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Risk management and financial institutions

Author: Hull, John C. Publisher: Pearson Prentice Hall, 2007.Language: EnglishDescription: 500 p. : Ill. ; 24 cm.ISBN: 0132397900Type of document: BookNote: Doriot: for 2014-2015 coursesBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Asia Campus
Main Collection
Print HG6024.3 .H85 2007
(Browse shelf)
900183208
Available 900183208
Book Europe Campus
Main Collection
Print HG6024.3 .H85 2007
(Browse shelf)
001228851
Available 001228851
Total holds: 0

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

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