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Risk Management and Financial Institutions

Опубликовано на портале: 26-04-2007
Изд-во: Prentice Hall, 2006, 528 с.
Тематический раздел:
Based on one of the most popular MBA courses at University of Toronto entitled “Financial Risk Management”, this text focuses on the ways banks and other financial institutions measure market, credit and operational risk. John C. Hull, author of the book “Options, Futures, and Other Derivatives” which became the standard reference text for traders, wrote “Risk Management and Financial Institutions” for use in instruction as well as trade. The practical nature of the book lends itself to a “this is how you do it” presentation style that includes excellent account of the new Basel II regulatory requirements for banks effective in 2007

  • Preface
  • Introduction
  • Financial Products and How They are Used for Hedging
  • How Traders Manage Their Exposures
  • Interest Rate Risk
  • Volatility
  • Correlation and Copulas
  • Bank Regulation and Basel II
  • The VaR Measure
  • Market Risk VaR: Historical Simulation Approach
  • Market Risk VaR: Model Building Approach
  • Credit Risk: Estimating Default Probabilities
  • Credit Risk Losses and Credit VaR
  • Credit Derivatives
  • Operational Risk
  • Model Risk and Liquidity Risk
  • Economic Capital and RAROC
  • Weather, Energy, and Insurance Derivatives
  • Big Losses and What We Can Learn from Them
  • Appendix A: Value Forward and Futures Contracts
  • Appendix B: Valuing Swaps
  • Appendix C: Valuing European Options
  • Appendix D: Valuing American Options
  • Appendix E: Manipulation of Credit Transition Matrices
  • Answers to End-of Chapter Problems
  • Glossary of Terms
  • Tables for N(x)
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