Understanding Risk: The Theory and Practice of Financial Risk Management
Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a more informal style, giving readers a blend of analysis and intuition.
Divided into four parts, the book begins by introducing the basics of risk management and the behavior of financial instruments. The next section focuses on regulatory capital standards and models, addressing value-at-risk (VaR) models, portfolio credit risk, tranching, operational risk, and the Basel accords. The author then deals with asset/liability management (ALM) and liquidity management. The last part explores structured finance and a variety of new trading instruments, including inflation-linked products, sophisticated equity basket options, and convertible bonds.
With numerous exercises, figures, and examples throughout, this book offers valuable insight on various aspects of financial risk management.
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Chapter 2 Derivatives and Quantitative Market Risk Management
Economic and Regluatory Capital Models
Motivation and Provision
Chapter 4 Market Risk Capital Models
Chapter 5 Credit Risk and Credit Risk Capital Models
Chapter 6 Operational Risk and Further Topics in Capital Estimation
Chapter 7 Bank Regulation and Capital Requirements
Chapter 9 Liquidity Risk Management
Some Trading Businesses and Their Challenges
Chapter 10 An Introduction to Structured Finance
Chapter 11 Novel Asset Classes Basket Products and CrossAsset Trading
Treasury and Liquidity Risks
Chapter 8 The Treasury and AssetLiability Management