Risk Management and Financial Institutions / Edition 2

Risk Management and Financial Institutions / Edition 2

1.0 2
by John C. Hull
     
 

ISBN-10: 0136102956

ISBN-13: 9780136102953

Pub. Date: 06/23/2009

Publisher: Prentice Hall

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…  See more details below

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:
06/23/2009
Series:
Pearson Custom Business Resources Series
Edition description:
Older Edition
Pages:
576
Product dimensions:
8.20(w) x 10.00(h) x 1.10(d)

Table of Contents

1Introduction1
2Financial products and how they are used for hedging27
3How traders manage their exposures55
4Interest rate risk79
5Volatility111
6Correlation and copulas143
7Bank regulation and basel II165
8The VaR measure195
9Market risk VaR : historical simulation approach217
10Market risk VaR : model-building approach233
11Credit risk : estimating default probabilities255
12Credit risk losses and credit VaR277
13Credit derivatives299
14Operational risk321
15Model risk and liquidity risk343
16Economic capital and RAROC365
17Weather, energy, and insurance derivatives385
18Big losses and what we can learn from them395
App. AValuing forward and futures contracts407
App. BValuing swaps409
App. CValuing European options413
App. DValuing American options417
App. EManipulation of credit transition matrices421

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Risk Management and Financial Institutions 1 out of 5 based on 0 ratings. 2 reviews.
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