Abstract: Table of Contents: Preface *Introduction *Financial Products and How They are Used for Hedging *How Traders Manage Their Exposures *Interest Rate Risk *Volatility *Correlation and Copulas *Bank Regulation and Basel II *The VaR Measure *Market Risk VaR: Historical Simulation Approach *Market Risk VaR: Model Building Approach *Credit Risk: Estimating Default Probabilities *Credit Risk Losses and Credit VaR *Credit Derivatives *Operational Risk *Model Risk and Liquidity Risk *Economic Capital and RAROC *Weather, Energy, and Insurance Derivatives *Big Losses and What We Can Learn from Them Appendix A: Value Forward and Futures Contracts Appendix B: Valuing Swaps Appendix C: Valuing European Options Appendix D: Valuing American Options Appendix E: Manipulation of Credit Transition Matrices Answers to End-of Chapter Problems Glossary of Terms Tables for N(x) Index
Publication Year: 2006
Publication Date: 2006-06-02
Language: en
Type: book
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Cited By Count: 774
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