Risk management and financial institutions:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston, Mass. ; Munich [u.a.]
Pearson
2010
|
| Ausgabe: | 2. ed., internat. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | CD-ROM-Beil. u.d.T.: DerivaGem Version 1.53 |
| Beschreibung: | XVII, 556 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| Format: | Systemvoraussetzungen der CD-ROM-Beil.: Windows 2000 (SP4), XP, (SP1, SP2) or Vista |
| ISBN: | 9780138006174 0138006172 9780136123552 0136123554 |
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Datensatz im Suchindex
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| adam_text |
CONTENTS BUSINESS SNAPSHOTS * XIII PREFACE XV CHAPTER 1. INTRODUCTION 1
1.1 RISK VS. RETURN FOR INVESTORS 2 1.2 THE EFFICIENT FRONTIER 5 1.3 THE
CAPITAL ASSET PRICING MODEL 7 1.4 ARBITRAGE PRICING THEORY 12 1.5 RISK
VS RETURN FOR COMPANIES 12 1.6 RISK MANAGEMENT BY FINANCIAL INSTITUTIONS
14 SUMMARY 16 FURTHER READING 17 PRACTICE QUESTIONS AND PROBLEMS 17
FURTHER QUESTIONS 18 CHAPTER 2. BANKS 19 2.1 COMMERCIAL BANKING 20 2.2
THE CAPITAL REQUIREMENTS OF A SMALL COMMERCIAL BANK 22 2.3 DEPOSIT
INSURANCE 24 2.4 INVESTMENT BANKING 25 2.5 SECURITIES TRADING 29 2.6
POTENTIAL CONFLICTS OF INTEREST IN BANKING 30 2.7 TODAY'S LARGE BANKS 31
2.8 THE RISKS FACING BANKS 34 SUMMARY 35 FURTHER READING 36 PRACTICE
QUESTIONS AND PROBLEMS 36 FURTHER QUESTIONS 37 CHAPTER 3. INSURANCE
COMPANIES AND PENSION PLANS 39 3.1 LIFE INSURANCE 39 3.2 ANNUITY
CONTRACTS 43 3.3 MORTALITY TABLES * 45 3.4 LONGEVITY AND MORTALITY RISK
47 3.5 PROPERTY-CASUALTY INSURANCE 48 3.6 HEALTH INSURANCE 50 3.7 MORAL
HAZARD AND ADVERSE SELECTION 52 3.8 REINSURANCE 53 3.9 CAPITAL
REQUIREMENTS 53 3.10 THE RISKS FACING INSURANCE COMPANIES 54 3.11
REGULATION 55 3.12 PENSION PLANS 56 SUMMARY 59 * * VN VIII CONTENTS
FURTHER READING 60 PRACTICE QUESTIONS, AND PROBLEMS 60 FURTHER QUESTIONS
61 CHAPTER 4. MUTUAL FUNDS AND HEDGE FUNDS 63 4.1 MUTUAL FUNDS 63 4.2
HEDGE FUNDS 70 4.3 HEDGE FUND STRATEGIES 74 4.4 HEDGE FUND RETURNS 78
SUMMARY 80 FURTHER READING 80 PRACTICE QUESTIONS AND PROBLEMS 81 FURTHER
QUESTIONS 81 CHAPTER 5. FINANCIAL INSTRUMENTS 83 5.1 THE MARKETS 83 5.2
LONG AND SHORT POSITIONS IN ASSETS 84 5.3 DERIVATIVES MARKETS 86 5.4
PLAIN VANILLA DERIVATIVES 87 5.5 MARGINS 97 5.6 NONTRADITIONAL
DERIVATIVES 101 5.7 EXOTIC OPTIONS AND STRUCTURED PRODUCTS 104 5.8 RISK
MANAGEMENT CHALLENGES 105 SUMMARY 106 FURTHER READING 107 PRACTICE
QUESTIONS AND PROBLEMS 108 FURTHER QUESTIONS 110 CHAPTER 6. HOW TRADERS
MANAGE THEIR EXPOSURES 113 6.1 DELTA 113 6.2 GAMMA 120 6.3 VEGA 122 6.4
THETA 124 6.5 RHO 124 6.6 CALCULATING GREEK LETTERS 125 6.7 TAYLOR
SERIES EXPANSIONS 126 6.8 THE REALITIES OF HEDGING 128 6.9 HEDGING
EXOTIC OPTIONS 129 6.10 SCENARIO ANALYSIS 130 SUMMARY 131 FURTHER
READING 131 PRACTICE QUESTIONS AND PROBLEMS 131 FURTHER QUESTIONS 133
CHAPTER 7. INTEREST RATE RISK 135 7.1 THE MANAGEMENT OF NET INTEREST
INCOME 135 7.2 LIBOR AND SWAP RATES 138 7.3 DURATION 139 7.4 CONVEXITY
142 7.5 GENERALIZATION 144 7.6 NONPARALLEL YIELD CURVE SHIFTS 146 7.7
INTEREST RATE DELTAS IN PRACTICE 148 7.8 PRINCIPAL COMPONENTS ANALYSIS
150 7.9 GAMMA AND VEGA; 153 SUMMARY 154 CONTENTS IX FURTHER READING 154
PRACTICE QUESTIONS AND PROBLEMS 155 FURTHER QUESTIONS 155 CHAPTER 8.
VALUE AT RISK ; 157 8.1 DEFINITION OF VAR 157 8.2 EXAMPLES OF THE
CALCULATION OF VAR 158 8.3 VAR VS EXPECTED SHORTFALL 160 8.4 VAR AND
CAPITAL 162 8.5 COHERENT RISK MEASURES 163 8.6 CHOICE OF PARAMETERS FOR
VAR , 165 8.7 MARGINAL VAR, INCREMENTAL VAR, AND COMPONENT VAR 168 8.8
BACK-TESTING , 169 SUMMARY 172 FURTHER READING 172 PRACTICE QUESTIONS
AND PROBLEMS 173 FURTHER QUESTIONS 174 CHAPTER 9. VOLATILITY 175 9.1
DEFINITION OF VOLATILITY 175 9.2 IMPLIED VOLATILITIES 177 9.3 ESTIMATING
VOLATILITY FROM HISTORICAL DATA 179 9.4 ARE DAILY PERCENTAGE CHANGES IN
FINANCIAL VARIABLES NORMAL? 180 9.5 MONITORING DAILY VOLATILITY 184 9.6
THE EXPONENTIALLY WEIGHTED MOVING AVERAGE MODEL 186 9.7 THE GARCH(1,1)
MODEL 188 9.8 CHOOSING BETWEEN THE MODELS 189 9.9 MAXIMUM-LIKELIHOOD
METHODS 190 9.10 USING GARCH(1,1) TO FORECAST FUTURE VOLATILITY 194
SUMMARY 197 FURTHER READING 198 PRACTICE QUESTIONS AND PROBLEMS 199
FURTHER QUESTIONS 200 CHAPTER 10. CORRELATIONS AND COPULAS 203 10.1
DEFINITION OF CORRELATION 203 10.2 MONITORING CORRELATION 205 10.3
MULTIVARIATE NORMAL DISTRIBUTIONS 208 10.4 COPULAS 210 10.5 APPLICATION
TO LOAN PORTFOLIOS 216 SUMMARY 218 FURTHER READING 218 PRACTICE
QUESTIONS AND PROBLEMS 219 FURTHER QUESTIONS 220 CHAPTER 11. REGULATION,
BASEL II, AND SOLVENCY II 221 11.1 REASONS FOR REGULATING BANKS 221 11.2
BANK REGULATION PRE-1988 222 11.3 THE 1988 BASEL ACCORD 223 11.4 THE
G-30 POLICY RECOMMENDATIONS 226 11.5 NETTING 227 11.6 THE 1996 AMENDMENT
229 11.7 BASEL II 231 11.8 CREDIT RISK CAPITAL UNDER BASEL II 232 11.9
OPERATIONAL RISK CAPITAL UNDER BASEL II 240 X CONTENTS 11.10 PILLAR 2:
SUPERVISORY REVIEW 240 11.11 PILLAR 3: MARKET DISCIPLINE 241 11.12
REVISIONS TO BASEL II 241 11.13 SOLVENCY II 243 SUMMARY 244 FURTHER
READING 245 PRACTICE QUESTIONS AND PROBLEMS 245 FURTHER QUESTIONS 247
CHAPTER 12. MARKET RISK VAR: HISTORICAL SIMULATION APPROACH 249 12.1 THE
METHODOLOGY 249 12.2 ACCURACY 254 12.3 EXTENSIONS 255 12.4 EXTREME VALUE
THEORY 259 12.5 APPLICATIONS 261 SUMMARY 263 FURTHER READING 264
PRACTICE QUESTIONS AND PROBLEMS 264 FURTHER QUESTIONS 265 CHAPTER 13.
MARKET RISK VAR: MODEL-BUILDING APPROACH 267 13.1 THE BASIC METHODOLOGY
267 13.2 GENERALIZATION 269 13.3 CORRELATION AND COVARIANCE MATRICES 270
13.4 HANDLING INTEREST RATES 274 13.5 APPLICATIONS OF THE LINEAR MODEL
277 13.6 LINEAR MODEL AND OPTIONS 277 13.7 QUADRATIC MODEL 280 13.8
MONTE CARLO SIMULATION 282 13.9 NONNORMAL DISTRIBUTIONS 283 13.10 MODEL
BUILDING VS HISTORICAL SIMULATION 284 SUMMARY 285 FURTHER READING 285
PRACTICE QUESTIONS AND PROBLEMS ; 285 FURTHER QUESTIONS 287 CHAPTER 14.
CREDIT RISK: ESTIMATING DEFAULT PROBABILITIES 289 14.1 CREDIT RATINGS
289 14.2 HISTORICAL DEFAULT PROBABILITIES 291 14.3 RECOVERY RATES 293
14.4 CREDIT DEFAULT SWAPS 294 14.5 CREDIT SPREADS 298 14.6 ESTIMATING
DEFAULT PROBABILITIES FROM CREDIT SPREADS 301 14.7 COMPARISON OF DEFAULT
PROBABILITY ESTIMATES 303 14.8 USING EQUITY PRICES TO ESTIMATE DEFAULT
PROBABILITIES 307 SUMMARY 309 FURTHER READING 310 PRACTICE QUESTIONS AND
PROBLEMS 310 FURTHER QUESTIONS 312 CHAPTER 15. CREDIT RISK LOSSES AND
CREDIT VAR 313 15.1 ESTIMATING CREDIT LOSSES *. 313 15.2 CREDIT RISK
MITIGATION 319 15.3 CREDIT VAR 321 15.4 VASICEK'S MODEL AND MERTON'S
MODEL 323 CONTENTS XI 15.5 CREDIT RISK PLUS 324 15.6 CREDITMETRICS 325
SUMMARY 329 FURTHER READING . 329 PRACTICE QUESTIONS AND PROBLEMS
330 FURTHER QUESTIONS 331 CHAPTER 16. ABSS, CDOS, AND THE CREDIT CRUNCH
OF 2007 333 16.1 THE US HOUSING MARKET 333 16.2 SECURITIZATION 336 16.3
VALUATION MISTAKES 341 16.4 AVOIDING FUTURE CRISES 342 16.5 SYNTHETIC
CDOS 346 SUMMARY 348 FURTHER READING , 349 PRACTICE QUESTIONS AND
PROBLEMS 350 FURTHER QUESTIONS 350 CHAPTER 17. SCENARIO ANALYSIS AND
STRESS TESTING 353 17.1 GENERATING THE SCENARIOS 353 17.2 REGULATION 358
17.3 WHAT TO DO WITH THE RESULTS 361 SUMMARY 364 FURTHER READING 364
PRACTICE QUESTIONS AND PROBLEMS 365 FURTHER QUESTIONS 365 CHAPTER 18.
OPERATIONAL RISK 367 18.1 WHAT IS OPERATIONAL RISK? 368 18.2
DETERMINATION OF REGULATORY CAPITAL 369 18.3 CATEGORIZATION OF
OPERATIONAL RISKS 371 18.4 LOSS SEVERITY AND LOSS FREQUENCY 371 18.5
PROACTIVE APPROACHES 375 18.6 ALLOCATION OF OPERATIONAL RISK CAPITAL 377
18.7 USE OF THE POWER LAW 378 18.8 INSURANCE 378 18.9 SARBANES-OXLEY 379
SUMMARY 380 FURTHER READING 381 PRACTICE QUESTIONS AND PROBLEMS 381
FURTHER QUESTIONS 382 CHAPTER 19. LIQUIDITY RISK 385 19.1 LIQUIDITY
TRADING RISK 385 19.2 LIQUIDITY FUNDING RISK 391 19.3 LIQUIDITY BLACK
HOLES 398 SUMMARY 403 FURTHER READING 404 PRACTICE QUESTIONS AND
PROBLEMS 405 FURTHER QUESTIONS 405 CHAPTER 20. MODEL RISK 407 20.1
MARKING TO MARKET 407 20.2 MODELS FOR LINEAR PRODUCTS 409 20.3 PHYSICS
VS. FINANCE 410 20.4 HOW MODELS ARE USED FOR PRICING STANDARD PRODUCTS
411 XII CONTENTS 20.5 HEDGING 418 20.6 MODELS FOR NONSTANDARD PRODUCTS I
418 20.7 DANGERS IN MODEL BUILDING 419 20.8 DETECTING MODEL PROBLEMS 420
SUMMARY 421 FURTHER READING 421 PRACTICE QUESTIONS AND PROBLEMS 422
FURTHER QUESTIONS 422 CHAPTER 21. ECONOMIC CAPITAL AND RAROC 425 21.1
DEFINITION OF ECONOMIC CAPITAL 425 21.2 COMPONENTS OF ECONOMIC CAPITAL
427 21.3 SHAPES OF THE LOSS DISTRIBUTIONS 429 21.4 RELATIVE IMPORTANCE
OF RISKS 430 21.5 AGGREGATING ECONOMIC CAPITAL 432 21.6 ALLOCATION OF
ECONOMIC CAPITAL 435 21.7 DEUTSCHE BANK'S ECONOMIC CAPITAL 436 21.8
RAROC 436 SUMMARY 438 FURTHER READING 439 PRACTICE QUESTIONS AND
PROBLEMS 439 FURTHER QUESTIONS 440 CHAPTER 22. RISK MANAGEMENT MISTAKES
TO AVOID 441 22.1 RISK LIMITS 441 22.2 MANAGING THE TRADING ROOM 444
23.3 LIQUIDITY RISK 446 22.4 LESSONS FOR NONFINANCIAL CORPORATIONS 448
SUMMARY 450 FURTHER READING 450 APPENDIX A: COMPOUNDING FREQUENCIES AND
INTEREST RATES 451 APPENDIX B: ZERO RATES, FORWARD RATES, AND
ZERO-COUPON YIELD CURVES 455 APPENDIX C: VALUING FORWARD AND FUTURES
CONTRACTS 459 APPENDIX D: VALUING SWAPS 461 APPENDIX E: VALUING EUROPEAN
OPTIONS 463 APPENDIX F: VALUING AMERICAN OPTIONS 465 APPENDIX G: TAYLOR
SERIES EXPANSIONS 469 APPENDIX H: EIGENVECTORS AND EIGENVALUES 473
APPENDIX I: PRINCIPAL COMPONENTS ANALYSIS 475 APPENDIX J: MANIPULATION
OF CREDIT TRANSITION MATRICES 477 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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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.10681 332.1068/1 |
| dewey-sort | 3332.10681 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed., internat. ed. |
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| id | DE-604.BV035595388 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T05:43:35Z |
| institution | BVB |
| isbn | 9780138006174 0138006172 9780136123552 0136123554 |
| language | English |
| lccn | 2009015069 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017650538 |
| oclc_num | 698960054 |
| open_access_boolean | |
| owner | DE-521 DE-945 DE-634 DE-703 DE-20 DE-N2 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-384 DE-19 DE-BY-UBM DE-188 DE-Aug4 DE-706 DE-858 DE-1049 DE-M347 DE-355 DE-BY-UBR |
| owner_facet | DE-521 DE-945 DE-634 DE-703 DE-20 DE-N2 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-384 DE-19 DE-BY-UBM DE-188 DE-Aug4 DE-706 DE-858 DE-1049 DE-M347 DE-355 DE-BY-UBR |
| physical | XVII, 556 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Pearson |
| record_format | marc |
| spelling | Hull, John 1946- Verfasser (DE-588)109733290 aut Risk management and financial institutions John C. Hull DerivaGem Version 1.53 2. ed., internat. ed. Boston, Mass. ; Munich [u.a.] Pearson 2010 XVII, 556 S. Ill., graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier CD-ROM-Beil. u.d.T.: DerivaGem Version 1.53 Systemvoraussetzungen der CD-ROM-Beil.: Windows 2000 (SP4), XP, (SP1, SP2) or Vista Bankrisiko stw Finanzsektor stw Kreditrisiko stw Risikomanagement stw Wechselkursrisiko stw Zinsrisiko stw Risk management Financial institutions Management Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 s DE-604 Finanzdienstleistungsinstitut (DE-588)4535644-0 s Bank (DE-588)4004436-1 s 1\p DE-604 SWBplus Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017650538&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Hull, John 1946- Risk management and financial institutions Bankrisiko stw Finanzsektor stw Kreditrisiko stw Risikomanagement stw Wechselkursrisiko stw Zinsrisiko stw Risk management Financial institutions Management Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd Bank (DE-588)4004436-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4535644-0 (DE-588)4004436-1 (DE-588)4029578-3 (DE-588)4121590-4 |
| title | Risk management and financial institutions |
| title_alt | DerivaGem Version 1.53 |
| title_auth | Risk management and financial institutions |
| title_exact_search | Risk management and financial institutions |
| title_full | Risk management and financial institutions John C. Hull |
| title_fullStr | Risk management and financial institutions John C. Hull |
| title_full_unstemmed | Risk management and financial institutions John C. Hull |
| title_short | Risk management and financial institutions |
| title_sort | risk management and financial institutions |
| topic | Bankrisiko stw Finanzsektor stw Kreditrisiko stw Risikomanagement stw Wechselkursrisiko stw Zinsrisiko stw Risk management Financial institutions Management Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd Bank (DE-588)4004436-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Bankrisiko Finanzsektor Kreditrisiko Risikomanagement Wechselkursrisiko Zinsrisiko Risk management Financial institutions Management Finanzdienstleistungsinstitut Bank Kapitalmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017650538&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hulljohn riskmanagementandfinancialinstitutions AT hulljohn derivagemversion153 |