Risk Management and Financial Institutions / Edition 2

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More About This Textbook

Overview

Hull’s Risk Management and Financial Institutions, 2/e explains risk management theory in a “this is how you do it” manner, encouraging practical application in today’s world. Thoroughly updated, the Second Edition incorporates new information regarding Stress Testing, liquidity risks, ABS’s, CDO’s, and the credit crunch of 2007.

KEY TOPICS
: Introduction; Banks; Insurance; Mutual Funds and Hedge Funds; Financial Instruments; How Traders Manage Their Exposures; Interest Rate Risk; Value at Risk; Volatility; Correlation and Copulas; Regulation, Basel II, and Solvency II; Market Risk VaR: Historical Simulation Approach; Market Risk VaR: Model-Building Approach; Credit Risk: Estimating Default Probabilities; Credit Risk Losses and Credit VaR; ABSs, CDOs, and the Credit Crunch of 2007; Scenario Analysis and Stress Testing; Operational Risk; Liquidity Risk; Model Risk; Economic Capital and RAROC; Risk Management Mistakes to avoid; Compounding Frequencies and Interest Rates; Zero Rtes, Forward Rates, and Zero-Coupon Yield Curves; Valuing Forward and Futures Contracts; Valuing Swaps; Valuing European Options; Valuing American Options; Taylor Series Expansions; Eigenvectors and Eigenvalues; Principal Components Analysis; Manipulation of Credit Transition Matrices.

A useful reference for financial professionals.

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Product Details

  • ISBN-13: 9780136102953
  • Publisher: Prentice Hall
  • Publication date: 6/23/2009
  • Series: Pearson Custom Business Resources Series
  • Edition description: Older Edition
  • Edition number: 2
  • Pages: 576
  • Product dimensions: 8.20 (w) x 10.00 (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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