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Risk Management: The Swaps & Financial Derivatives Library, 3rd Edition Revised / Edition 1
     

Risk Management: The Swaps & Financial Derivatives Library, 3rd Edition Revised / Edition 1

by Satyajit Das
 

ISBN-10: 0470821655

ISBN-13: 9780470821657

Pub. Date: 08/26/2005

Publisher: Wiley

Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume

Overview

Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).

Product Details

ISBN-13:
9780470821657
Publisher:
Wiley
Publication date:
08/26/2005
Series:
Wiley Finance Series , #353
Edition description:
3rd Edition Revised
Pages:
1200
Product dimensions:
6.46(w) x 9.09(h) x 2.65(d)

Table of Contents

Introduction.

RISK MANAGEMENT PRINCIPLES.

1.  Framework For Risk Management.

MARKET RISK.

2.  Market Risk Measurement—Value at Risk Models.

3.  Stress Testing.

4. Portfolio Valuation/Mark-To-Market.

CREDIT RISK.

5. Derivative Credit Risk: Measurement.

6. Derivative Credit Exposure: Management & Credit Enhancement.

7. Derivative Product Companies.

OTHER RISKS.

8. Liquidity Risk.

9. Model Risk.

10. Operational Risk.

ORGANISATION OF RISK MANAGEMENT.

11. Risk Management Function.

12. Risk Adjusted Performance Management.

OPERATIONAL ASPECTS.

13. Operational, Systems & Technology Issues.

14. Legal Issues and Documentation.

15. Accounting Issues.

16. Taxation Aspects of Swaps and Financial Derivatives.

REGULATORY ASPECTS OF DERIVATIVES.

17. Credit Risk: Regulatory Framework.

Appendix: Basle II.

18. Market Risk: Regulatory Framework.

Appendix: Basle 1996.

Index.

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