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Risk management and financial institutions

Author: Hull, John C. Publisher: Pearson Prentice Hall, 2010.Edition: 2nd international ed.Language: EnglishDescription: 555 p. ; 24 cm. includes CD-ROM / DVDISBN: 9780138006174Type of document: BookNote: Doriot: for 2012-2013 coursesBibliography/Index: Includes bibliographical references and index and glossaryContents Note: CD available inside back cover
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Item type Current location Collection Call number Status Notes Date due Barcode Item holds
Book Asia Campus
Main Collection
Print HG6024.3 .H85 2010
(Browse shelf)
900215476
Available 900215476
Book Europe Campus
Textbook Collection
Print HG6024.3 .H85 2010
(Browse shelf)
001198682
Consultation only CD available inside back cover 001198682
Book Europe Campus
Textbook Collection
Print HG6024.3 .H85 2010
(Browse shelf)
001198690
Consultation only CD available inside back cover 001198690
Book (short loan) Europe Campus
Textbook Collection
Print HG6024.3 .H85 2010
(Browse shelf)
001198708
Available CD available inside back cover 001198708
Book Middle East Campus
Main Collection
Print HG6024.3 .H85 2010
(Browse shelf)
500000906
Available 500000906
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Doriot: for 2012-2013 courses

Includes bibliographical references and index and glossary

CD available inside back cover

Digitized

Risk Management and Financial Intitutions Contents in Brief Business Snapshots...........................................................................................................................xiii Preface................................................................................................................................................. xv 1. Introduction............................................................................................................................................ 1 2. Banks..................................................................................................................................................... 19 3. Insurance Companies and Pension Plans.........................................................................................39 4. Mutual Funds and Hedge Funds....................................................................................................... 63 5. Financial Instruments.......................................................................................................................... 83 6. How Traders Manage Their Exposures ....................................................................................... 113 7. Interest Rate Risk............................................................................................................................. 135 8. Value at Risk...................................................................................................................................... 157 9. Volatility............................................................................................................................................. 175 10. Correlation and Copulas................................................................................................................. 203 11. Regulation, Basel II, and Solvency II........................................................................................... 221 12. Market Risk VaR: Historical Simulation Approach....................................................................249 13. Market Risk VaR: Model-Building Approach............................................................................. 267 14. Credit Risk: Estimating Default Probabilities............................................................................ 289 15. Credit Risk Losses and Credit VaR............................................................................................. 313 16. ABSs, CDOs, and the Credit Crunch of 2007........................................................................... 333 17. Scenario Analysis and Stress Testing........................................................................................... 353 18. Operational Risk.............................................................................................................................. 367 19. Liquidity Risk................................................................................................................................... 385 20. Model Risk........................................................................................................................................ 407 21. Economic Capital and RAROC.................................................................................................... 425 22. Risk Management Mistakes to Avoid........................................................................................... 441 Appendices .................................................................................................................................... 451 Answers to Practice Questions and Problems.......................................................................... 479 Glossary of Terms........................................................................................................................ 511 DerivaGem Software .................................................................................................................. 533 Tables for Cumulative Normal Distribution............................................................................. 539 Index................................................................................................................................................ 543

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