Risk Management and Financial Institutions
-15%
portes grátis
Risk Management and Financial Institutions
John Wiley & Sons Inc
04/2015
752
Mole
Inglês
9781118955949
15 a 20 dias
Descrição não disponível.
Business Snapshots xxi Preface xxiii Chapter 1: Introduction 1 PART ONE : FINANCIAL INSTITUTIONS AND THEIR TRADING Chapter 2: Banks 25 Chapter 3: Insurance Companies and Pension Plans 45 Chapter 4: Mutual Funds and Hedge Funds 71 Chapter 5: Trading in Financial Markets 93 Chapter 6: The Credit Crisis of 2007 121 Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds 137 PART TWO : MARKET RISK Chapter 8: How Traders Manage Their Risks 153 Chapter 9: Interest Rate Risk 175 Chapter 10: Volatility 201 Chapter 11: Correlations and Copulas 231 Chapter 12: Value at Risk and Expected Shortfall 255 Chapter 13: Historical Simulation and Extreme Value Theory 277 Chapter 14: Model-Building Approach 299 PART THREE : REGULATION Chapter 15: Basel I, Basel II, and Solvency II 325 Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes 353 Chapter 17: Fundamental Review of the Trading Book 373 PART FOUR : CREDIT RISK Chapter 18: Managing Credit Risk: Margin, OTC Markets, and CCPs 383 Chapter 19: Estimating Default Probabilities 401 Chapter 20: CVA and DVA 429 Chapter 21: Credit Value at Risk 447 PART FIVE : OTHER TOPICS Chapter 22: Scenario Analysis and Stress Testing 463 Chapter 23: Operational Risk 481 Chapter 24: Liquidity Risk 501 Chapter 25: Model Risk 527 Chapter 26: Economic Capital and RAROC 547 Chapter 27: Enterprise Risk Management 565 Chapter 28: Risk Management Mistakes to Avoid 579 PART SIX : APPENDICES Appendices 591 Answers to Questions and Problems 629 Glossary 669 DerivaGem Software 689 Tables for N(x) 695 Index 699
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Business Snapshots xxi Preface xxiii Chapter 1: Introduction 1 PART ONE : FINANCIAL INSTITUTIONS AND THEIR TRADING Chapter 2: Banks 25 Chapter 3: Insurance Companies and Pension Plans 45 Chapter 4: Mutual Funds and Hedge Funds 71 Chapter 5: Trading in Financial Markets 93 Chapter 6: The Credit Crisis of 2007 121 Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds 137 PART TWO : MARKET RISK Chapter 8: How Traders Manage Their Risks 153 Chapter 9: Interest Rate Risk 175 Chapter 10: Volatility 201 Chapter 11: Correlations and Copulas 231 Chapter 12: Value at Risk and Expected Shortfall 255 Chapter 13: Historical Simulation and Extreme Value Theory 277 Chapter 14: Model-Building Approach 299 PART THREE : REGULATION Chapter 15: Basel I, Basel II, and Solvency II 325 Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes 353 Chapter 17: Fundamental Review of the Trading Book 373 PART FOUR : CREDIT RISK Chapter 18: Managing Credit Risk: Margin, OTC Markets, and CCPs 383 Chapter 19: Estimating Default Probabilities 401 Chapter 20: CVA and DVA 429 Chapter 21: Credit Value at Risk 447 PART FIVE : OTHER TOPICS Chapter 22: Scenario Analysis and Stress Testing 463 Chapter 23: Operational Risk 481 Chapter 24: Liquidity Risk 501 Chapter 25: Model Risk 527 Chapter 26: Economic Capital and RAROC 547 Chapter 27: Enterprise Risk Management 565 Chapter 28: Risk Management Mistakes to Avoid 579 PART SIX : APPENDICES Appendices 591 Answers to Questions and Problems 629 Glossary 669 DerivaGem Software 689 Tables for N(x) 695 Index 699
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