Risk Management and

Financial Institutions, 3rd Edition

ISBN: 978-1-118-26903-9

Chapter 1:   Introduction

Chapter 2:   Banks

Chapter 3:   Insurance Companies and Pension Funds

Chapter 4:   Mutual Funds and Hedge Funds

Chapter 5:   Trading in Financial Markets

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 RiskChapter 21: Liquidity Risk

Chapter 22: Model Risk

Chapter 23: Economic Capital and RAROC

Chapter 24: Risk Management Mistakes to Avoid

Appendix A:  Compounding Frequencies and 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:   The 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 of Terms

DerivaGem Software

Table for N(x) when x≤0Table for N(x) when x≥0

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