Detalles de la obra

Título:
Risk management and financial institutions
Autor(es):
Hull, John C.
Pie de imprenta:
Hoboken: John Wiley & Sons, c2018
Edición:
5th.ed.
Descripción física:
xxvii, 799 p. grafs. 26 x 19 cm.
Idioma:
Inglés
ISBN:
978-1-118-95594-9
Resumen:
Contiene: I. Introduction. 1. Financial institutions and their trading. 2. Banks. 3. Insurance companies and pension plans. 4. Mutual funds, ETFs, and hedge funds. 5 Trading in financial markets. 6 The credit crisis of 2007–2008. 7 Valuation and scenario analysis: the risk-neutral and real worlds.- II. Market risk. 8 How traders manage their risks. 9 Interest rate risk. 10. Volatility. 11 Correlations and copulas. 12 Value at risk and expected shortfall. 13. Historical simulation and extreme value theory. 14. Model-building approach. III. Regulation. 15. Basel I, Basel II, and Solvency II. 16. Basel II.5, Basel III, and Other Post-Crisis Changes. 17. Regulation of the OTC derivatives market. 18. Fundamental review of the trading book. IV. Credit risk. 19. Estimating default probabilities. 20. CVA and DVA. 21. Credit value at risk.- V. Other topics. 22. Scenario analysis and stress testing. 23. Operational risk. 24. Liquidity risk. 25 Model risk management. 26 Economic capital and RAROC. 27 Enterprise risk management. 28 Financial innovation. 29. Risk management mistakes to avoid.- VI. Appendices. Appendix A Compounding frequencies for interest rates. Appendix B Zero rates, forward rates, and zero-coupon yield curves. Appendix C Valuing forward and futures contracts. Appendix D Valuing swaps. Appendix E Valuing European options. Appendix F Valuing American options. Appendix G Taylor series expansions. Appendix H Eigenvectors and eigenvalues. Appendix I Principal components analysis. Appendix J Manipulation of credit transition matrices. Appendix K Valuation of credit default swaps. Appendix L Synthetic CDOs and their valuation.
Referencias bibliográficas:
Incluye Bibliografía
Título serie:
Wiley Finance Series
Ubicación física:
332.1 / HUL
Tipo de material:
[Material Impreso]