Risk Management and Financial Institutions / Edition 1

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More About This Textbook

Overview

John C. Hull’s Financial Risk Management text is the only text to take risk management theory and explain it in a “this is how you do it” manner for practical application in today’s real world.

We found that most professors are looking for a book that contains up to date information, and is written for application in the real work environment. Hull’s text offers students the ability to gain knowledge that will stay with them beyond college and be useful in the real world.

Based on one of the most popular MBA courses at University of Toronto entitled “Financial Risk Management”, this text focuses on the ways banks and other financial institutions measure market, credit and operational risk. John C. Hull, author of the book “Options, Futures, and Other Derivatives” which became the standard reference text for traders, wrote “Risk Management and Financial Institutions” for use in instruction as well as trade. The practical nature of the book lends itself to a “this is how you do it” presentation style that includes excellent account of the new Basel II regulatory requirements for banks effective in 2007.

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Product Details

  • ISBN-13: 9780132397902
  • Publisher: Prentice Hall
  • Publication date: 6/16/2006
  • Edition description: 1ST
  • Edition number: 1
  • Pages: 528
  • Product dimensions: 6.02 (w) x 8.64 (h) x 1.10 (d)

Table of Contents

1 Introduction 1
2 Financial products and how they are used for hedging 27
3 How traders manage their exposures 55
4 Interest rate risk 79
5 Volatility 111
6 Correlation and copulas 143
7 Bank regulation and basel II 165
8 The VaR measure 195
9 Market risk VaR : historical simulation approach 217
10 Market risk VaR : model-building approach 233
11 Credit risk : estimating default probabilities 255
12 Credit risk losses and credit VaR 277
13 Credit derivatives 299
14 Operational risk 321
15 Model risk and liquidity risk 343
16 Economic capital and RAROC 365
17 Weather, energy, and insurance derivatives 385
18 Big losses and what we can learn from them 395
App. A Valuing forward and futures contracts 407
App. B Valuing swaps 409
App. C Valuing European options 413
App. D Valuing American options 417
App. E Manipulation of credit transition matrices 421
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