<p>FRM的经典参考书，强烈推荐！</p><p>Financial Risk Manager Handbook</p><p>Fourth Edition</p><p>PHILIPPE JORION<br/>GARP</p><p>Contents<br/>Preface xix<br/>Introduction xxi<br/>PART ONE<br/>Quantitative Analysis<br/>CHAPTER 1<br/>Bond Fundamentals 3<br/>1.1 Discounting, Present, and Future Value 3<br/>1.2 Price-Yield Relationship 6<br/>1.2.1 Valuation 6<br/>1.2.2 Taylor Expansion 8<br/>1.3 Bond Price Derivatives 9<br/>1.3.1 Interpreting Duration and Convexity 16<br/>1.3.2 Portfolio Duration and Convexity 23<br/>1.4 Important Formulas 25<br/>1.5 Answers to Chapter Examples 26<br/>Appendix: Applications of Infinite Series 29<br/>CHAPTER 2<br/>Fundamentals of Probability 31<br/>2.1 Characterizing Random Variables 31<br/>2.1.1 Univariate Distribution Functions 32<br/>2.1.2 Moments 33<br/>2.2 Multivariate Distribution Functions 37<br/>2.2.1 Joint Distributions 37<br/>2.2.2 Copulas 38<br/>2.2.3 Covariances and Correlations 38<br/>2.3 Functions of Random Variables 40<br/>2.3.1 Linear Transformation of Random Variables 41<br/>2.3.2 Sum of Random Variables 41<br/>2.3.3 Portfolios of Random Variables 42<br/>2.3.4 Product of Random Variables 43<br/>2.3.5 Distributions of Transformations of RVs 44<br/>2.4 Important Distribution Functions 46<br/>2.4.1 Uniform Distribution 46<br/>2.4.2 Normal Distribution 47<br/>2.4.3 Lognormal Distribution 51<br/>2.4.4 Student’s t Distribution 54<br/>2.4.5 Binomial Distribution 55<br/>2.4.6 Poisson Distribution 57<br/>vii<br/>viii CONTENTS<br/>2.5 Limit Distributions 58<br/>2.5.1 Distribution of Averages 58<br/>2.5.2 Distribution of Tails 59<br/>2.6 Important Formulas 60<br/>2.7 Answers to Chapter Examples 61<br/>Appendix: Review of Matrix Multiplication 63<br/>CHAPTER 3<br/>Fundamentals of Statistics 65<br/>3.1 Real Data 65<br/>3.1.1 Measuring Returns 66<br/>3.1.2 Time Aggregation 67<br/>3.1.3 Portfolio Aggregation 70<br/>3.2 Parameter Estimation 71<br/>3.3 Regression Analysis 74<br/>3.3.1 Bivariate Regression 74<br/>3.3.2 Autoregression 76<br/>3.3.3 Multivariate Regression 77<br/>3.3.4 Example 77<br/>3.3.5 Pitfalls with Regressions 80<br/>3.4 Important Formulas 82<br/>3.5 Answers to Chapter Examples 83<br/>CHAPTER 4<br/>Monte Carlo Methods 85<br/>4.1 Simulations with One Random Variable 85<br/>4.1.1 Simulating Markov Processes 85<br/>4.1.2 The Geometric Brownian Motion 86<br/>4.1.3 Simulating Yields 90<br/>4.1.4 Binomial Trees 92<br/>4.2 Implementing Simulations 95<br/>4.2.1 Simulation for VAR 95<br/>4.2.2 Simulation for Derivatives 95<br/>4.2.3 Accuracy 96<br/>4.3 Multiple Sources of Risk 98<br/>4.3.1 The Cholesky Factorization 99<br/>4.3.2 The Curse of Dimensionality 100<br/>4.4 Important Formulas 101<br/>4.5 Answers to Chapter Examples 102<br/>PART TWO<br/>Capital Markets<br/>CHAPTER 5<br/>Introduction to Derivatives 107<br/>5.1 Overview of Derivatives Markets 107<br/>5.2 Forward Contracts 109<br/>5.2.1 Definition 109<br/>5.2.2 Valuing Forward Contracts 111<br/>Contents ix<br/>5.2.3 Valuing an Off-Market Forward Contract 113<br/>5.2.4 Valuing Forward Contracts with<br/>Income Payments 113<br/>5.3 Futures Contracts 117<br/>5.3.1 Definitions of Futures 117<br/>5.3.2 Valuing Futures Contracts 119<br/>5.4 Swap Contracts 120<br/>5.5 Important Formulas 121<br/>5.6 Answers to Chapter Examples 121<br/>CHAPTER 6<br/>Options 123<br/>6.1 Option Payoffs 123<br/>6.1.1 Basic Options 123<br/>6.1.2 Put-Call Parity 126<br/>6.1.3 Combination of Options 128<br/>6.2 Option Premiums 132<br/>6.2.1 General Relationships 132<br/>6.2.2 Early Exercise of Options 134<br/>6.3 Valuing Options 136<br/>6.3.1 Pricing by Replication 136<br/>6.3.2 Black-Scholes Valuation 137<br/>6.3.3 Extensions 140<br/>6.3.4 Market versus Model Prices 141<br/>6.4 Other Option Contracts 143<br/>6.5 Valuing Options by Numerical Methods 146<br/>6.6 Important Formulas 148<br/>6.7 Answers to Chapter Examples 149<br/>CHAPTER 7<br/>Fixed-Income Securities 152<br/>7.1 Overview of Debt Markets 152<br/>7.2 Fixed-Income Securities 155<br/>7.2.1 Instrument Types 155<br/>7.2.2 Methods of Quotation 157<br/>7.3 Analysis of Fixed-Income Securities 158<br/>7.3.1 The NPV Approach 158<br/>7.3.2 Pricing 159<br/>7.3.3 Duration 161<br/>7.4 Spot and Forward Rates 162<br/>7.5 Prepayment 167<br/>7.5.1 Describing Prepayment Speed 167<br/>7.5.2 Prepayment Risk 169<br/>7.6 Securitization 174<br/>7.6.1 Principles of Securitization 174<br/>7.6.2 Tranching 176<br/>7.6.3 Tranching: Inverse Floaters 178<br/>7.6.4 Tranching: CMOs 180<br/>7.7 Important Formulas 182<br/>7.8 Answers to Chapter Examples 182<br/>x CONTENTS<br/>CHAPTER 8<br/>Fixed-Income Derivatives 186<br/>8.1 Forward Contracts 186<br/>8.2 Futures 189<br/>8.2.1 Eurodollar Futures 189<br/>8.2.2 T-bond Futures 190<br/>8.3 Swaps 193<br/>8.3.1 Instruments 193<br/>8.3.2 Pricing 194<br/>8.4 Options 199<br/>8.4.1 Caps and Floors 199<br/>8.4.2 Swaptions 202<br/>8.4.3 Exchange-Traded Options 204<br/>8.5 Important Formulas 205<br/>8.6 Answers to Chapter Examples 206<br/>CHAPTER 9<br/>Equity, Currency, and Commodity Markets 209<br/>9.1 Equities 209<br/>9.1.1 Overview 209<br/>9.1.2 Valuation 211<br/>9.2 Convertible Bonds and Warrants 212<br/>9.2.1 Definitions 212<br/>9.2.2 Valuation 214<br/>9.3 Equity Derivatives 216<br/>9.3.1 Stock Index Futures 216<br/>9.3.2 Single Stock Futures 219<br/>9.3.3 Equity Options 219<br/>9.3.4 Equity Swaps 220<br/>9.3.5 Variance Swaps 220<br/>9.4 Currency Markets 221<br/>9.5 Currency Swaps 223<br/>9.5.1 Instruments 223<br/>9.5.2 Pricing 224<br/>9.6 Commodities 228<br/>9.6.1 Products 228<br/>9.6.2 Pricing of Futures 229<br/>9.6.3 Futures and Expected Spot Prices 231<br/>9.7 Important Formulas 234<br/>9.8 Answers to Chapter Examples 235<br/>PART THREE<br/>Market Risk Management<br/>CHAPTER 10<br/>Introduction to Market Risk Measurement 241<br/>10.1 Introduction to Financial Market Risks 241<br/>10.1.1 Types of Financial Risks 241<br/>10.1.2 Risk Management Tools 242<br/>10.2 VAR as a Downside Risk Measure 244<br/>10.2.1 VAR: Definition 244<br/>Contents xi<br/>10.2.2 VAR: Caveats 246<br/>10.2.3 Alternative Measures of Risk 247<br/>10.2.4 Cash Flow at Risk 249<br/>10.3 VAR Parameters 250<br/>10.3.1 Confidence Level 251<br/>10.3.2 Horizon 251<br/>10.3.3 Application: The Basel Rules 253<br/>10.4 Elements of VAR Systems 254<br/>10.4.1 Portfolio Positions 254<br/>10.4.2 Risk Factors 255<br/>10.4.3 VAR Methods 255<br/>10.5 Stress-Testing 256<br/>10.6 Liquidity Risk 259<br/>10.7 Important Formulas 262<br/>10.8 Answers to Chapter Examples 262<br/>Appendix: Desirable Properties for<br/>Risk Measures 264<br/>CHAPTER 11<br/>Sources of Market Risk 267<br/>11.1 Sources of Loss: A Decomposition 267<br/>11.2 Currency Risk 268<br/>11.2.1 Currency Volatility 269<br/>11.2.2 Correlations 270<br/>11.2.3 Cross-Rate Volatility 271<br/>11.3 Fixed-Income Risk 271<br/>11.3.1 Factors Affecting Yields 272<br/>11.3.2 Bond Price and Yield Volatility 274<br/>11.3.3 Correlations 276<br/>11.3.4 Global Interest Rate Risk 278<br/>11.3.5 Real Yield Risk 279<br/>11.3.6 Credit Spread Risk 280<br/>11.3.7 Prepayment Risk 280<br/>11.4 Equity Risk 281<br/>11.4.1 Stock Market Volatility 281<br/>11.5 Commodity Risk 282<br/>11.5.1 Commodity Volatility 282<br/>11.5.2 Futures Risk 282<br/>11.6 Risk Simplification 285<br/>11.6.1 Diagonal Model 285<br/>11.6.2 Fixed-Income Portfolio Risk 286<br/>11.7 Important Formulas 288<br/>11.8 Answers to Chapter Examples 288<br/>Appendix: Simplification of the<br/>Covariance Matrix 290<br/>CHAPTER 12<br/>Hedging Linear Risk 292<br/>12.1 Introduction to Futures Hedging 293<br/>12.1.1 Unitary Hedging 293<br/>12.1.2 Basis Risk 294<br/>xii CONTENTS<br/>12.2 Optimal Hedging 296<br/>12.2.1 The Optimal Hedge Ratio 296<br/>12.2.2 Example 299<br/>12.2.3 Liquidity Issues 301<br/>12.3 Applications of Optimal Hedging 301<br/>12.3.1 Duration Hedging 301<br/>12.3.2 Beta Hedging 305<br/>12.4 Important Formulas 307<br/>12.5 Answers to Chapter Examples 307<br/>CHAPTER 13<br/>Nonlinear Risk: Options 309<br/>13.1 Evaluating Options 309<br/>13.1.1 Definitions 309<br/>13.1.2 Taylor Expansion 310<br/>13.1.3 Option Pricing 311<br/>13.2 Option “Greeks” 313<br/>13.2.1 Option Sensitivities: Delta and Gamma 313<br/>13.2.2 Option Sensitivities: Vega 316<br/>13.2.3 Option Sensitivities: Rho 318<br/>13.2.4 Option Sensitivities: Theta 319<br/>13.2.5 Option Pricing and the “Greeks” 319<br/>13.2.6 Option Sensitivities: Summary 321<br/>13.3 Dynamic Hedging 325<br/>13.3.1 Delta and Dynamic Hedging 325<br/>13.3.2 Implications 325<br/>13.3.3 Distribution of Option Payoffs 326<br/>13.4 Important Formulas 330<br/>13.5 Answers to Chapter Examples 330<br/>CHAPTER 14<br/>Modeling Risk Factors 333<br/>14.1 Normal and Lognormal Distributions 333<br/>14.1.1 Why the Normal? 333<br/>14.1.2 Computing Returns 334<br/>14.1.3 Time Aggregation 335<br/>14.2 Fat Tails 337<br/>14.3 Time-Variation in Risk 339<br/>14.3.1 GARCH 339<br/>14.3.2 EWMA 342<br/>14.3.3 Option Data 344<br/>14.3.4 Implied Distributions 345<br/>14.4 Important Formulas 347<br/>14.5 Answers to Chapter Examples 347<br/>CHAPTER 15<br/>VAR Methods 349<br/>15.1 VAR: Local versus Full Valuation 349<br/>15.1.1 Local Valuation 350<br/>15.1.2 Full Valuation 350<br/>15.1.3 Delta-Gamma Method 351<br/>15.2 VAR Methods: Overview 353<br/>15.2.1 Mapping 353<br/>Contents xiii<br/>15.2.2 Delta-Normal Method 353<br/>15.2.3 Historical Simulation Method 354<br/>15.2.4 Monte Carlo Simulation Method 355<br/>15.2.5 Comparison of Methods 356<br/>15.3 Example 358<br/>15.3.1 Mark-to-Market 358<br/>15.3.2 Risk Factors 360<br/>15.3.3 VAR: Historical Simulation 361<br/>15.3.4 VAR: Delta-Normal Method 362<br/>15.4 Important Formulas 364<br/>15.5 Answers to Chapter Examples 365<br/>PART FOUR<br/>Investment Risk Management<br/>CHAPTER 16<br/>Portfolio Management 369<br/>16.1 Institutional Investors 369<br/>16.2 Portfolio Management 370<br/>16.2.1 Risk Measurement 370<br/>16.2.2 Performance Measurement 373<br/>16.2.3 Performance Attribution 374<br/>16.2.4 Performance Evaluation and Survivorship 376<br/>16.3 Risk Budgeting 378<br/>16.4 Important Formulas 380<br/>16.5 Answers to Chapter Examples 381<br/>CHAPTER 17<br/>Hedge Fund Risk Management 383<br/>17.1 The Hedge Fund Industry 383<br/>17.2 Leverage, Long, and Short Positions 384<br/>17.2.1 Long Position 384<br/>17.2.2 Short Position 385<br/>17.2.3 Long and Short Positions 386<br/>17.3 Hedge Fund Risk Management 389<br/>17.3.1 Types of Market Risks 389<br/>17.3.2 Hedge Fund Styles 389<br/>17.3.3 Liquidity and Model Risk 396<br/>17.4 Hedge Fund Transparency 399<br/>17.5 Important Formulas 402<br/>17.6 Answers to Chapter Examples 403<br/>PART FIVE<br/>CREDIT RISK MANAGEMENT<br/>CHAPTER 18<br/>Introduction to Credit Risk 409<br/>18.1 Settlement Risk 409<br/>18.1.1 Presettlement Versus Settlement Risk 409<br/>18.1.2 Handling Settlement Risk 410<br/>xiv CONTENTS<br/>18.2 Overview of Credit Risk 412<br/>18.2.1 Drivers of Credit Risk 412<br/>18.2.2 Measurement of Credit Risk 412<br/>18.2.3 Credit Risk versus Market Risk 413<br/>18.3 Measuring Credit Risk 414<br/>18.3.1 Credit Losses 414<br/>18.3.2 Joint Events 414<br/>18.3.3 An Example 416<br/>18.4 Credit Risk Diversification 420<br/>18.5 Important Formulas 424<br/>18.6 Answers to Chapter Examples 424<br/>CHAPTER 19<br/>Measuring Actuarial Default Risk 427<br/>19.1 Credit Event 428<br/>19.2 Default Rates 429<br/>19.2.1 Credit Ratings 429<br/>19.2.2 Historical Default Rates 432<br/>19.2.3 Cumulative and Marginal Default Rates 435<br/>19.2.4 Transition Probabilities 440<br/>19.2.5 Time Variation in Default Probabilities 442<br/>19.3 Recovery Rates 443<br/>19.3.1 The Bankruptcy Process 443<br/>19.3.2 Estimates of Recovery Rates 444<br/>19.4 Assessing Corporate and Sovereign Rating 447<br/>19.4.1 Corporate Ratings 447<br/>19.4.2 Sovereign Ratings 448<br/>19.5 Important Formulas 451<br/>19.6 Answers to Chapter Examples 451<br/>CHAPTER 20<br/>Measuring Default Risk from Market Prices 454<br/>20.1 Corporate Bond Prices 454<br/>20.1.1 Spreads and Default Risk 455<br/>20.1.2 Risk Premium 456<br/>20.1.3 The Cross-Section of Yield Spreads 458<br/>20.1.4 Time Variation in Credit Spreads 459<br/>20.2 Equity Prices 461<br/>20.2.1 The Merton Model 461<br/>20.2.2 Pricing Equity and Debt 463<br/>20.2.3 Applying the Merton Model 465<br/>20.2.4 Example 467<br/>20.3 Important Formulas 469<br/>20.4 Answers to Chapter Examples 469<br/>CHAPTER 21<br/>Credit Exposure 471<br/>21.1 Credit Exposure by Instrument 471<br/>21.1.1 Loans or Bonds 472<br/>21.1.2 Guarantees 472<br/>21.1.3 Commitments 472<br/>21.1.4 Swaps or Forwards 472<br/>Contents xv<br/>21.1.5 Long Options 473<br/>21.1.6 Short Options 473<br/>21.2 Distribution of Credit Exposure 474<br/>21.2.1 Expected and Worst Exposure 474<br/>21.2.2 Time Profile 475<br/>21.2.3 Exposure Profile for Interest Rate Swaps 476<br/>21.2.4 Exposure Profile for Currency Swaps 484<br/>21.2.5 Exposure Profile for Different Coupons 486<br/>21.3 Exposure Modifiers 487<br/>21.3.1 Marking to Market 488<br/>21.3.2 Exposure Limits 489<br/>21.3.3 Recouponing 490<br/>21.3.4 Netting Arrangements 490<br/>21.4 Credit Risk Modifiers 496<br/>21.4.1 Credit Triggers 496<br/>21.4.2 Time Puts 496<br/>21.5 Important Formulas 496<br/>21.6 Answers to Chapter Examples 497<br/>CHAPTER 22<br/>Credit Derivatives and Structured Products 500<br/>22.1 Introduction 500<br/>22.2 Types of Credit Derivatives 501<br/>22.2.1 Credit Default Swaps 501<br/>22.2.2 Total Return Swaps 506<br/>22.2.3 Credit Spread Forward and Options 507<br/>22.3 Pricing and Hedging Credit Derivatives 509<br/>22.3.1 Methods 510<br/>22.3.2 Example: Credit Default Swap 510<br/>22.4 Structured Products 514<br/>22.4.1 Creating Structured Products 514<br/>22.4.2 Credit-Linked Notes 514<br/>22.4.3 Collateralized Debt Obligations 515<br/>22.5 CDO Market 517<br/>22.5.1 Balance Sheet and Arbitrage CDOs 517<br/>22.5.2 Cash Flow and Synthetic CDOs 518<br/>22.5.3 Cash Flow and Market Value CDOs 518<br/>22.5.4 Static and Managed CDOs 519<br/>22.5.5 Other Products 519<br/>22.6 Conclusions 522<br/>22.7 Important Formulas 524<br/>22.8 Answers to Chapter Examples 524<br/>CHAPTER 23<br/>Managing Credit Risk 527<br/>23.1 Measuring the Distribution of Credit Losses 528<br/>23.2 Measuring Expected Credit Loss 530<br/>23.2.1 Expected Loss over a Target Horizon 530<br/>23.2.2 The Time Profile of Expected Loss 531<br/>23.3 Measuring Credit VAR 533<br/>23.4 Portfolio Credit Risk Models 535<br/>23.4.1 Approaches to Portfolio Credit Risk Models 535<br/>xvi CONTENTS<br/>23.4.2 CreditMetrics 536<br/>23.4.3 CreditRisk+ 539<br/>23.4.4 Moody’s KMV 539<br/>23.4.5 Credit Portfolio View 540<br/>23.4.6 Comparison 540<br/>23.5 Important Formulas 544<br/>23.6 Answers to Chapter Examples 545<br/>PART SIX<br/>Operational and Integrated Risk Management<br/>CHAPTER 24<br/>Operational Risk 551<br/>24.1 The Importance of Operational Risk 551<br/>24.1.1 Case Histories 552<br/>24.1.2 Business Lines 552<br/>24.2 Identifying Operational Risk 553<br/>24.3 Assessing Operational Risk 556<br/>24.3.1 Comparison of Approaches 556<br/>24.3.2 Actuarial Models 557<br/>24.4 Managing Operational Risk 561<br/>24.4.1 Capital Allocation and Insurance 561<br/>24.4.2 Mitigating Operational Risk 563<br/>24.4.3 Conceptual Issues 564<br/>24.5 Answers to Chapter Examples 565<br/>Appendix: Causal Networks 567<br/>CHAPTER 25<br/>Risk Capital and RAROC 569<br/>25.1 RAROC 569<br/>25.1.1 Risk Capital 570<br/>25.1.2 RAROC Methodology 571<br/>25.1.3 Application to Compensation 572<br/>25.2 Performance Evaluation and Pricing 573<br/>25.3 Important Formulas 575<br/>25.4 Answers to Chapter Examples 575<br/>CHAPTER 26<br/>Firm-Wide Risk Management 577<br/>26.1 Integrated Risk Management 577<br/>26.1.1 Types of Risk 577<br/>26.1.2 Risk Interactions 578<br/>26.2 Best Practices Reports 580<br/>26.2.1 The G-30 Report 580<br/>26.2.2 The Bank of England Report on Barings 582<br/>26.2.3 The CRMPG Report on LTCM 582<br/>26.3 Organizational Structure 584<br/>26.4 Controlling Traders 588<br/>26.4.1 Trader Compensation 588<br/>26.4.2 Trader Limits 589<br/>26.5 Answers to Chapter Examples 592<br/>Contents xvii<br/>PART SEVEN<br/>Legal, Accounting, and Tax Risk Management<br/>CHAPTER 27<br/>Legal Issues 597<br/>27.1 Legal Risks with Derivatives 597<br/>27.2 Netting 600<br/>27.2.1 Netting under the Basel Accord 601<br/>27.2.2 Walk-Away Clauses 602<br/>27.2.3 Netting and Exchange Margins 602<br/>27.3 ISDA Master Netting Agreement 603<br/>27.4 The 2002 Sarbanes-Oxley Act 606<br/>27.5 Glossary 608<br/>27.5.1 General Legal Terms 608<br/>27.5.2 Bankruptcy Terms 608<br/>27.5.3 Contract Terms 609<br/>27.6 Answers to Chapter Examples 610<br/>CHAPTER 28<br/>Accounting and Tax Issues 611<br/>28.1 Internal Reporting 612<br/>28.1.1 Purpose of Internal Reporting 612<br/>28.1.2 Comparison of Methods 612<br/>28.2 Major Issues in Reporting 613<br/>28.2.1 Valuation Issues 613<br/>28.2.2 Reporting Method for Derivatives 615<br/>28.3 External Reporting: FASB 616<br/>28.3.1 FAS 133 617<br/>28.3.2 Definition of Derivative 617<br/>28.3.3 Embedded Derivatives 618<br/>28.3.4 Disclosure Rules 619<br/>28.3.5 Hedge Effectiveness 620<br/>28.3.6 General Evaluation of FAS 133 621<br/>28.3.7 Accounting Treatment of SPEs 622<br/>28.4 External Reporting: IASB 625<br/>28.4.1 IAS 39 625<br/>28.5 Tax Considerations 627<br/>28.6 Answers to Chapter Examples 628<br/>PART EIGHT<br/>Regulation and Compliance<br/>CHAPTER 29<br/>Regulation of Financial Institutions 633<br/>29.1 Definition of Financial Institutions 633<br/>29.2 Systemic Risk 634<br/>29.3 Regulation of Commercial Banks 635<br/>29.4 Regulation of Securities Houses 638<br/>29.5 Tools and Objectives of Regulation 639<br/>29.6 Answers to Chapter Examples 642<br/>xviii CONTENTS<br/>CHAPTER 30<br/>The Basel Accord 643<br/>30.1 Steps in the Basel Accord 643<br/>30.1.1 The Basel I Accord 643<br/>30.1.2 The 1996 Amendment 644<br/>30.1.3 The Basel II Accord 644<br/>30.2 The 1988 Basel Accord 646<br/>30.2.1 Risk Capital 646<br/>30.2.2 On–Balance Sheet Risk Charges 649<br/>30.2.3 Off–Balance Sheet Risk Charges 649<br/>30.2.4 Total Risk Charge 654<br/>30.3 Illustration 655<br/>30.4 The New Basel Accord 658<br/>30.4.1 Issues with the 1988 Basel Accord 658<br/>30.4.2 Definition of Capital 658<br/>30.4.3 The Credit Risk Charge 659<br/>30.4.4 The Operational Risk Charge 663<br/>30.4.5 Evaluation 666<br/>30.5 Conclusions 667<br/>30.6 Important Formulas 668<br/>30.7 Answers to Chapter Examples 668<br/>CHAPTER 31<br/>The Basel Market Risk Charge 671<br/>31.1 The Standardized Method 671<br/>31.2 The Internal Models Approach 672<br/>31.2.1 Qualitative Requirements 673<br/>31.2.2 The Market Risk Charge 673<br/>31.2.3 Combination of Approaches 675<br/>31.3 Stress Testing 677<br/>31.4 Backtesting 679<br/>31.4.1 Measuring Exceptions 679<br/>31.4.2 Statistical Decision Rules 679<br/>31.4.3 The Penalty Zones 680<br/>31.5 Important Formulas 683<br/>31.6 Answers to Chapter Examples 683<br/>About the CD-ROM 685<br/>Index 687</p> <br/>