Understanding Risk

Understanding Risk : The Theory and Practice of Financial Risk Management

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Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a more informal style, giving readers a blend of analysis and intuition. Divided into four parts, the book begins by introducing the basics of risk management and the behavior of financial instruments. The next section focuses on regulatory capital standards and models, addressing value-at-risk (VaR) models, portfolio credit risk, tranching, operational risk, and the Basel accords. The author then deals with asset/liability management (ALM) and liquidity management. The last part explores structured finance and a variety of new trading instruments, including inflation-linked products, sophisticated equity basket options, and convertible bonds. With numerous exercises, figures, and examples throughout, this book offers valuable insight on various aspects of financial risk management.show more

Product details

  • Electronic book text | 472 pages
  • Taylor & Francis Ltd
  • Chapman & Hall/CRC
  • London, United Kingdom
  • 136 Illustrations, black and white
  • 1584888946
  • 9781584888949

Table of contents

INTRODUCTION part 1: Risk Management and the Behavior of Products Markets, Risks, and Risk Management in Context Financial Markets Overview Trading and Market Behavior Basic Ideas in Risk Management Culture and Organization Some External Constraints Derivatives and Quantitative Market Risk Management Returns, Options, Sensitivities Portfolios and Risk Aggregation Understanding the Behavior of Derivatives Interest Rate Derivatives and Yield Curve Models Single Name Credit Derivatives Valuation, Hedging, and Model Risk part 2: Economic and Regulatory Capital Models Capital: Motivation and Provision Motivations for Capital Capital Instrument Features Regulatory Capital Provision Market Risk Capital Models General Market Risk Capital Models Some Limitations to and Extensions of Value-at-Risk Models Risk Systems and Risk Data Credit Risk and Credit Risk Capital Models The Banking Book: Introducing the Products and the Risks Credit Risk for Small Numbers of Obligators An Introduction to Tranching and Portfolio Credit Derivatives Credit Portfolio Risk Management Political and Country Risk Operational Risk and Further Topics in Capital Estimation An Introduction to Operational Risk The Tails and Operational Risk Modeling Allocating Capital and Other Risks BANK REGULATION AND CAPITAL REQUIREMENTS Regulatory Capital and the Basel Accords Basel II: Beyond the Capital Rules Part 3: Treasury and Liquidity Risks THE TREASURY AND ASSET/LIABILITY MANAGEMENT An Introduction to Asset/Liability Management (ALM) Banking Book Income and Funding the Bank ALM in Practice Trading Book ALM LIQUIDITY RISK MANAGEMENT The Liquidity of Securities and Deposits Liquidity Management Off-Balance-Sheet Liquidity and Contingent Funding Stresses of Liquidity Part 4: Some Trading Businesses and Their Challenges AN INTRODUCTION TO STRUCTURED FINANCE Contractual Relations Asset-Backed Securities Securitization Structures NOVEL ASSET CLASSES, BASKET PRODUCTS, AND CROSS-ASSET TRADING Inflation-Linked Products Equity Basket Products Convertible Bonds Equity/Credit Trading New Products CONCLUDING REMARKS INDEXshow more

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