ISBN 13 : 978-1-118-95594-9

Contents :
Preface

Chapter 1: Introduction

PART ONE : FINANCIAL INSTITUTIONS AND THEIR TRADING
Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Plans
Chapter 4: Mutual Funds and Hedge Funds
Chapter 5: Trading in Financial Markets
Chapter 6: The Credit Crisis of 2007
Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds

PART TWO : MARKET RISK
Chapter 8: How Traders Manage Their Risks
Chapter 9: Interest Rate Risk
Chapter 10: Volatility
Chapter 11: Correlations and Copulas
Chapter 12: Value at Risk and Expected Shortfall
Chapter 13: Historical Simulation and Extreme Value Theory
Chapter 14: Model-Building Approach

PART THREE : REGULATION
Chapter 15: Basel I, Basel II, and Solvency II
Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes
Chapter 17: Fundamental Review of the Trading Book

PART FOUR : CREDIT RISK
Chapter 18: Managing Credit Risk: Margin, OTC Markets, and CCPs
Chapter 19: Estimating Default Probabilities
Chapter 20: CVA and DVA
Chapter 21: Credit Value at Risk

PART FIVE : OTHER TOPICS
Chapter 22: Scenario Analysis and Stress Testing
Chapter 23: Operational Risk
Chapter 24: Liquidity Risk
Chapter 25: Model Risk
Chapter 26: Economic Capital and RAROC
Chapter 27: Enterprise Risk Management
Chapter 28: Risk Management Mistakes to Avoid

PART SIX : APPENDICES
Appendices

Answers to Questions and Problems
Glossary
DerivaGem Software
Tables for N(x)
Index

Language : English

Print : 4ème

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque