Holdings: Risk management and financial institutions

Risk management and financial institutions:

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Bibliographic Details
Main Author:	Hull, John 1946- (Author)
Format:	Book
Language:	English
Published:	Boston, Mass. ; Munich [u.a.] Pearson 2012
Edition:	3. ed., internat. ed.
Subjects:	Bankrisiko Finanzsektor Kreditrisiko Risikomanagement Wechselkursrisiko Zinsrisiko Risk management Financial institutions > Management Kapitalmarkt Bank Finanzdienstleistungsinstitut
Online Access:	Inhaltsverzeichnis
Item Description:	CD-ROM-Beil. u.d.T.: DerivaGem Version 1.53
Physical Description:	672 S. Ill., graph. Darst. 1 CD-ROM (12 cm)
Format:	Systemvoraussetzungen der CD-ROM-Beil.: Windows 2000 (SP4), XP, (SP1, SP2) or Vista
ISBN:	1118269039 9781118269039 9781118286388

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Record in the Search Index

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adam_text	contents Business Snapshots xvii Preface xix ШРТБП 1 1.1 Risk vs. Return for Investors 2 1.2 The Efficient Frontier 5 1.3 The Capital Asset Pricing Model 8 1.4 Arbitrage Pricing Theory 13 1.5 Risk vs. Return for Companies 13 1.6 Risk Management by Financial Institutions 16 1.7 Credit Ratings 18 Summary 18 Further Reading 19 Practice Questions and Problems 19 Further Questions 20 CHAPTHIZ Banks 21 2.1 Commercial Banking 22 2.2 The Capital Requirements of a Small Commercial Bank 24 2.3 Deposit Insurance 26 2.4 Investment Banking 27 2.5 Securities Trading 32 2.6 Potential Conflicts of Interest in Banking 33 2.7 Today s Large Banks 34 2.8 The Risks Facing Banks 37 Summary 38 Further Reading 38 Practice Questions and Problems 38 Further Questions 39 CHAPTfflS man art Panstan Plans 41 3.1 Life Insurance 41 3.2 Annuity Contracts 45 3.3 Mortality Tables 46 3.4 Longevity and Mortality Risk 50 3.5 Property-Casualty Insurance 51 ______________________________ CONTENTS 3.6 Health Insurance 53 3.7 Moral Hazard and Adverse Selection 55 3.8 Reinsurance 56 3.9 Capital Requirements 56 3.10 The Risks Facing Insurance Companies 58 3.11 Regulation 58 3.12 Pension Plans 59 Summary 62 Further Reading 64 Practice Questions and Problems 64 Further Questions 65 87 67 74 79 83 84 85 85 86 89 90 92 93 103 104 107 111 114 115 115 116 118 121 121 124 131 131 133 134 135 CHAPTER 4 Mutual Funds and Hedge Funds 4.1 Mutual Funds 4.2 Hedge Funds 4.3 Hedge Fund Strategies 4.4 Hedge Fund Performance Summary Further Reading Practice Questions and Problems Further Questions CHAPTERS Trading m financial Markets 5.1 The Markets 5.2 Long and Short Positions in Assets 5.3 Derivatives Markets 5.4 Plain Vanilla Derivatives 5.5 Clearing Houses 5.6 Margin 5.7 Non-Traditional Derivatives 5.8 Exotic Options and Structured Products 5.9 Risk Management Challenges Summary Further Reading Practice Questions and Problems Further Questions CHAPTERS The Сте« Crisis Of 2007 6.1 The U.S. Housing Market 6.2 Securitization 6.3 The Crisis 6.4 What Went Wrong? 6.5 Lessons from the Crisis Summary Further Reading Contents ЇХ Practice Questions and Problems 136 Further Questions 136 CHAPTffiľ How Traders Manage Their Risks 137 7.1 Delta 137 7.2 Gamma 144 7.3 Vega 146 7.4 Theta 148 7.5 Rho 149 7.6 Calculating Greek Letters 150 7.7 Taylor Series Expansions 151 7.8 The Realities of Hedging 152 7.9 Hedging Exotic Options 153 7.10 Scenario Analysis 154 Summary 156 Further Reading 156 Practice Questions and Problems 156 Further Questions 157 CHAPTERS Interest Rate msk 158 8.1 The Management of Net Interest Income 159 8.2 LIBOR and Swap Rates 162 8.3 Duration 164 8.4 Convexity 168 8.5 Generalization 169 8.6 Nonparallel Yield Curve Shifts 172 8.7 Interest Rate Deltas in Practice 174 8.8 Principal Components Analysis 176 8.9 Gamma and Vega 179 Summary 179 Further Reading 180 Practice Questions and Problems 181 Further Questions 181 CHAPTBtS Value at Risk 183 9.1 Definition of VaR 183 9.2 Examples of the Calculation of VaR 185 9.3 VaR vs. Expected Shortfall 186 9.4 VaR and Capital 188 9.5 Coherent Risk Measures 190 9.6 Choice of Parameters for VaR 191 9.7 Marginal VaR, Incremental VaR, and Component VaR 195 9.8 Euler s Theorem 196 9.9 Aggregating VaRs 197 9.10 Back-Testing 197 χ ____________________________________________________________CONTENTS Summary 200 Further Reading 201 Practice Questions and Problems 201 Further Questions 202 CHAPTHMO Volanty 206 10.1 Definition of Volatility 205 10.2 Implied Volatilities 208 10.3 Are Daily Percentage Changes in Financial Variables Normal? 209 10.4 The Power Law 211 10.5 Monitoring Daily Volatility 213 10.6 The Exponentially Weighted Moving Average Model 216 10.7 The GARCHi 1,1) Model 218 10.8 Choosing Between the Models 220 10.9 Maximum Likelihood Methods 220 10.10 Using GARCH(1,1) to Forecast Future Volatility 225 Summary 229 Further Reading 229 Practice Questions and Problems 230 Further Questions 231 aunan 238 11.1 Definition of Correlation 233 11.2 Monitoring Correlation 235 11.3 Multivariate Normal Distributions 238 11.4 Copulas 240 11.5 Application to Loan Portfolios: Vasicek s Model 246 Summary 252 Further Reading 253 Practice Questions and Problems 253 Further Questions 254 ШРТНИ2 Basel I, Basel I, and Solvency I 257 12.1 The Reasons for Regulating Banks 257 12.2 Bank Regulation Pre-1988 258 12.3 The 1988 BIS Accord 259 12.4 The G-30 Policy Recommendations 262 12.5 Netting 263 12.6 The 1996 Amendment 265 12.7 Basel II 268 12.8 Credit Risk Capital Under Basel II 269 12.9 Operational Risk Capital Under Basel II 277 12.10 Pillar 2: Supervisory Review 278 12.11 Pillar 3: Market Discipline 278 Contents___________________________________________________________________________Xl 12.12 Solvency II 279 Summary 280 Further Reading 281 Practice Questions and Problems 281 Further Questions 283 СНАРТБИЗ Basel 2.5, Baseli, and Dodd-Frank 285 13.1 Basel 2.5 285 13.2 Basel HI 289 13.3 Contingent Convertible Bonds 295 13.4 Dodd-Frank Act 296 13.5 Legislation in Other Countries 298 Summary 299 Further Reading 300 Practice Questions and Problems 300 Further Questions 301 CHAPTERS Market HskVaR: The Htotorical Simulation Дррроасћ 803 14.1 The Methodology 303 14.2 Accuracy 308 14.3 Extensions 309 14.4 Computational Issues 313 14.5 Extreme Value Theory 314 14.6 Applications of EVT 317 Summary 319 Further Reading 320 Practice Questions and Problems 320 Further Questions 321 CHAPTER 15 MartœtRWVafcmModehBuldtagAiiproadi 828 15.1 The Basic Methodology 323 15.2 Generalization 326 15.3 Correlation and Covariance Matrices 327 15.4 Handling Interest Rates 330 15.5 Applications of the Linear Model 334 15.6 Linear Model and Options 335 15.7 Quadratic Model 338 15.8 Monte Carlo Simulation 340 15.9 Non-Normal Assumptions 341 15.10 Model-Building vs. Historical Simulation 342 Summary 343 Further Reading 343 Practice Questions and Problems 343 Further Questions 345 xl CONTENTS СНАРТНИВ Credtt Msk: Estimatìng Default Probabilities 847 16.1 Credit Ratings 347 16.2 Historical Default Probabilities 349 16.3 Recovery Rates 351 16.4 Credit Default Swaps 352 16.5 Credit Spreads 357 16.6 Estimating Default Probabilities from Credit Spreads 360 16.7 Comparison of Default Probability Estimates 362 16.8 Using Equity Prices to Estimate Default Probabilities 367 Summary 370 Further Reading 371 Practice Questions and Problems 371 Further Questions 373 CHAPTERU Counterparty Credit Risk hi Derivatives 875 17.1 Credit Exposure on Derivatives 375 17.2 Bilateral Clearing 376 17.3 Central Clearing 380 17.4 CVA 382 17.5 The Impact of a New Transaction 385 17.6 CVA Risk 387 17.7 Wrong Way Risk 388 17.8 DVA 389 17.9 Some Simple Examples 389 Summary 394 Further Reading 395 Practice Questions and Problems 395 Further Questions 396 СНАРТБПб Cradtt Value at Risk 899 18.1 Ratings Transition Matrices 400 18.2 Vasicek s Model 402 18.3 Credit Risk Plus 403 18.4 CreditMetrics 405 18.5 Credit VaR in the Trading Book 406 Summary 410 Further Reading 410 Practice Questions and Problems 411 Further Questions 411 СНАРТБПЭ Scenario Analysis and Stress Testine 418 19.1 Generating the Scenarios 413 19 7 Remilat -іґчп 419 Contents Ш 19.3 What to Do with the Results 423 Summary 426 Further Reading 426 Practice Questions and Problems 427 Further Questions 428 сндртвіго Operaţional Risk 428 20.1 What is Operational Risk? 430 20.2 Determination of Regulatory Capital 431 20.3 Categorization of Operational Risks 433 20.4 Loss Severity and Loss Frequency 434 20.5 Implementation of AMA 435 20.6 Proactive Approaches 439 20.7 Allocation of Operational Risk Capital 440 20.8 Use of Power Law 441 20.9 Insurance 442 20.10 Sarbanes-Oxley 443 Summary 444 Further Reading 445 Practice Questions and Problems 445 Further Questions 446 СНЛРТНШ UquUtyMsk 447 21.1 Liquidity Trading Risk 447 21.2 Liquidity Funding Risk 454 21.3 Liquidity Black Holes 462 Summary 468 Further Reading 469 Practice Questions and Problems 470 Further Questions 470 СНДРТШ22 Medali ask 478 22.1 Marking to Market 473 22.2 Models for Linear Products 475 22.3 Physics vs. Finance 476 22.4 How Models are Used for Pricing Standard Products 478 22.5 Hedging 484 22.6 Models for Nonstandard Products 485 22.7 Dangers in Model Building 486 22.8 Detecting Model Problems 487 Summary 488 Further Reading 488 Practice Questions and Problems 489 Further Questions 489 Ktv _____________________________________________________________________________ CONTENTS СНАРТЊ23 Economic Capitai and RAROC 481 23.1 Definition of Economic Capital 491 23.2 Components of Economic Capital 493 23.3 Shapes of the Loss Distributions 495 23.4 Relative Importance of Risks 497 23.5 Aggregating Economic Capital 498 23.6 Allocation of Economic Capital -501 23.7 Deutsche Bank s Economic Capital -503 23.8 RAROC 503 Summary -505 Further Reading 506 Practice Questions and Problems 506 Further Questions 507 СНАРТШ24 Msk Management Mstakes to Avoid 508 24.1 Risk Limits 509 24.2 Managing the Trading Room 512 24.3 Liquidity Risk 514 24.4 Lessons for Nonfinancial Corporations 517 24.5 A Final Point 518 Further Reading 519 A Compoondno Frequencies 1er Merest Rates 521 Zero Rates, Forward Rates, and Zero-Coupon Yield Curves 525 С Eons Forward and Futures Contracts 528 AppendbD VaUng Swaps 581 [E Vak* 535 Apporte G II Bpnvoctors and BpjnvaJues 548 Contents ___________________________________________________________________________ XV AppenUxl Principal Componeiits Analysis 547 IVhmlpulatton of CredttTransraon Matrices 548 ЛррепйхК Valuation of Credi Default Swaps 661 AppendxL Synffietfc COOs and Тће* Valuation 555 Answers to Questions and Problems 558 Glossary 585 DerivaGem Software 815 Table for /VM when ir<0 821 Table for ñKx) when jr> 8 828 Index 825
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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 3. ed., internat. ed. Boston, Mass. ; Munich [u.a.] Pearson 2012 672 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 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Finanzdienstleistungsinstitut (DE-588)4535644-0 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 Erscheint auch als Online-Ausgabe 978-1-118-28291-5 Erscheint auch als Online-Ausgabe 978-1-118-28477-3 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024972910&sequence=000002&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 Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd Bank (DE-588)4004436-1 gnd Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd
subject_GND	(DE-588)4121590-4 (DE-588)4029578-3 (DE-588)4004436-1 (DE-588)4535644-0
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 Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd Bank (DE-588)4004436-1 gnd Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd
topic_facet	Bankrisiko Finanzsektor Kreditrisiko Risikomanagement Wechselkursrisiko Zinsrisiko Risk management Financial institutions Management Kapitalmarkt Bank Finanzdienstleistungsinstitut
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024972910&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT hulljohn riskmanagementandfinancialinstitutions AT hulljohn derivagemversion153

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