Risk Management and Financial Institutions / Edition 2

Risk Management and Financial Institutions / Edition 2

by John C. Hull
1.0 2
ISBN-10:
0136102956
ISBN-13:
9780136102953
Pub. Date:
06/23/2009
Publisher:
Prentice Hall

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Overview

Risk Management and Financial Institutions / Edition 2

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.

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

Business Snapshots Preface
1. Introduction
2. Banks
3. Insurance
4. Mutual Funds and Hedge Funds
5. Financial Instruments
6. How Traders Manage Their Exposures
7. Interest Rate Risk
8. Value at Risk
9. Volatility
10. Correlation and Copulas
11. Regulation, Basel II, and Solvency II
12. Market Risk VaR: Historical Simulation Approach
13. Market Risk VaR: Model-Building Approach
14. Credit Risk: Estimating Default Probabilities
15. Credit Risk Losses and Credit VaR
16. ABSs, CDOs, and the Credit Crunch of 2007
17. Scenario Analysis and Stress Testing
18. Operational Risk
19. Liquidity Risk
20. Model Risk
21. Economic Capital and RAROC
22. Risk Management Mistakes to avoid Appendix A: Compounding Frequencies and Interest Rates Appendix B: Zero Rtes, Forward Rates, and Zero-Coupon Yield Curves Appendix C: Valuing Forward and Futures Contracts Appendix D: Valuing Swaps Appendix E: Valuing European Options Appendix F: Valuing American Options Appendix G: Taylor Series Expansions Appendix H: Eigenvectors and Eigenvalues Appendix I: Principal Components Analysis Appendix J: Manipulation of Credit Transition Matrices Answers to Questions and Problems Glossary of Terms DerivaGem Software Tables For N(x)
Index

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