Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk

基本信息出版社:John Wiley & Sons Inc; 2nd Revised edition (2013年1月2日)丛书名:Wiley Finance精装:624页语种：英语ISBN:111817545X条形码:9781118175453ASIN:111817545X商品描述目录Foreword Preface Acknowledgments Chapter 1: Introduction 1.1 Lessons from a Crisis 1.2 Financial Risk and Actuarial Risk 1.3 Simulation and Subjective Judgment 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 the Conduct of Customer Business Chapter 5: The Systemic Disaster of 2007-2008 5.1 Overview 5.2 The Crisis in CDOs of Subprime Mortgages 5.3 The Spread of the Crisis 5.4 Lessons from the Crisis for Risk Managers 5.5 Lessons from the Crisis for Regulators 5.6 Broader Lessons from the Crisis Chapter 6: Managing Financial Risk 6.1 Risk Measurement 6.2 Risk Control Chapter 7: VaR and Stress Testing 7.1 VaR Methodology 7.2 Stress Testing 7.3 Uses of Overall Measures of Firm Position Risk Chapter 8: Model Risk 8.1 How Important is Model Risk? 8.2 Model Risk Evaluation and Control 8.3 Liquid Instruments 8.4 Illiquid Instruments 8.5 Trading Models Chapter 9: Managing Spot Risk 9.1 Overview 9.2 Foreign Exchange Spot Risk 9.3 Equity Spot Risk 9.4 Physical Commodities Spot Risk Chapter 10: Managing Forward Risk 10.1 Instruments 10.2 Mathematical Models of Forward Risks 10.3 Factors Impacting Borrowing Costs 10.4 Risk-Management Reporting and Limits for Forward Risk Chapter 11: Managing Vanilla Options Risk 11.1 Overview of Options Risk Management 11.2 The Path Dependence of Dynamic Hedging 11.3 A Simulation of Dynamic Hedging 11.4 Risk Reporting and Limits 11.5 Delta Hedging 11.6 Building a Volatility Surface 11.7 Summary Chapter 12: Managing Exotic Options Risk 12.1 Single-Payout Options 12.2 Time-Dependent Options 12.3 Path-Dependent Options 12.4 Correlation-Dependent Options 12.5 Correlation-Dependent Interest Rate Options Chapter 13: Credit Risk 13.1 Short-Term Exposure to Changes in Market Prices 13.2 Modeling Single-name Credit Risk 13.3 Portfolio Credit Risk Chapter 14: Counterparty Credit Risk 14.1 Overview 14.2 Exchange-traded Derivatives 14.3 Over-the-counter Derivatives Bibliography About the Companion Website Index