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