Risk management and financial institutions

摘要: Table of Contents: Preface *Introduction *Financial Products and How They are Used for Hedging *How Traders Manage Their Exposures *Interest Rate Risk *Volatility *Correlation Copulas *Bank Regulation Basel II *The VaR Measure *Market VaR: Historical Simulation Approach Model Building *Credit Risk: Estimating Default Probabilities Losses Credit Derivatives *Operational *Model Liquidity *Economic Capital RAROC *Weather, Energy, Insurance *Big What We Can Learn from Them Appendix A: Value Forward Futures Contracts B: Valuing Swaps C: European Options D: American E: Manipulation Transition Matrices Answers to End-of Chapter Problems Glossary Terms Tables N(x) Index