Risk Management and Financial Institutions

ISBN-13: 9781119932482 / Angielski / Twarda / 2023 / 832 str.

John C. (University of Toronto) Hull

Spis treści

Business Snapshots xxiiiPreface xxvChapter 1 Introduction: Risk-Return Trade-offs 1Part 1: Financial Institutions 23Chapter 2 Banks 25Chapter 3 Insurance Companies and Pension Plans 47Chapter 4 Fund Managers 75Part 2: Financial Markets 97Chapter 5 Financial Instruments 99Chapter 6 The OTC Derivatives Market 129Chapter 7 Securitization and the Global Financial Crisis 145Chapter 8 Volatility 163Chapter 9 Correlations and Copulas 193Chapter 10 Valuation and Scenario Analysis 217Part 3: Market Risk 231Chapter 11 Value at Risk and Expected Shortfall 233Chapter 12 Historical Simulation and Extreme Value Theory 257Chapter 13 Model-Building Approach 279Chapter 14 Interest Rate Risk 293Chapter 15 Derivatives Risk 319Chapter 16 Scenario Analysis and Stress Testing 347Part 4: Credit Risk 365Chapter 17 Estimating Default Probabilities 367Chapter 18 xVAs 393Chapter 19 Credit Value at Risk 413Part 5: Other Risks 429Chapter 20 Operational Risk 431Chapter 21 Liquidity Risk 449Chapter 22 Model Risk Management 477Chapter 23 Climate Risk, ESG, and Sustainability 497Chapter 24 Enterprise Risk Management 513Part 6: Regulation 531Chapter 25 Basel I, Basel II, and Solvency II 533Chapter 26 Basel II.5, Basel III, and Other Post-Crisis Changes 563Chapter 27 Fundamental Review of the Trading Book 585Chapter 28 Economic Capital and RAROC 599Part 7: Other Topics 617Chapter 29 Financial Innovation 619Chapter 30 Risk Management Mistakes to Avoid 641Part 8: Appendices 653Appendix A Compounding Frequencies for Interest Rates 655Appendix B Zero Rates, Forward Rates, and Zero-Coupon Yield Curves 659Appendix C Valuing Forward and Futures Contracts 663Appendix D Valuing Swaps 665Appendix E Valuing European Options 669Appendix F Valuing American Options 673Appendix G Taylor Series Expansions 677Appendix H Eigenvectors and Eigenvalues 681Appendix I Principal Components Analysis 685Appendix J Manipulation of Credit Transition Matrices 687Appendix K Valuation of Credit Default Swaps 689Appendix L Synthetic CDOs and Their Valuation 693Appendix M SIMM 697Answers to Questions and Problems 701Glossary 743RMFI Software 771Table for N(x) When x >= 0 775Table for N(x) When x <= 0 777Index 779

O autorze

JOHN C. HULL is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is academic director of Rotman's Financial Innovation Lab (FinHub), senior advisor to the Global Association of Risk Professionals (GARP), and a senior research fellow at the Global Risk Institute in Financial Services. He has been a consultant to many North American, Japanese, and European financial institutions.