Risk management and financial institutions 4th.pdf
大小:(3.95 MB)

只需: 10 个论坛币  马上下载

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