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Chapter 1: Introduction
1.1 RISK VS. RETURN FOR INVESTORS
1.2 THE EFFICIENT FRONTIER
1.3 THE CAPITAL ASSET PRICING MODEL
1.4 ARBITRAGE PRICING THEORY
1.5 RISK VS. RETURN FOR COMPANIES
1.6 RISK MANAGEMENT BY FINANCIAL INSTITUTIONS
1.7 CREDIT RATINGS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 2: Banks
2.1 COMMERCIAL BANKING
2.2 THE CAPITAL REQUIREMENTS OF A SMALL COMMERCIAL BANK
2.3 DEPOSIT INSURANCE
2.4 INVESTMENT BANKING
2.5 SECURITIES TRADING
2.6 POTENTIAL CONFLICTS OF INTEREST IN BANKING
2.7 TODAY’S LARGE BANKS
2.8 THE RISKS FACING BANKS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 3: Insurance Companies and Pension Plans
3.1 LIFE INSURANCE
3.2 ANNUITY CONTRACTS
3.3 MORTALITY TABLES
3.4 LONGEVITY AND MORTALITY RISK
3.5 PROPERTY-CASUALTY INSURANCE
3.6 HEALTH INSURANCE
3.7 MORAL HAZARD AND ADVERSE SELECTION
3.8 REINSURANCE
3.9 CAPITAL REQUIREMENTS
3.10 THE RISKS FACING INSURANCE COMPANIES
3.11 REGULATION
3.12 PENSION PLANS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 4: Mutual Funds and Hedge Funds
4.1 MUTUAL FUNDS
4.2 HEDGE FUNDS
4.3 HEDGE FUND STRATEGIES
4.4 HEDGE FUND PERFORMANCE
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 5: Trading in Financial Markets
5.1 THE MARKETS
5.2 LONG AND SHORT POSITIONS IN ASSETS
5.3 DERIVATIVES MARKETS
5.4 PLAIN VANILLA DERIVATIVES
5.5 CLEARING HOUSES
5.6 MARGIN
5.7 NON-TRADITIONAL DERIVATIVES
5.8 EXOTIC OPTIONS AND STRUCTURED PRODUCTS
5.9 RISK MANAGEMENT CHALLENGES
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 6: The Credit Crisis of 2007
6.1 THE U.S. HOUSING MARKET
6.2 SECURITIZATION
6.3 THE CRISIS
6.4 WHAT WENT WRONG?
6.5 LESSONS FROM THE CRISIS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 7: How Traders Manage Their Risks
7.1 DELTA
7.2 GAMMA
7.3 VEGA
7.4 THETA
7.5 RHO
7.6 CALCULATING GREEK LETTERS
7.7 TAYLOR SERIES EXPANSIONS
7.8 THE REALITIES OF HEDGING
7.9 HEDGING EXOTIC OPTIONS
7.10 SCENARIO ANALYSIS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS

NET INTEREST INCOME
8.2 LIBOR AND SWAP RATES
8.3 DURATION
8.4 CONVEXITY
8.5 GENERALIZATION
8.6 NONPARALLEL YIELD CURVE SHIFTS
8.7 INTEREST RATE DELTAS IN PRACTICE
8.8 PRINCIPAL COMPONENTS ANALYSIS
8.9 GAMMA AND VEGA
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 9: Value at Risk
9.1 DEFINITION OF VaR
9.2 EXAMPLES OF THE CALCULATION OF VaR
9.3 VaR vs. EXPECTED SHORTFALL
9.4 VaR AND CAPITAL
9.5 COHERENT RISK MEASURES
9.6 CHOICE OF PARAMETERS FOR VAR
9.7 MARGINAL VAR, INCREMENTAL VAR, AND COMPONENT VAR
9.8 EULER’S THEOREM
9.9 AGGREGATING VaRS
9.10 BACK-TESTING
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 10: Volatility
10.1 DEFINITION OF VOLATILITY
10.2 IMPLIED VOLATILITIES
10.3 ARE DAILY PERCENTAGE CHANGES IN FINANCIAL VARIABLES NORMAL?
10.4 THE POWER LAW
10.5 MONITORING DAILY VOLATILITY
10.6 THE EXPONENTIALLY WEIGHTED MOVING AVERAGE MODEL
10.7 THE GARCH(1,1) MODEL
10.8 CHOOSING BETWEEN THE MODELS
10.9 MAXIMUM LIKELIHOOD METHODS
10.10 USING GARCH(1,1) TO FORECAST FUTURE VOLATILITY
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 11: Correlations and Copulas
11.1 DEFINITION OF CORRELATION
11.2 MONITORING CORRELATION
11.3 MULTIVARIATE NORMAL DISTRIBUTIONS
11.4 COPULAS
11.5 APPLICATION TO LOAN PORTFOLIOS: VASICEK’S MODEL
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 12: Basel I, Basel II, and Solvency II
12.1 THE REASONS FOR REGULATING BANKS
12.2 BANK REGULATION PRE-1988
12.3 THE 1988 BIS ACCORD
12.4 THE G-30 POLICY RECOMMENDATIONS
12.5 NETTING
12.6 THE 1996 AMENDMENT
12.7 BASEL II
12.8 CREDIT RISK CAPITAL UNDER BASEL II
12.9 OPERATIONAL RISK CAPITAL UNDER BASEL II
12.10 PILLAR 2: SUPERVISORY REVIEW
12.11 PILLAR 3: MARKET DISCIPLINE
12.12 SOLVENCY II
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 13: Basel 2.5, Basel III, and Dodd–Frank
13.1 BASEL 2.5
13.2 BASEL III
13.3 CONTINGENT CONVERTIBLE BONDS
13.4 DODD–FRANK ACT
13.5 LEGISLATION IN OTHER COUNTRIES
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 14: Market Risk VaR: The Historical Simulation Approach
14.1 THE METHODOLOGY
14.2 ACCURACY
14.3 EXTENSIONS
14.4 COMPUTATIONAL ISSUES
14.5 EXTREME VALUE THEORY
14.6 APPLICATIONS OF EVT
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 15: Market Risk VaR: The Model-Building Approach
15.1 THE BASIC METHODOLOGY
15.2 GENERALIZATION
15.3 CORRELATION AND COVARIANCE MATRICES
15.4 HANDLING INTEREST RATES
15.5 APPLICATIONS OF THE LINEAR MODEL
15.6 LINEAR MODEL AND OPTIONS
15.7 QUADRATIC MODEL
15.8 MONTE CARLO SIMULATION
15.9 NON-NORMAL ASSUMPTIONS
15.10 MODEL-BUILDING vs. HISTORICAL SIMULATION
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 16: Credit Risk: Estimating Default Probabilities
16.1 CREDIT RATINGS
16.2 HISTORICAL DEFAULT PROBABILITIES
16.3 RECOVERY RATES
16.4 CREDIT DEFAULT SWAPS
16.5 CREDIT SPREADS
16.6 ESTIMATING DEFAULT PROBABILITIES FROM CREDIT SPREADS
16.7 COMPARISON OF DEFAULT PROBABILITY ESTIMATES
16.8 USING EQUITY PRICES TO ESTIMATE DEFAULT PROBABILITIES
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 17: Counterparty Credit Risk in Derivatives
17.1 CREDIT EXPOSURE ON DERIVATIVES
17.2 BILATERAL CLEARING
17.3 CENTRAL CLEARING
17.4 CVA
17.5 THE IMPACT OF A NEW TRANSACTION
17.6 CVA RISK
17.7 WRONG WAY RISK
17.8 DVA
17.9 SOME SIMPLE EXAMPLES
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 18: Credit Value at Risk
18.1 RATINGS TRANSITION MATRICES
18.2 VASICEK’S MODEL
18.3 CREDIT RISK PLUS
18.4 CREDITMETRICS
18.5 CREDIT VAR IN THE TRADING BOOK
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 19: Scenario Analysis and Stress Testing
19.1 GENERATING THE SCENARIOS
19.2 REGULATION
19.3 WHAT TO DO WITH THE RESULTS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 20: Operational Risk
20.1 WHAT IS OPERATIONAL RISK?
20.2 DETERMINATION OF REGULATORY CAPITAL
20.3 CATEGORIZATION OF OPERATIONAL RISKS
20.4 LOSS SEVERITY AND LOSS FREQUENCY
20.5 IMPLEMENTATION OF AMA
20.6 PROACTIVE APPROACHES
20.7 ALLOCATION OF OPERATIONAL RISK CAPITAL
20.8 USE OF POWER LAW
20.9 INSURANCE
20.10 SARBANES-OXLEY
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 21: Liquidity Risk
21.1 LIQUIDITY TRADING RISK
21.2 LIQUIDITY FUNDING RISK
21.3 LIQUIDITY BLACK HOLES
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 22: Model Risk
22.1 MARKING TO MARKET
22.2 MODELS FOR LINEAR PRODUCTS
22.3 PHYSICS vs. FINANCE
22.4 HOW MODELS ARE USED FOR PRICING STANDARD PRODUCTS
22.5 HEDGING
22.6 MODELS FOR NONSTANDARD PRODUCTS
22.7 DANGERS IN MODEL BUILDING
22.8 DETECTING MODEL PROBLEMS
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 23: Economic Capital and RAROC
23.1 DEFINITION OF ECONOMIC CAPITAL
23.2 COMPONENTS OF ECONOMIC CAPITAL
23.3 SHAPES OF THE LOSS DISTRIBUTIONS
23.4 RELATIVE IMPORTANCE OF RISKS
23.5 AGGREGATING ECONOMIC CAPITAL
23.6 ALLOCATION OF ECONOMIC CAPITAL
23.7 DEUTSCHE BANK’S ECONOMIC CAPITAL
23.8 RAROC
SUMMARY
FURTHER READING
PRACTICE QUESTIONS AND PROBLEMS (ANSWERS AT END OF BOOK)
FURTHER QUESTIONS
Chapter 24: Risk Management Mistakes to Avoid
24.1 RISK LIMITS
24.2 MANAGING THE TRADING ROOM
24.3 LIQUIDITY RISK
24.4 LESSONS FOR NONFINANCIAL CORPORATIONS
24.5 A FINAL POINT
FURTHER READING
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