The essential guide to managing financial institution risk, fully revised andupdatedThe 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, Third 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 Basel 2.5, Basel III and Dodd-Frank as well as expanded sections on counterparty credit risk, central clearing, and collateralization. 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 bestsellerDescribes 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 riskFeatures new coverage of Basel III, Dodd-Frank, counterparty credit risk, central clearing, collateralization, and much moreProvides readers with access to a supplementary website offering software and unique learning aidsAuthor John Hull is one of the most respected authorities on financial risk managementA timely update to the definitive resource on risk in the financial system, Risk Management and Financial Institutions + Web Site, Third Edition is an indispensable resource from internationally renowned expert John Hull. INDICE: Business SnapshotsPrefaceChapter 1: Introduction1.1 Risk vs returnfor investors1.2 The efficient frontier1.3 The capital asset pricing model1.4Arbitrage pricing theory1.5 Risk vs return for companies1.6 Risk management by financial institutionsSummaryFurther readingPractice questions and problemsFurther questionsChapter 2: Banks2.1 Commercial banking2.2 The capital requirements of a small commercial bank2.3 Deposit insurance2.4 Investment banking2.5 Securities trading2.6 Potential conflicts of interest in banking2.7 Today's large banks2.8 The risks facing banksSummaryFurther readingPractice questions and problemsFurther questionsChapter 3: Insurance Companies and Pension Funds3.1Life insurance3.2 Annuity contracts3.3 Mortality tables3.4 Longevity and mortality risk3.5 Property-casualty insurance3.6 Health insurance3.7 Moral hazard and adverse selection3.8 Reinsurance3.9 Capital requirements3.10 The risks facing insurance companies3.11 Regulation3.12 Pension plansSummaryFurther readingPractice questions and problemsFurther questionsChapter 4: Mutual Funds and Hedge Funds4.1 Mutual funds4.2 Hedge funds4.3 Hedge fund strategies4.4 Hedge fund performanceSummaryFurther readingPractice questions and problemsFurther questionsChapter 5: Trading in Financial Markets5.1 The markets5.2 Long and short positions in assets5.3 Derivatives markets5.4 Plain vanilla derivatives5.5 Clearing houses5.6 Margins5.6 Nontraditional derivatives5.7 Exotic options and structured products5.8 Risk management challengesSummaryFurther readingPractice questions and problemsFurther questionsChapter 6: The Credit crisis of 20076.1The US housing market6.2 Securitization6.3 The crisis6.4 What went wrong6.5 Lessons from the CrisisSummaryFurther readingPractice questions and problemsFurther questionsChapter 7: How Traders Manage Their Risks7.1 Delta7.2 Gamma7.3 Vega7.4 Theta7.5 Rho7.6 Calculating Greek letters7.7 Taylor series expansions7.8 The realities of hedging7.9 Hedging exotic options7.10 Scenario analysisSummaryFurther readingPractice questions and problemsFurther questionsChapter 8: Interest Rate Risk8.1 The management of net interest income8.2 LIBOR and swap rates8.3 Duration8.4 Convexity8.5 Generalization8.6 Nonparallel yield curve shifts8.7 Interest rate deltas in practice8.8 Principal components analysis8.9 Gamma and vegaSummaryFurther readingPractice questions and problemsFurther questionsChapter 9: Value at Risk9.1 Definition of VaR9.2 Examples of the calculation of VaR9.3 VaR vs expected shortfall9.4 VaR and capital9.5 Coherent risk measures9.6 Choice of parameters for VaR9.7 Marginal VaR, incremental VaR, and component VaR9.8 Euler's theorem9.9 Aggregating VaRs9.10. Back-testingSummaryFurther readingPractice questions and problemsFurther questionsChapter 10: Volatility10.1 Definition of volatility10.2 Implied volatilities10.3 Are daily percentage changes in financial variables normal?10.4 The Power Law10.5 Monitoring daily volatility10.6 The exponentially weighted moving average model10.7 The GARCH(1,1) model10.8 Choosing between the models10.9 Maximum-likelihood methods10.10 Using GARCH(1,1) to forecast future volatilitySummaryFurther readingPractice questions and problemsFurther questionsChapter 11: Correlations and Copulas11.1 Definition of correlation11.2 Monitoring correlation11.3 Multivariate normal distributions11.4 Copulas11.5 Application to loan portfolios: Vasicek's modelSummaryFurther readingQuestions and problemsAssignment questionsChapter 12: Basel I, Basel II, and Solvency II12.1 Reasons for regulating banks12.2 Bank regulation pre-198812.3 The 1988 Basel accord12.4 The G-30 policy recommendations12.5 Netting12.6 The 1996 amendment12.7 Basel II12.8 Credit risk capital under Basel II12.9 Operational risk capital under Basel II12.10 Pillar 2: supervisory review12.11 Pillar 3: market discipline12.12 Solvency IISummaryFurtherreadingPractice questions and problemsFurther questionsChapter 13: Basel 2.5,Basel III, and Dodd-Frank13.1 Basel 2.513.2 Basel III13.3 Contingent convertible bonds13.4 Dodd-Frank Act13.5 Legislation in other countriesSummaryFurther readingPractice questions and problemsFurther questionsChapter 14: Market RiskVaR: The Historical Simulation Approach14.1 The methodology14.2 Accuracy14.3 Extensions14.4 Computational issues14.4 Extreme value theory14.5 Applications of EVTSummaryFurther readingPractice questions and problemsFurther questionsChapter 15: Market Risk VaR: The Model-Building Approach15.1 The basic methodology15.2 Generalization15.3 Correlation and covariance matrices15.4 Handling interest rates15.5 Applications of the linear model15.6 Linear model and options15.7 Quadratic model15.8 Monte Carlo simulation15.9 Nonnormal distributions15.10 Model building vs historical simulationSummaryFurther readingPractice questions and problemsFurther questionsChapter 16: Credit Risk: Estimating Default Probabilities16.1 Credit ratings16.2 Historical default probabilities16.3 Recovery rates16.4 Credit default swaps16.5 Credit spreads16.6 Estimating default probabilities from credit spreads16.7 Comparison of default probability estimates16.8 Using equity prices to estimate default probabilitiesSummaryFurther readingPractice questions and problemsFurther questionsChapter 17: Counterparty Credit Risk in Derivatives17.1 Credit exposure on derivatives17.2 Bilateral clearing17.3 Central clearing17.4 CVA17.5 The impact of a new transaction17.6 CVArisk17.7 Wrong way risk17.8 DVA17.9 Some simple examplesSummaryFurther readingPractice questions and problemsFurther questionsChapter 18: Credit Value at Risk18.1 Ratings transition matrices18.2 Vasicek’s model18.3 Credit risk plus18.4 CreditMetrics18.5 Credit VaR in the trading bookSummaryFurther readingPractice questions and problemsFurther questionsChapter 19: Scenario Analysis andStress Testing19.1 Generating the scenarios19.2 Regulation19.3 What to do with the resultsSummaryFurther readingPractice questions and problemsFurther questionsChapter 20: Operational Risk20.1 What is operational risk?20.2 Determination of regulatory capital20.3 Categorization of operational risks20.4 Loss severity and loss frequency20.5 Implementation of AMA20.6 Proactive approaches20.7 Allocation of operational risk capital20.8 Use of the power law20.9 Insurance20.10 Sarbanes-OxleySummaryFurther readingPractice questions and problemsFurther questionsChapter 21: Liquidity Risk21.1 Liquidity trading risk21.2 Liquidity funding risk21.3 Liquidity black holesSummaryFurther readingPractice questions and problemsFurther questionsChapter 22: Model Risk22.1 Marking to market22.2 Models for linear products22.3 Physics vs finance22.4 How models are used for pricing standard products22.5 Hedging22.6 Models for nonstandard products22.7 Dangers in model building22.8 Detecting model problemsSummaryFurther readingPractice questions and problemsFurther questionsChapter 23: Economic Capitaland RAROC23.1 Definition of economic capital23.2 Components of economic capital23.3 Shapes of the loss distributions23.4 Relative importance of risks23.5 Aggregating economic capital23.6 Allocation of economic capital23.7 Deutsche Bank's economic capital23.8 RAROCSummaryFurther readingQuestions and problemsAssignment questionsChapter 24: Risk Management Mistakes to Avoid24.1 Risk limits24.2 Managing the trading room24.3 Liquidity risk24.4 Lessons for nonfinancialcorporations24.5 A final pointSummaryFurther readingAppendix A: Compounding Frequencies and Interest RatesAppendix B: Zero Rates, Forward rates, and Zero-Coupon Yield CurvesAppendix C: Valuing Forward and Futures ContractsAppendix D:Valuing SwapsAppendix E: Valuing European OptionsAppendix F: Valuing AmericanOptionsAppendix G: Taylor Series ExpansionsAppendix H: Eigenvectors and EigenvaluesAppendix I: Principal Components AnalysisAppendix J: Manipulation of Credit Transition MatricesAppendix K: Valuation of Credit Default SwapsAppendix L: Synthetic CDOs and their ValuationAnswers to Questions and ProblemsGlossary of TermsDerivaGem SoftwareTable for N(x) when x â‰ñ 0Table for N(x) when x â‰Ñ0Index
- ISBN: 978-1-118-26903-9
- Editorial: John Wiley & Sons
- Encuadernacion: Rústica
- Páginas: 672
- Fecha Publicación: 23/05/2012
- Nº Volúmenes: 1
- Idioma: Inglés