Risk management and financial institutions
The essential guide to managing financial institution risk, fully revised and updated The 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 st...
| Autor principal: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
John Wiley
c2012.
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| Edición: | 3rd ed |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628721106719 |
Tabla de Contenidos:
- Risk Management and Financial Institutions; Contents; Business Snapshots; Preface; CHAPTER 1 Introduction; 1.1 Risk vs. Return for Investors; 1.2 The Efficient Frontier; 1.3 The Capital Asset Pricing Model; 1.4 Arbitrage Pricing Theory; 1.5 Risk vs. Return for Companies; 1.6 Risk Management by Financial Institutions; 1.7 Credit Ratings; Summary; Further Reading; Practice Questions and Problems; Further Questions; CHAPTER 2 Banks; 2.1 Commercial Banking; 2.2 The Capital Requirements of a Small Commercial Bank; 2.3 Deposit Insurance; 2.4 Investment Banking; 2.5 Securities Trading
- 2.6 Potential Conflicts of Interest in Banking2.7 Today's Large Banks; 2.8 The Risks Facing Banks; Summary; Further Reading; Practice Questions and Problems; Further Questions; CHAPTER 3 Insurance Companies and Pension Plans; 3.1 Life Insurance; 3.2 Annuity Contracts; 3.3 Mortality Tables; 3.4 Longevity and Mortality Risk; 3.5 Property-Casualty Insurance; 3.6 Health Insurance; 3.7 Moral Hazard and Adverse Selection; 3.8 Reinsurance; 3.9 Capital Requirements; 3.10 The Risks Facing Insurance Companies; 3.11 Regulation; 3.12 Pension Plans; Summary; Further Reading
- Practice Questions and ProblemsFurther Questions; CHAPTER 4 Mutual Funds and Hedge Funds; 4.1 Mutual Funds; 4.2 Hedge Funds; 4.3 Hedge Fund Strategies; 4.4 Hedge Fund Performance; Summary; Further Reading; Practice Questions and Problems; Further Questions; CHAPTER 5 Trading in Financial Markets; 5.1 The Markets; 5.2 Long and Short Positions in Assets; 5.3 Derivatives Markets; 5.4 Plain Vanilla Derivatives; 5.5 Clearing Houses; 5.6 Margin; 5.7 Non-Traditional Derivatives; 5.8 Exotic Options and Structured Products; 5.9 Risk Management Challenges; Summary; Further Reading
- Practice Questions and ProblemsFurther Questions; CHAPTER 6 The Credit Crisis of 2007; 6.1 The U.S. Housing Market; 6.2 Securitization; 6.3 The Crisis; 6.4 What Went Wrong?; 6.5 Lessons from the Crisis; Summary; Further Reading; Practice Questions and Problems; Further Questions; CHAPTER 7 How Traders Manage Their Risks; 7.1 Delta; 7.2 Gamma; 7.3 Vega; 7.4 Theta; 7.5 Rho; 7.6 Calculating Greek Letters; 7.7 Taylor Series Expansions; 7.8 The Realities of Hedging; 7.9 Hedging Exotic Options; 7.10 Scenario Analysis; Summary; Further Reading; Practice Questions and Problems; Further Questions
- CHAPTER 8 Interest Rate Risk8.1 The Management of Net Interest Income; 8.2 LIBOR and Swap Rates; 8.3 Duration; 8.4 Convexity; 8.5 Generalization; 8.6 Nonparallel Yield Curve Shifts; 8.7 Interest Rate Deltas in Practice; 8.8 Principal Components Analysis; 8.9 Gamma and Vega; Summary; Further Reading; Practice Questions and Problems; Further Questions; CHAPTER 9 Value at Risk; 9.1 Definition of VaR; 9.2 Examples of the Calculation of VaR; 9.3 VaR vs. Expected Shortfall; 9.4 VaR and Capital; 9.5 Coherent Risk Measures; 9.6 Choice of Parameters for VaR
- 9.7 Marginal VaR, Incremental VaR, and Component VaR
