Financial Risk Management 2nd Edition by Steve L Allen

Financial Risk Management 2nd Edition by Steve Allen

Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk by Steve Allen

Contents of Financial Risk Management

  • Chapter 1: Introduction
  • LESSONS FROM A CRISIS
  • FINANCIAL RISK AND ACTUARIAL RISK
  • SIMULATION AND SUBJECTIVE JUDGMENT
  • Chapter 2: Institutional Background
  • MORAL HAZARD—INSIDERS AND OUTSIDERS
  • PONZI SCHEMES
  • ADVERSE SELECTION
  • THE WINNER’S CURSE
  • MARKET MAKING VERSUS POSITION TAKING
  • Chapter 3: Operational Risk
  • OPERATIONS RISK
  • LEGAL RISK
  • REPUTATIONAL RISK
  • ACCOUNTING RISK
  • FUNDING LIQUIDITY RISK
  • ENTERPRISE RISK
  • IDENTIFICATION OF RISKS
  • OPERATIONAL RISK CAPITAL
  • Chapter 4: Financial Disasters
  • DISASTERS DUE TO MISLEADING REPORTING
  • DISASTERS DUE TO LARGE MARKET MOVES
  • DISASTERS DUE TO THE CONDUCT OF CUSTOMER
  • BUSINESS
  • Chapter 5: The Systemic Disaster
  • OVERVIEW
  • THE CRISIS IN CDOS OF SUBPRIME MORTGAGES
  • THE SPREAD OF THE CRISIS
  • LESSONS FROM THE CRISIS FOR RISK MANAGERS
  • LESSONS FROM THE CRISIS FOR REGULATORS
  • BROADER LESSONS FROM THE CRISIS
  • Chapter 6: Managing Financial Risk
  • RISK MEASUREMENT
  • RISK CONTROL
  • Chapter 7: VaR and Stress Testing
  • VAR METHODOLOGY
  • STRESS TESTING
  • USES OF OVERALL MEASURES OF FIRM POSITION
  • RISK
  • Chapter 8: Model Risk
  • HOW IMPORTANT IS MODEL RISK?
  • MODEL RISK EVALUATION AND CONTROL
  • LIQUID INSTRUMENTS
  • ILLIQUID INSTRUMENTS
  • TRADING MODELS
  • Chapter 9: Managing Spot Risk
  • OVERVIEW
  • FOREIGN EXCHANGE SPOT RISK
  • EQUITY SPOT RISK
  • PHYSICAL COMMODITIES SPOT RISK
  • Chapter 10: Managing Forward Risk
  • INSTRUMENTS
  • MATHEMATICAL MODELS OF FORWARD RISKS
  • FACTORS IMPACTING BORROWING COSTS
  • RISK MANAGEMENT REPORTING AND LIMITS FOR
  • FORWARD RISK
  • Chapter 11: Managing Vanilla Options Risk
  • OVERVIEW OF OPTIONS RISK MANAGEMENT
  • THE PATH DEPENDENCE OF DYNAMIC HEDGING
  • A SIMULATION OF DYNAMIC HEDGING
  • RISK REPORTING AND LIMITS
  • DELTA HEDGING
  • BUILDING A VOLATILITY SURFACE
  • SUMMARY
  • Chapter 12: Managing Exotic Options Risk
  • SINGLE-PAYOUT OPTIONS
  • TIME-DEPENDENT OPTIONS
  • PATH-DEPENDENT OPTIONS
  • CORRELATION-DEPENDENT OPTIONS
  • CORRELATION-DEPENDENT INTEREST RATE
  • OPTIONS
  • Chapter 13: Credit Risk
  • SHORT-TERM EXPOSURE TO CHANGES IN MARKET
  • PRICES
  • MODELING SINGLE-NAME CREDIT RISK
  • PORTFOLIO CREDIT RISK
  • RISK MANAGEMENT OF MULTINAME CREDIT
  • DERIVATIVES
  • Chapter 14: Counterparty Credit Risk
  • OVERVIEW
  • EXCHANGE-TRADED DERIVATIVES
  • OVER-THE-COUNTER DERIVATIVES

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