Risk Management and Financial Institutions, 4e

Contents

•Business Snapshots

Preface

Chapter 1: Introduction

Part One: Financial Institutions and Their Trading

Chapter 2: Banks

Chapter 3: Insurance Companies and Pension Plans

Chapter 4: Mutual Funds and Hedge Funds

Chapter 5: Trading in Financial Markets

Chapter 6: The Credit Crisis of 2007

Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds

Part Two: Market Risk

Chapter 8: How Traders Manage Their Risks

Chapter 9: Interest Rate Risk

Chapter 10: Volatility

Chapter 11: Correlations and Copulas

Chapter 12: Value at Risk and Expected Shortfall

Chapter 13: Historical Simulation and Extreme Value Theory

Chapter 14: Model-Building Approach

Part Three: Regulation

Chapter 15: Basel I, Basel II and Solvency II

Chapter 16: Basel II.5, Basel III and Other Post-Crisis Changes

Chapter 17: Fundamental Review of the Trading Book

Part Four: Credit Risk

Chapter 18: Managing Credit Risk: Margin, OTC Markets and CCPs

Chapter 19: Estimating Default Probabilities

Chapter 20: CVA and DVA

Chapter 21: Credit Value at Risk

Part Five: Other Topics

Chapter 22: Scenario Analysis and Stress Testing

Chapter 23: Operational Risk

Chapter 24: Liquidity Risk

Chapter 25: Model Risk

Chapter 26: Economic Capital and RAROC

Chapter 27: Enterprise Risk Management

Chapter 28: Risk Management Mistakes to Avoid

Part Six: Appendices

Appendices

Answers to Questions and Problems

Glossary

DerivaGem Software

Tables for N(x)

Index