 668. Buchnummer des Verkäufers 62099
Titel: Risk Management and Financial Institutions (...
Verlag: Wiley India Pvt. Ltd
Auflage: 3rd edition.