Risk management and financial institutions

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Risk management and financial institutions / John C. Hull

版:: 2nd ed., international ed
資料種別:: 図書
出版情報:: Boston ; Tokyo : Pearson, c2010
形態:: xvii, 556 p. ; 26 cm. + 1 CD-ROM (4 3/4 in.)
著者名:: Hull, J. C. (John C.), 1946- <DA03641114>
ISBN:: 9780138006174 [0138006172]
書誌ID:: BB05782311

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注記:

Previous ed.: c2007
Includes bibliographical references and index

主題:

Financial institutions--Management; Risk management

言語:

英語

目次情報:

Business Snapshots

Preface

Introduction / 1：

Banks / 2：

Insurance / 3：

Mutual Funds and Hedge Funds / 4：

Financial Instruments / 5：

How Traders Manage Their Exposures / 6：

Interest Rate Risk / 7：

Value at Risk / 8：

Volatility / 9：

Correlation and Copulas / 10：

Regulation, Basel II, and Solvency II / 11：

Market Risk VaR: Historical Simulation Approach / 12：

Market Risk VaR: Model-Building Approach / 13：

Credit Risk: Estimating Default Probabilities / 14：

Credit Risk Losses and Credit VaR / 15：

ABSs, CDOs, and the Credit Crunch of 2007 / 16：

Scenario Analysis and Stress Testing / 17：

Operational Risk / 18：

Liquidity Risk / 19：

Model Risk / 20：

Economic Capital and RAROC / 21：

Risk Management Mistakes to avoid / 22：

Compounding Frequencies and Interest Rates / Appendix A：

Zero Rtes, Forward Rates, and Zero-Coupon Yield Curves / Appendix B：

Valuing Forward and Futures Contracts / Appendix C：

Valuing Swaps / Appendix D：

Valuing European Options / Appendix E：

Valuing American Options / Appendix F：

Taylor Series Expansions / Appendix G：

Eigenvectors and Eigenvalues / Appendix H：

Principal Components Analysis / Appendix I：

Manipulation of Credit Transition Matrices / Appendix J：

Answers to Questions and Problems

Glossary of Terms

DerivaGem Software

Tables For N(x)

Index

Business Snapshots

Preface

Introduction / 1：

Banks / 2：

Insurance / 3：

Mutual Funds and Hedge Funds / 4：

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