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
