Efnisyfirlit

• Business Snapshots
• Preface
• Chapter 1 Introduction
  • 1.1 Risk vs. Return for Investors
  • 1.2 The Efficient Frontier
  • 1.3 The Capital Asset Pricing Model
  • 1.4 Arbitrage Pricing Theory
  • 1.5 Risk vs. Return for Companies
  • 1.6 Risk Management by Financial Institutions
  • 1.7 Credit Ratings
  • Summary
  • Further Reading
  • Practice Questions and Problems (Answers at End of Book)
  • Further Questions
  • Notes
• Part One Financial Institutions and Their Trading
  • Chapter 2 Banks
    • 2.1 Commercial Banking
    • 2.2 The Capital Requirements of a Small Commercial Bank
    • 2.3 Deposit Insurance
    • 2.4 Investment Banking
    • 2.5 Securities Trading
    • 2.6 Potential Conflicts of Interest in Banking
    • 2.7 Today's Large Banks
    • 2.8 The Risks Facing Banks
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 3 Insurance Companies and Pension Plans
    • 3.1 Life Insurance
    • 3.2 Annuity Contracts
    • 3.3 Mortality Tables
    • 3.4 Longevity and Mortality Risk
    • 3.5 Property‐Casualty Insurance
    • 3.6 Health Insurance
    • 3.7 Moral Hazard and Adverse Selection
    • 3.8 Reinsurance
    • 3.9 Capital Requirements
    • 3.10 The Risks Facing Insurance Companies
    • 3.11 Regulation
    • 3.12 Pension Plans
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 4 Mutual Funds, ETFs, and Hedge Funds
    • 4.1 Mutual Funds
    • 4.2 Exchange‐Traded Funds
    • 4.3 Active vs. Passive Management
    • 4.4 Regulation
    • 4.5 Hedge Funds
    • 4.6 Hedge Fund Strategies
    • 4.7 Hedge Fund Performance
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 5 Trading in Financial Markets
    • 5.1 The Markets
    • 5.2 Clearing Houses
    • 5.3 Long and Short Positions in Assets
    • 5.4 Derivatives Markets
    • 5.5 Plain Vanilla Derivatives
    • 5.6 Non‐Traditional Derivatives
    • 5.7 Exotic Options and Structured Products
    • 5.8 Risk Management Challenges
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 6 The Credit Crisis of 2007–2008
    • 6.1 The U.S. Housing Market
    • 6.2 Securitization
    • 6.3 The Losses
    • 6.4 What Went Wrong?
    • 6.5 Lessons from the Crisis
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 7 Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds
    • 7.1 Volatility and Asset Prices
    • 7.2 Risk-Neutral Valuation
    • 7.3 Scenario Analysis
    • 7.4 When Both Worlds Have to Be Used
    • 7.5 The Calculations in Practice
    • 7.6 Estimating Real-World Processes
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
• Part Two Market Risk
  • Chapter 8 How Traders Manage Their Risks
    • 8.1 Delta
    • 8.2 Gamma
    • 8.3 Vega
    • 8.4 Theta
    • 8.5 Rho
    • 8.6 Calculating Greek Letters
    • 8.7 Taylor Series Expansions
    • 8.8 The Realities of Hedging
    • 8.9 Hedging Exotic Options
    • 8.10 Scenario Analysis
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 9 Interest Rate Risk
    • 9.1 The Management of Net Interest Income
    • 9.2 Types of Rates
    • 9.3 Duration
    • 9.4 Convexity
    • 9.5 Generalization
    • 9.6 Nonparallel Yield Curve Shifts
    • 9.7 Principal Components Analysis
    • 9.8 Gamma and Vega
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 10 Volatility
    • 10.1 Definition of Volatility
    • 10.2 Implied Volatilities
    • 10.3 Are Daily Percentage Changes in Financial Variables Normal?
    • 10.4 The Power Law
    • 10.5 Monitoring Daily Volatility
    • 10.6 The Exponentially Weighted Moving Average Model
    • 10.7 The GARCH(1,1) Model
    • 10.8 Choosing Between the Models
    • 10.9 Maximum Likelihood Methods
    • 10.10 Using GARCH(1,1) to Forecast Future Volatility
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 11 Correlations and Copulas
    • 11.1 Definition of Correlation
    • 11.2 Monitoring Correlation
    • 11.3 Correlation and Covariance Matrices
    • 11.4 Multivariate Normal Distributions
    • 11.5 Copulas
    • 11.6 Application to Loan Portfolios: Vasicek's Model
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 12 Value at Risk and Expected Shortfall
    • 12.1 Definition of VaR
    • 12.2 Examples of the Calculation of VaR
    • 12.3 A Drawback of VaR
    • 12.4 Expected Shortfall
    • 12.5 Coherent Risk Measures
    • 12.6 Choice of Parameters for VaR and ES
    • 12.7 Marginal, Incremental, and Component Measures
    • 12.8 Euler's Theorem
    • 12.9 Aggregating VaRs and ESs
    • 12.10 Back-Testing
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 13 Historical Simulation and Extreme Value Theory
    • 13.1 The Methodology
    • 13.2 Accuracy of VaR
    • 13.3 Extensions
    • 13.4 Computational Issues
    • 13.5 Extreme Value Theory
    • 13.6 Applications of EVT
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 14 Model-Building Approach
    • 14.1 The Basic Methodology
    • 14.2 Generalization
    • 14.3 The Four-Index Example Revisited
    • 14.4 Handling Term Structures
    • 14.5 Extensions of the Basic Procedure
    • 14.6 Risk Weights and Weighted Sensitivities
    • 14.7 Handling Non-Linearity
    • 14.8 Model-Building vs. Historical Simulation
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
• Part Three Regulation
  • Chapter 15 Basel I, Basel II, and Solvency II
    • 15.1 The Reasons for Regulating Banks
    • 15.2 Bank Regulation Pre-1988
    • 15.3 The 1988 BIS Accord
    • 15.4 The G-30 Policy Recommendations
    • 15.5 Netting
    • 15.6 The 1996 Amendment
    • 15.7 Basel II
    • 15.8 Credit Risk Capital Under Basel II
    • 15.9 Operational Risk Capital Under Basel II
    • 15.10 Pillar 2: Supervisory Review
    • 15.11 Pillar 3: Market Discipline
    • 15.12 Solvency II
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 16 Basel II.5, Basel III, and Other Post-Crisis Changes
    • 16.1 Basel II.5
    • 16.2 Basel III
    • 16.3 Contingent Convertible Bonds
    • 16.4 Use of Standardized Approaches and SA-CCR
    • 16.5 Dodd–Frank Act
    • 16.6 Legislation in Other Countries
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 17 Regulation of the OTC Derivatives Market
    • 17.1 Clearing in OTC Markets
    • 17.2 Post-Crisis Regulatory Changes
    • 17.3 Impact of the Changes
    • 17.4 CCPs and Bankruptcy
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 18 Fundamental Review of the Trading Book
    • 18.1 Background
    • 18.2 Standardized Approach
    • 18.3 Internal Models Approach
    • 18.4 Trading Book vs. Banking Book
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Question
    • Notes
• Part Four Credit Risk
  • Chapter 19 Estimating Default Probabilities
    • 19.1 Credit Ratings
    • 19.2 Historical Default Probabilities
    • 19.3 Recovery Rates
    • 19.4 Credit Default Swaps
    • 19.5 Credit Spreads
    • 19.6 Estimating Default Probabilities from Credit Spreads
    • 19.7 Comparison of Default Probability Estimates
    • 19.8 Using Equity Prices to Estimate Default Probabilities
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 20 CVA and DVA
    • 20.1 Credit Exposure on Derivatives
    • 20.2 CVA
    • 20.3 The Impact of a New Transaction
    • 20.4 CVA Risk
    • 20.5 Wrong-Way Risk
    • 20.6 DVA
    • 20.7 Some Simple Examples
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 21 Credit Value at Risk
    • 21.1 Ratings Transition Matrices
    • 21.2 Vasicek's Model
    • 21.3 Credit Risk Plus
    • 21.4 Creditmetrics
    • 21.5 Credit Spread Risk
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
• Part Five Other Topics
  • Chapter 22 Scenario Analysis and Stress Testing
    • 22.1 Generating the Scenarios
    • 22.2 Regulation
    • 22.3 What to Do with the Results
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 23 Operational Risk
    • 23.1 Defining Operational Risk
    • 23.2 Categorization of Operational Risks
    • 23.3 Regulatory Capital Under Basel II
    • 23.4 The Standardized Measurement Approach
    • 23.5 Preventing Operational Risk Losses
    • 23.6 Allocation of Operational Risk Capital
    • 23.7 Use of Power Law
    • 23.8 Insurance
    • 23.9 Sarbanes–Oxley
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 24 Liquidity Risk
    • 24.1 Liquidity Trading Risk
    • 24.2 Liquidity Funding Risk
    • 24.3 Liquidity Black Holes
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 25 Model Risk Management
    • 25.1 Regulatory Requirements
    • 25.2 Models in Physics and Finance
    • 25.3 Simple Models: Expensive Mistakes
    • 25.4 Models for Pricing Actively Traded Products
    • 25.5 Models for Less Actively Traded Products
    • 25.6 Accounting
    • 25.7 What Makes a Successful Pricing Model?
    • 25.8 Model Building Missteps
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 26 Economic Capital and RAROC
    • 26.1 Definition of Economic Capital
    • 26.2 Components of Economic Capital
    • 26.3 Shapes of the Loss Distributions
    • 26.4 Relative Importance of Risks
    • 26.5 Aggregating Economic Capital
    • 26.6 Allocation of Economic Capital
    • 26.7 Deutsche Bank's Economic Capital
    • 26.8 RAROC
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 27 Enterprise Risk Management
    • 27.1 Risk Appetite
    • 27.2 Risk Culture
    • 27.3 Identifying Major Risks
    • 27.4 Strategic Risk Management
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 28 Financial Innovation
    • 28.1 Technological Advances
    • 28.2 Payment Systems
    • 28.3 Lending
    • 28.4 Wealth Management
    • 28.5 Insurance
    • 28.6 Regulation and Compliance
    • 28.7 How Should Financial Institutions Respond?
    • Summary
    • Further Reading
    • Practice Questions and Problems (Answers at End of Book)
    • Further Questions
    • Notes
  • Chapter 29 Risk Management Mistakes to Avoid
    • 29.1 Risk Limits
    • 29.2 Managing the Trading Room
    • 29.3 Liquidity Risk
    • 29.4 Lessons for Nonfinancial Corporations
    • 29.5 A Final Point
    • Further Reading
    • Notes
• Part Six Appendices
  • Appendix A Compounding Frequencies for Interest Rates
    • Notes
  • Appendix B Zero Rates, Forward Rates, and Zero-Coupon Yield Curves
  • Appendix C Valuing Forward and Futures Contracts
  • Appendix D Valuing Swaps
    • Notes
  • Appendix E Valuing European Options
    • Notes
  • Appendix F Valuing American Options
    • Notes
  • Appendix G Taylor Series Expansions
  • Appendix H Eigenvectors and Eigenvalues
    • Notes
  • Appendix I Principal Components Analysis
  • Appendix J Manipulation of Credit Transition Matrices
    • Notes
  • Appendix K Valuation of Credit Default Swaps
  • Appendix L Synthetic CDOs and Their Valuation
    • Notes
• Answers to Questions and Problems
• Glossary
• RMFI Software
• Table for N(x) When x ≥ 0
• Table for N(x) When x ≤ 0
• Index
• EULA

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