金融风险管理：市场和信贷风险管理从业者指南FINANCIAL RISK MANAGEMENT
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作者： Steve L. Allen著
出 版 社： 吉林长白山
出版时间： 2003-12-1字数：版次： 1页数： 393印刷时间： 2003/12/01开本：印次：纸张： 胶版纸I S B N ： 9780471219774包装： 精装内容简介
An insider's view of financial risk management
This complete guide covers the strategies, principles, and measurement techniques necessary to measure and manage financial risk. With a focus on management perspective, this book explores real-world issues such as model validation, risk measurement, valuation methodologies, and much more. Self-contained Excel spreadsheets are included on the companion CD-ROM.
Steve Allen (New York, NY) is Managing Director of Market Risk Management at J.P. Morgan Chase. He has been a key architect of Chase's Value-at-Risk and Stress Testing systems. Allen also serves as Co-Chairman of the Market and Credit Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed Income Investments and Derivative Securities.
目录
Foreword
Preface
Acnowledgments
CHAPTER 1 Introduction
1.1 The Contents of This Book
1.2 The Use of Mathematics in This Book
1.3 Overview
CHAPTER 2 Institutional Background
2.1 Moral Hazard—Insiders and Outsiders
2.2 Ponzi Schemes
2.3 Adverse Selection
2.4 The Winner’s Curse
2.5 Market Making versus Position Taking
CHAPTER 3 Operational Risk
3.1 Operations Risk
3.2 Legal Risk
3.3 Reputational Risk
3.4 Accounting Risk
3.5 Funding Liquidity Risk
3.6 Enterprise Risk
3.7 The Identification of Risks
3.8 Operational Risk Capital
CHAPTER 4 Financial Disasters
4.1 Disasters Due to Misleading Reporting
4.2 Disasters Due to Large Market Moves
4.3 Disasters Due to Conduct of Customer Business
CHAPTER 5 Managing Market Risk
5.1 Risk Measurement
5.2 Risk Control
CHAPTER 6 Model Risk
6.1 The Role of Models in Man aging Risk
6.2 Model Control
6.3 Mark to Market vs Mark to Model
CHAPTER 7 Managing Spot Risk
CHAPTER 8 Managing Forward Risk
CHAPTER 9 Managing Vanilla Options Risk
CHAPTER 10 Managing Exotic Options Risk
CHAPTER 11 Var and Stress Testing
CHAPTER 12 Credit Bisk
Appendix: Spreadsheet Calculators
Bibliography
About the CD-ROM
Index
