INSEAD Library

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