Risk Management and Financial Institutions : Risk Management and Financial Institutions (4th Edition).
John C. Hull
Bok Engelsk 2015 · Electronic books.
| Omfang | 1 online resource (743 pages)
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| Utgave | 4th ed.
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| Opplysninger | Intro -- Risk Management and Financial Institutions -- Contents in Brief -- Contents -- Business Snapshots -- Preface -- Chapter 1 Introduction -- 1.1 Risk vs. Return for Investors -- Quantifying Risk -- Investment Opportunities -- 1.2 The Efficient Frontier -- 1.3 The Capital Asset Pricing Model -- Assumptions -- Alpha -- 1.4 Arbitrage Pricing Theory -- 1.5 Risk vs. Return for Companies -- Bankruptcy Costs -- The Hidden Costs of Bankruptcy -- Financial Institutions -- Regulation -- 1.6 Risk Management by Financial Institutions -- 1.7 Credit Ratings -- PART ONE Financial Institutions and Their Trading -- Chapter 2 Banks -- 2.1 Commercial Banking -- 2.2 The Capital Requirements of a Small Commercial Bank -- Capital Adequacy -- 2.3 Deposit Insurance -- 2.4 Investment Banking -- IPOs -- Dutch Auction Approach -- Advisory Services -- Googles IPO -- PeopleSoft's Poison Pill -- 2.5 Securities Trading -- 2.6 Potential Conflicts of Interest in Banking -- 2.7 Todays Large Banks -- Accounting -- How to Keep Loans Performing -- The Originate-to-Distribute Model -- 2.8 The Risks Facing Banks -- Chapter 3 Insurance Companies and Pension Plans -- 3.1 Life Insurance -- Term Life Insurance -- Whole Life Insurance -- Variable Life Insurance -- Universal Life -- Variable-Universal Life Insurance -- Endowment Life Insurance -- Group Life Insurance -- 3.2 Annuity Contracts -- 3.3 Mortality Tables -- Equitable Life -- 3.4 Longevity and Mortality Risk -- Longevity Derivatives -- 3.5 Property-Casualty Insurance -- CAT Bonds -- Ratios Calculated by Property-Casualty Insurers -- 3.6 Health Insurance -- 3.7 Moral Hazard and Adverse Selection -- Moral Hazard -- Adverse Selection -- 3.8 Reinsurance -- 3.9 Capital Requirements -- Life Insurance Companies -- Property-Casualty Insurance Companies -- 3.10 The Risks Facing Insurance Companies -- 3.11 Regulation -- United States.. - 10.6 The Exponentially Weighted Moving Average Model -- 10.7 The GARCH(1,1) Model -- The Weights -- 10.8 Choosing Between the Models -- 10.9 Maximum Likelihood Methods -- Estimating a Constant Variance -- Estimating EWMA or GARCH(1,1) -- How Good Is the Model? -- 10.10 Using GARCH(1,1) to Forecast Future Volatility -- Volatility Term Structures -- Impact of Volatility Changes -- On the Causes of Volatility -- On GARCH -- Chapter 11 Correlations and Copulas -- 11.1 Definition of Correlation -- Correlation vs. Dependence -- 11.2 Monitoring Correlation -- EWMA -- GARCH -- Consistency Condition for Covariances -- 11.3 Multivariate Normal Distributions -- Generating Random Samples from Normal Distributions -- Factor Models -- 11.4 Copulas -- Expressing the Approach Algebraically -- Other Copulas -- Tail Dependence -- Multivariate Copulas -- A Factor Copula Model -- 11.5 Application to Loan Portfolios: Vasicek's Model -- Proof of Vasicek's Result -- Estimating PD and -- Alternatives to the Gaussian Copula -- Chapter 12 Value at Risk and Expected Shortfall -- 12.1 Definition of VaR -- Historical Perspectives on VaR -- 12.2 Examples of the Calculation of VaR -- 12.3 A Drawback of VaR -- 12.4 Expected Shortfall -- 12.5 Coherent Risk Measures -- Spectral Risk Measures -- 12.6 Choice of Parameters for VaR and ES -- The Time Horizon -- Impact of Autocorrelation -- Confidence Level -- 12.7 Marginal, Incremental, and Component Measures -- 12.8 Eulers Theorem -- 12.9 Aggregating VaRs and ESs -- 12.10 Back-Testing -- Bunching -- Chapter 13 Historical Simulation and Extreme Value Theory -- 13.1 The Methodology -- Illustration -- Expected Shortfall -- Stressed VaR and Stressed ES -- 13.2 Accuracy of VaR -- 13.3 Extensions -- Weighting of Observations -- Taking Account of the Volatilities of the Market Variables.. - 7.1 Volatility and Asset Prices -- 7.2 Risk-Neutral Valuation -- Application to Forward Contract -- Application to Binary Options -- The Black-Scholes-Merton Application -- Discrete Outcomes -- Application to Default Probabilities -- 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 -- PART TWO Market Risk -- Chapter 8 How Traders Manage Their Risks -- 8.1 DELTA -- Linear Products -- Hedging by Gold Mining Companies -- Nonlinear Products -- Where the Cost Comes From -- Transactions Costs -- 8.2 GAMMA -- Making a Portfolio Gamma Neutral -- 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 -- Dynamic Hedging in Practice -- 8.9 Hedging Exotic Options -- Is Delta Hedging Easier or More Difficult for Exotics? -- 8.10 Scenario Analysis -- Chapter 9 Interest Rate Risk -- 9.1 The Management of Net Interest Income -- Liquidity -- 9.2 Types of Rates -- Treasury Rates -- LIBOR and Swap Rates -- LIBOR vs. Treasury Rates -- The OIS Rate -- Repo Rates -- 9.3 Duration -- Modified Duration -- Dollar Duration -- 9.4 Convexity -- Dollar Convexity -- 9.5 Generalization -- Portfolio Immunization -- 9.6 Nonparallel Yield Curve Shifts -- 9.7 Interest Rate Deltas in Practice -- Calculating Deltas to Facilitate Hedging -- 9.8 Principal Components Analysis -- Using Principal Components Analysis to Calculate Deltas -- 9.9 Gamma and Vega -- Chapter 10 Volatility -- 10.1 Definition of Volatility -- Variance Rate -- Business Days vs. Calendar Days -- What Causes Volatility? -- 10.2 Implied Volatilities -- The VIX Index -- 10.3 Are Daily Percentage Changes in Financial Variables Normal? -- Making Money from Foreign Currency Options -- 10.4 The Power Law -- 10.5 Monitoring Daily Volatility -- Weighting Schemes.. - A Simpler Approach to Adjusting for Volatility Changes -- Bootstrap Method -- 13.4 Computational Issues -- 13.5 Extreme Value Theory -- The Key Result -- Estimating ξ and β -- Estimating the Tail of the Distribution -- Equivalence to the Power Law -- The Left Tail -- Calculation of VaR and ES -- 13.6 Applications of EVT -- Choice of u -- Chapter 14 Model-Building Approach -- 14.1 THE BASIC METHODOLOGY -- Two-Asset Case -- The Benefits of Diversification -- 14.2 GENERALIZATION -- 14.3 CORRELATION AND COVARIANCE MATRICES -- Example Involving Four Investments -- Use of EWMA -- 14.4 HANDLING INTEREST RATES -- Illustration of Cash-Flow Mapping -- Principal Components Analysis -- 14.5 APPLICATIONS OF THE LINEAR MODEL -- 14.6 LINEAR MODEL AND OPTIONS -- Weakness of Model -- 14.7 QUADRATIC MODEL -- Cornish-Fisher Expansion -- 14.8 MONTE CARLO SIMULATION -- 14.9 NON-NORMAL ASSUMPTIONS -- 14.10 MODEL-BUILDING vs. HISTORICAL SIMULATION -- PART THREE Regulation -- Chapter 15 Basel I, Basel II, and Solvency II -- 15.1 The Reasons for Regulating Banks -- Systemic Risk -- 15.2 Bank Regulation Pre-1988 -- 15.3 The 1988 BIS Accord -- The Cooke Ratio -- Capital Requirement -- 15.4 The G-30 Policy Recommendations -- 15.5 Netting -- 15.6 1996 Amendment -- Back-Testing -- 15.7 Basel II -- 15.8 Credit Risk Capital Under Basel II -- The Standardized Approach -- Adjustments for Collateral -- The IRB Approach -- Corporate, Sovereign, and Bank Exposures -- Retail Exposures -- Guarantees and Credit Derivatives -- 15.9 Operational Risk Capital Under Basel II -- 15.10 Pillar 2: Supervisory Review -- 15.11 Pillar 3: Market Discipline -- 15.12 Solvency II -- Chapter 16 Basel II.5, Basel III, and Other Post-Crisis Changes -- 16.1 Basel II.5 -- Stressed VaR -- Incremental Risk Charge -- The Comprehensive Risk Measure -- 16.2 Basel III -- Capital Definition and Requirements.. - Capital Conservation Buffer.. - Europe -- 3.12 Pension Plans -- Are Defined Benefit Plans Viable? -- A Perfect Storm -- Chapter 4 Mutual Funds and Hedge Funds -- 4.1 Mutual Funds -- Index Funds -- Costs -- Closed-End Funds -- ETFs -- Mutual Fund Returns -- Regulation and Mutual Fund Scandals -- Mutual Fund Returns Can Be Misleading -- 4.2 Hedge Funds -- Fees -- Incentives of Hedge Fund Managers -- Prime Brokers -- 4.3 Hedge Fund Strategies -- Long/Short Equity -- Dedicated Short -- Distressed Securities -- Merger Arbitrage -- Convertible Arbitrage -- Fixed Income Arbitrage -- Emerging Markets -- Global Macro -- Managed Futures -- 4.4 Hedge Fund Performance -- Chapter 5 Trading in Financial Markets -- 5.1 The Markets -- Exchange-Traded Markets -- Over-the-Counter Markets -- 5.2 Clearing Houses -- The OTC Market and Central Clearing -- 5.3 OTC Market Changes -- 5.4 Long and Short Positions in Assets -- Short Sales -- 5.5 Derivatives Markets -- 5.6 Plain Vanilla Derivatives -- Forward Contracts -- Futures Contracts -- Swaps -- The Unanticipated Delivery of a Futures Contract -- A Software Error? -- Options -- Interest Rate Options -- 5.7 Non-Traditional Derivatives -- Weather Derivatives -- Oil Derivatives -- Natural Gas Derivatives -- Electricity Derivatives -- 5.8 Exotic Options and Structured Products -- Microsofts Hedging -- Procter and Gambles Bizarre Deal -- 5.9 Risk Management Challenges -- SocGen's Big Loss in 2008 -- Chapter 6 The Credit Crisis of 2007 -- 6.1 The U.S. Housing Market -- The Relaxation of Lending Standards -- The Bubble Bursts -- 6.2 Securitization -- Asset-Backed Securities -- ABS CDOs -- CDOs and ABS CDOs in Practice -- All BBBs Are Not the Same -- 6.3 The Crisis -- 6.4 What Went Wrong? -- Regulatory Arbitrage -- Incentives -- 6.5 Lessons from the Crisis -- A Trading Opportunity? -- Chapter 7 Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds.. - The most complete, up to date guide to risk management in finance Risk Management and Financial Institutions explains all aspects of financial risk and financial institution regulation, helping readers better understand the financial markets and potential dangers. This new fourth edition has been updated to reflect the major developments in the industry, including the finalization of Basel III, the fundamental review of the trading book, SEFs, CCPs, and the new rules affecting derivatives markets. There are new chapters on enterprise risk management and scenario analysis. Readers 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 a thorough background in risk and the interlacing connections between financial institutions to better understand the market, defend against systemic dangers, and perform their jobs. This book provides a complete picture of the risk management industry and practice, 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 Risk management is paramount with the dangers inherent in the financial system, 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 is an informative,. - authoritative guide.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781118955963
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| ISBN(galt) |
