Risk Management and Financial Institutions

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John Wiley & Sons, Mar 2, 2015 - Business & Economics - 672 pages

The dangers inherent in the financial system make understanding risk management essential for anyone working in, or planning to work in, the financial sector. A practical resource for financial professionals and students alike, Risk Management and Financial Institutions, Fourth Edition explains all aspects of financial risk as well as the way financial institutions are regulated, to help readers better understand financial markets and potential dangers.

Fully revised and updated, this new edition features coverage of new regulatory issues, liquidity risk, and stress testing. In addition, end-of-chapter practice problems and a website featuring supplemental materials designed to provide a more comprehensive learning experience make this the ultimate learning resource. Written by acclaimed risk management expert, John Hull, Risk Management and Financial Institutions is the only book you need to understand—and respond to—financial risk.

  • The new edition of the financial risk management bestseller
  • Describes the activities of different types of financial institutions, explains how they are regulated, and covers market risk, credit risk, operational risk, liquidity risk, and model risk
  • Features new coverage of new regulatory issues, liquidity risk, and stress testing
  • Provides readers with access to a supplementary website offering software and unique learning aids
  • Author John Hull is one of the most respected authorities on financial risk management

A timely update to the definitive resource on risk in the financial system, Risk Management and Financial Institutions + Website, Fourth Edition is an indispensable resource from internationally renowned expert John Hull.

 

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Contents

Introduction 1
137
CHAPTER 9
142
MARKET RISK
151
How Traders Manage Their Risks
153
CHAPTER 12
166
Interest Rate Risk
175
Volatility
201
Correlations and Copulas
231
Operational Risk
479
Liquidity Risk
499
Model Risk
525
Economic Capital and RAROC
545
Preface xxiii
562
CHAPTER 27
562
Enterprise Risk Management
563
Risk Management Mistakes to Avoid
577

Value at Risk and Expected Shortfall
255
CHAPTER 3
270
Historical Simulation and Extreme Value Theory
277
ModelBuilding Approach
299
REGULATION
323
Basel I Basel II and Solvency II
325
Basel II 5 Basel III and Other PostCrisis Changes
353
Business Snapshots xxi
372
Fundamental Review of the Trading Book
373
CREDIT RISK
381
Managing Credit Risk Margin OTC Markets and CCPs
383
Estimating Default Probabilities
399
CHAPTER 21
405
CVA and DVA
427
Credit Value at Risk
445
OTHER TOPICS
461
Scenario Analysis and Stress Testing
463
APPENDICES
589
Appendices
591
Appendix C
599
AppendixF
605
Appendix
613
CHAPTER
1
AppendixI
617
AppendixL
625
Answers to Questions and Problems
629
Glossary
669
DerivaGem Software
689
Tables for Nx
695
Index
699
PART
23
CHAPTER 4
71
CHAPTER 5
93
Copyright

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About the author (2015)

JOHN C. HULLis the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto, and codirector of Rotman's Master of Finance program. He has been a consultant to many North American, Japanese, and European fi nancial institutions, and is the author of three books, which are widely used by both practitioners and academics, and an associate editor of eight academic journals.

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