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Financial_Risk_Manager_Handbook_2ED 高清晰版。 from WILEY.

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关键词：financial Financia inancial handbook nancial handbook financial Risk 高清 Manager

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书名：Financial Risk Manager Handbook
版本：Second Edition
作者：Philippe Jorion GARP

部分目录：

Ch. 1 Bond Fundamentals 3
Ch. 2 Fundamentals of Probability 31
Part I: Quantitative Analysis 1
1.1 Discounting, Present, and Future Value ............ 3
1.2 Price-Yield Relationship .................... 6
1.2.1 Valuation ........................ 6
1.2.2 Taylor Expansion .................... 7
1.2.3 Bond Price Derivatives ................. 9
1.2.4 Interpreting Duration and Convexity .......... 16
1.2.5 Portfolio Duration and Convexity ............ 23
1.3 Answers to Chapter Examples ................. 26
2.1 Characterizing Random Variables ............... 31
2.1.1 Univariate Distribution Functions ........... 32
2.1.2 Moments ........................ 33
2.2 Multivariate Distribution Functions .............. 37
2.3 Functions of Random Variables ................ 40
2.3.1 Linear Transformation of Random Variables ...... 41
2.3.2 Sum of Random Variables ............... 42
2.3.3 Portfolios of Random Variables ............. 42
2.3.4 Product of Random Variables .............. 43
2.3.5 Distributions of Transformations of Random Variables 44
2.4 Important Distribution Functions ............... 46
2.4.1 Uniform Distribution .................. 46
2.4.2 Normal Distribution ................... 47
2.4.3 Lognormal Distribution ................. 51
2.4.4 Student’s Distribution ................. 54
2.4.5 Binomial Distribution .................. 56
2.5 Answers to Chapter Examples ................. 57
tCh. 3 Fundamentals of Statistics 63
Ch. 4 Monte Carlo Methods 83
3.1 Real Data ............................ 63
3.1.1 Measuring Returns ................... 64
3.1.2 Time Aggregation .................... 65
3.1.3 Portfolio Aggregation .................. 66
3.2 Parameter Estimation ...................... 69
3.3 Regression Analysis ...................... 71
3.3.1 Bivariate Regression .................. 72
3.3.2 Autoregression ..................... 74
3.3.3 Multivariate Regression ................. 74
3.3.4 Example ......................... 75
3.3.5 Pitfalls with Regressions ................ 77
3.4 Answers to Chapter Examples ................. 80
4.1 Simulations with One Random Variable ............ 83
4.1.1 Simulating Markov Processes .............. 84
4.1.2 The Geometric Brownian Motion ............ 84
4.1.3 Simulating Yields .................... 88
4.1.4 Binomial Trees ..................... 89
4.2 Implementing Simulations ................... 93
4.2.1 Simulation for VAR ................... 93
4.2.2 Simulation for Derivatives ............... 93
4.2.3 Accuracy ........................ 94
4.3 Multiple Sources of Risk .................... 96
4.3.1 The Cholesky Factorization ............... 97
4.4 Answers to Chapter Examples ................. 99

Ch. 5 Introduction to Derivatives 105
Part II: Capital Markets 103
5.1 Overview of Derivatives Markets ................105
5.2 Forward Contracts .......................107
5.2.1 Definition ........................107
5.2.2 Valuing Forward Contracts ...............110
5.2.3 Valuing an Off-Market Forward Contract ........112
5.2.4 Valuing Forward Contracts with Income Payments . . . 113
5.3 Futures Contracts ........................117
5.3.1 Definitions of Futures ..................117
5.3.2 Valuing Futures Contracts ...............119
5.4 Swap Contracts .........................119
5.5 Answers to Chapter Examples .................120

Ch. 6 Options 123
Ch. 7 Fixed-Income Securities 153
6.1 Option Payoffs .........................123
6.1.1 Basic Options ......................123
6.1.2 Put-Call Parity ......................126
6.1.3 Combination of Options ................128
6.2 Valuing Options ........................132
6.2.1 Option Premiums ....................132
6.2.2 Early Exercise of Options ................134
6.2.3 Black-Scholes Valuation .................136
6.2.4 Market vs. Model Prices .................142
6.3 Other Option Contracts .....................143
6.4 Valuing Options by Numerical Methods ............146
6.5 Answers to Chapter Examples .................149
7.1 Overview of Debt Markets ...................153
7.2 Fixed-Income Securities .....................156
7.2.1 Instrument Types ....................156
7.2.2 Methods of Quotation ..................158
7.3 Analysis of Fixed-Income Securities ..............160
7.3.1 The NPV Approach ...................160
7.3.2 Duration .........................163
7.4 Spot and Forward Rates ....................165
7.5 Mortgage-Backed Securities ...................170
7.5.1 Description .......................170
7.5.2 Prepayment Risk ....................174
7.5.3 Financial Engineering and CMOs ............177
7.6 Answers to Chapter Examples .................183

Ch. 8 Fixed-Income Derivatives 187
8.1 Forward Contracts .......................187
8.2 Futures .............................190
8.2.1 Eurodollar Futures ...................190
8.2.2 T-bond Futures .....................193
8.3 Swaps ..............................195
8.3.1 Definitions .......................195
8.3.2 Quotations .......................197
8.3.3 Pricing ..........................197
8.4 Options .............................201
8.4.1 Caps and Floors .....................202
8.4.2 Swaptions ........................204
8.4.3 Exchange-Traded Options ................206
8.5 Answers to Chapter Examples .................207

Ch. 9 Equity Markets 211
Ch. 10 Currencies and Commodities Markets 225
Part III: Market Risk Management 241
9.1 Equities .............................211
9.1.1 Overview ........................211
9.1.2 Valuation ........................213
9.1.3 Equity Indices ......................214
9.2 Convertible Bonds and Warrants ................215
9.2.1 Definitions .......................215
9.2.2 Valuation ........................217
9.3 Equity Derivatives .......................219
9.3.1 Stock Index Futures ...................219
9.3.2 Single Stock Futures ..................222
9.3.3 Equity Options .....................223
9.3.4 Equity Swaps ......................223
9.4 Answers to Chapter Examples .................224
10.1 Currency Markets ........................225
10.2 Currency Swaps .........................227
10.2.1 Definitions .......................227
10.2.2 Pricing ..........................228
10.3 Commodities ..........................231
10.3.1 Products .........................231
10.3.2 Pricing of Futures ....................232
10.3.3 Futures and Expected Spot Prices ............235
10.4 Answers to Chapter Examples .................238

Ch. 11 Introduction to Market Risk Measurement 243
11.1 Introduction to Financial Market Risks .............243
11.2 VAR as Downside Risk .....................246
11.2.1 VAR: Definition .....................246
11.2.2 VAR: Caveats ......................249
11.2.3 Alternative Measures of Risk ..............249
11.3 VAR: Parameters ........................252
11.3.1 Confidence Level ....................252
11.3.2 Horizon .........................253
11.3.3 Application: The Basel Rules ..............255
11.4 Elements of VAR Systems ...................256
11.4.1 Portfolio Positions ...................257
11.4.2 Risk Factors .......................257
11.4.3 VAR Methods ......................257

Ch. 12 Identification of Risk Factors 265
Ch. 13 Sources of Risk 281
11.5 Stress-Testing ..........................258
11.6 Cash Flow at Risk ........................260
11.7 Answers to Chapter Examples .................261
12.1 Market Risks ..........................265
12.1.1 Absolute and Relative Risk ...............265
12.1.2 Directional and Nondirectional Risk ..........267
12.1.3 Market vs. Credit Risk ..................268
12.1.4 Risk Interaction .....................268
12.2 Sources of Loss: A Decomposition ...............269
12.2.1 Exposure and Uncertainty ...............269
12.2.2 Specific Risk .......................270
12.3 Discontinuity and Event Risk ..................271
12.3.1 Continuous Processes ..................271
12.3.2 Jump Process ......................272
12.3.3 Event Risk ........................273
12.4 Liquidity Risk ..........................275
12.5 Answers to Chapter Examples .................278
13.1 Currency Risk ..........................281
13.1.1 Currency Volatility ...................282
13.1.2 Correlations .......................283
13.1.3 Devaluation Risk ....................283
13.1.4 Cross-Rate Volatility ..................284
13.2 Fixed-Income Risk .......................285
13.2.1 Factors Affecting Yields .................285
13.2.2 Bond Price and Yield Volatility .............287
13.2.3 Correlations .......................290

13.2.4 Global Interest Rate Risk ................292
13.2.5 Real Yield Risk .....................293
13.2.6 Credit Spread Risk ...................294
13.2.7 Prepayment Risk ....................294
13.3 Equity Risk ...........................296
13.3.1 Stock Market Volatility .................296
13.3.2 Forwards and Futures ..................298
13.4 Commodity Risk ........................298
13.4.1 Commodity Volatility Risk ...............298
13.4.2 Forwards and Futures ..................300
13.4.3 Delivery and Liquidity Risk ...............301