TY - GEN AU - Hull, John C. TI - Risk management and financial institutions SN - 978-81-265-6063-5 PY - 2018/// CY - New Delhi PB - Wiley India Pvt. Ltd. KW - Risk management and financial institutions N1 - Business Snapshots xxiii Preface xxv Chapter 1 Introduction 1 Part 1: Financial Institutions and Their Trading 23 Chapter 2 Banks 25 Chapter 3 Insurance Companies and Pension Plans 47 Chapter 4 Mutual Funds, ETFs, and Hedge Funds 75 Chapter 5 Trading in Financial Markets 97 Chapter 6 The Credit Crisis of 2007–2008 127 Chapter 7 Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds 145 Part 2: Market Risk 159 Chapter 8 How Traders Manage Their Risks 161 Chapter 9 Interest Rate Risk 185 Chapter 10 Volatility 213 Chapter 11 Correlations and Copulas 243 Chapter 12 Value at Risk and Expected Shortfall 269 Chapter 13 Historical Simulation and Extreme Value Theory 293 Chapter 14 Model-Building Approach 317 Part 3: Regulation 345 Chapter 15 Basel I, Basel II, and Solvency II 347 Chapter 16 Basel II.5, Basel III, and Other Post-Crisis Changes 377 Chapter 17 Regulation of the OTC Derivatives Market 399 Chapter 18 Fundamental Review of the Trading Book 415 Part 4: Credit Risk 429 Chapter 19 Estimating Default Probabilities 431 Chapter 20 CVA and DVA 459 Chapter 21 Credit Value at Risk 479 Part 5: Other Topics 495 Chapter 22 Scenario Analysis and Stress Testing 497 Chapter 23 Operational Risk 515 Chapter 24 Liquidity Risk 537 Chapter 25 Model Risk Management 565 Chapter 26 Economic Capital and RAROC 585 Chapter 27 Enterprise Risk Management 603 Chapter 28 Financial Innovation 621 Chapter 29 Risk Management Mistakes to Avoid 643 Part 6: Appendices 655 Appendix A Compounding Frequencies for Interest Rates 657 Appendix B Zero Rates, Forward Rates, and Zero-Coupon Yield Curves 661 Appendix C Valuing Forward and Futures Contracts 667 Appendix D Valuing Swaps 669 Appendix E Valuing European Options 673 Appendix F Valuing American Options 677 Appendix G Taylor Series Expansions 681 Appendix H Eigenvectors and Eigenvalues 685 Appendix I Principal Components Analysis 689 Appendix J Manipulation of Credit Transition Matrices 691 Appendix K Valuation of Credit Default Swaps 693 Appendix L Synthetic CDOs and Their Valuation 697 Answers to Questions and Problems 701 Glossary 745 RMFI Software 773 Table for N(x) When x ≥ 0 777 Table for N(x) When x ≤ 0 779 Index 781 Series Wiley Finance N2 - Description The most complete, up-to-date guide to risk management in finance Risk Management and Financial Institutions, Fifth Edition explains all aspects of financial risk and financial institution regulation, helping you better understand the financial markets—and their potential dangers. Inside, you’ll learn the different types of risk, how and where they appear in different types of institutions, and how the regulatory structure of each institution affects risk management practices. Comprehensive ancillary materials include software, practice questions, and all necessary teaching supplements, facilitating more complete understanding and providing an ultimate learning resource. All financial professionals need to understand and quantify the risks associated with their decisions. This book provides a complete guide to risk management with the most up to date information. • Understand how risk affects different types of financial institutions • Learn the different types of risk and how they are managed • Study the most current regulatory issues that deal with risk • Get the help you need, whether you’re a student or a professional Risk management has become increasingly important in recent years and a deep understanding is essential for anyone working in the finance industry; today, risk management is part of everyone's job. For complete information and comprehensive coverage of the latest industry issues and practices, Risk Management and Financial Institutions, Fifth Edition is an informative, authoritative guide ER -