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雷达卡
ISBN: 978-1-118-95594-9
752 pages
Risk management and financial institutions 4th.pdf
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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
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