INSEAD Library

Doriot: for 2014-2015 courses

Includes bibliographical references and index

Digitized

Risk Management and Financial Institutions Contents in Brief Business Snapshots............................................................................... xiii Preface..............................................................................................................xv 1. Introduction ............................................................................................... 1 2. Financial Products and How They are Used for Hedging............................ 27 3. How Traders Manage Their Exposures........................................................ 55 4. Interest Rate Risk........................................................................................................... 79 5. Volatility .......................................................................................................... 111 6. Correlation and Copulas........................................................................... 143 7. Bank Regulation and Basel II................................................................... 165 8. The VaR Measure......................................................................................... 195 9. Market Risk VaR: Historical Simulation Approach................................... 217 10. Market Risk VaR: Model-Building Approach............................................ 233 11. Credit Risk: Estimating Default Probabilities ......................................... 255 12. Credit Risk Losses and Credit VaR..................................................................... 277 13. Credit Derivatives ..................................................................................... 299 14. Operational Risk...................................................................................... 321 15. Model Risk and Liquidity Risk.................................................................. 343 16. Economic Capital and RAROC................................................................... 365 17. Weather, Energy, and Insurance Derivatives.......................................... 385 18. Big Losses and What We Can Learn from Them..................................... 395 Appendix A: Valuing Forward and Futures Contracts............................ 407 Appendix B: Valuing Swaps....................................................................... 409 Appendix C: Valuing European Options.................................................. 413 Appendix D: Valuing American Options.................................................... 417 Appendix E: Manipulation of Credit Transition Matrices ....................... 421 Answers to Questions and Problems....................................................... 423 Glossary of Terms....................................................................................... 457 Derivagem Software.....................................................................................479 Tables for N (x)............................................................................................................. 484 Index............................................................................................................ 487