Wiley Finance : Financial Risk Management A Practitioner's Guide To Managing Market And Credit (2nd Edition) (Wiley Finance) Steve L. Allen An

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Financial Risk Management
Contents
Foreword
Preface
Acknowledgments
About the Author
CHAPTER 1 Introduction
- 1.1 Lessons from a Crisis
- 1.2 Financial Risk and Actuarial Risk
- 1.3 Simulation and Subjective Judgment
CHAPTER 2 Institutional Background
- 2.1 Moral Hazard—Insiders and Outsiders
- 2.2 Ponzi Schemes
- 2.3 Adverse Selection
- 2.4 The Winner’s Curse
- 2.5 Market Making versus Position Taking
CHAPTER 3 Operational Risk
- 3.1 Operations Risk
- 3.2 Legal Risk
  - 3.2.1 The Risk of Unenforceable Contracts
  - 3.2.2 The Risk of Illegal Actions
- 3.3 Reputational Risk
- 3.4 Accounting Risk
- 3.5 Funding Liquidity Risk
- 3.6 Enterprise Risk
- 3.7 Identification of Risks
- 3.8 Operational Risk Capital
CHAPTER 4 Financial Disasters
- 4.1 Disasters Due to Misleading Reporting
- 4.2 Disasters Due to Large Market Moves
  - 4.2.1 Long-Term Capital Management (LTCM)
  - 4.2.2 Metallgesellschaft (MG)
- 4.3 Disasters Due to the Conduct of Customer Business
CHAPTER 5 The Systemic Disaster of 2007–2008
- 5.1 Overview
- 5.2 The Crisis in CDOs of Subprime Mortgages
- 5.3 The Spread of the Crisis
  - 5.3.1 Credit Contagion
  - 5.3.2 Market Contagion
- 5.4 Lessons from the Crisis for Risk Managers
- 5.5 Lessons from the Crisis for Regulators
- 5.6 Broader Lessons from the Crisis
CHAPTER 6 Managing Financial Risk
- 6.1 Risk Measurement
- 6.2 Risk Control
CHAPTER 7 VaR and Stress Testing
- 7.1 VaR Methodology
  - 7.1.1 Simulation of the P&L Distribution
  - 7.1.2 Measures of the P&L Distribution
- 7.2 Stress Testing
- 7.3 Uses of Overall Measures of Firm Position Risk
CHAPTER 8 Model Risk
- 8.1 How Important Is Model Risk?
- 8.2 Model Risk Evaluation and Control
- 8.3 Liquid Instruments
- 8.4 Illiquid Instruments
- 8.5 Trading Models
CHAPTER 9 Managing Spot Risk
- 9.1 Overview
- 9.2 Foreign Exchange Spot Risk
- 9.3 Equity Spot Risk
- 9.4 Physical Commodities Spot Risk
CHAPTER 10 Managing Forward Risk
- 10.1 Instruments
- 10.2 Mathematical Models of Forward Risks
- 10.3 Factors Impacting Borrowing Costs
- 10.4 Risk Management Reporting and Limits for Forward Risk
CHAPTER 11 Managing Vanilla Options Risk
- 11.1 Overview of Options Risk Management
- 11.2 The Path Dependence of Dynamic Hedging
- 11.3 A Simulation of Dynamic Hedging
- 11.4 Risk Reporting and Limits
- 11.5 Delta Hedging
- 11.6 Building a Volatility Surface
- 11.7 Summary
CHAPTER 12 Managing Exotic Options Risk
- 12.1 Single-Payout Options
- 12.2 Time-Dependent Options
  - 12.2.1 Forward-Starting and Cliquet Options
  - 12.2.2 Compound Options
- 12.3 Path-Dependent Options
- 12.4 Correlation-Dependent Options
- 12.5 Correlation-Dependent Interest Rate Options
CHAPTER 13 Credit Risk
- 13.1 Short-Term Exposure to Changes in Market Prices
- 13.2 Modeling Single-Name Credit Risk
- 13.3 Portfolio Credit Risk
- 13.4 Risk Management of Multiname Credit Derivatives
CHAPTER 14 Counterparty Credit Risk
- 14.1 Overview
- 14.2 Exchange-Traded Derivatives
- 14.3 Over-the-Counter Derivatives
References
About the Companion Website
Index

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