Log In
Or create an account ->
Imperial Library
Home
About
News
Upload
Forum
Help
Login/SignUp
Index
Cover
Series Page
Title Page
Copyright
Dedication
Foreword
Preface
Acknowledgments
Part One: Managing Risk
Chapter 1: Risk Management versus Risk Measurement
1.1 Contrasting Risk Management and Risk Measurement
1.2 Redefinition and Refocus for Risk Management
1.3 Quantitative Measurement and a Consistent Framework
1.4 Systemic versus Idiosyncratic Risk
Chapter 2: Risk, Uncertainty, Probability, and Luck
2.1 What Is Risk?
2.2 Risk Measures
2.3 Randomness and the Illusion of Certainty
2.4 Probability and Statistics
2.5 The Curse of Overconfidence
2.6 Luck
Chapter 3: Managing Risk
3.1 Manage People
3.2 Manage Infrastructure—Process, Technology, Data
3.3 Understand the Business
3.4 Organizational Structure
3.5 Brief Overview of Regulatory Issues
3.6 Managing the Unanticipated
3.7 Conclusion
Chapter 4: Financial Risk Events
4.1 Systemic versus Idiosyncratic Risk
4.2 Idiosyncratic Financial Events
4.3 Systemic Financial Events
4.4 Conclusion
Chapter 5: Practical Risk Techniques
5.1 Value of Simple, Approximate Answers
5.2 Volatility and Value at Risk (VaR)
5.3 Extreme Events
5.4 Calculating Volatility and VaR
5.5 Summary for Volatility and VaR
5.6 Portfolio Tools
5.7 Conclusion
Chapter 6: Uses and Limitations of Quantitative Techniques
6.1 Risk Measurement Limitations
Part Two: Measuring Risk
Chapter 7: Introduction to Quantitative Risk Measurement
7.1 Project Implementation
7.2 Typology of Financial Institution Risks
7.3 Conclusion
Chapter 8: Risk and Summary Measures: Volatility and VaR
8.1 Risk and Summary Measures
8.2 Comments Regarding Quantitative Risk Measures
8.3 Methods for Estimating the P&L Distribution
8.4 Techniques and Tools for Tail Events
8.5 Estimating Risk Factor Distributions
8.6 Uncertainty and Randomness—the Illusion of Certainty
8.7 Conclusion
Appendix 8.1: Small-Sample Distribution of VaR and Standard Errors
Appendix 8.2: Second Derivatives and the Parametric Approach
Chapter 9: Using Volatility and VaR
9.1 Simple Portfolio
9.2 Calculating P&L Distribution
9.3 Summary Measures to Standardize and Aggregate
9.4 Tail Risk or Extreme Events
9.5 Conclusion
9.6 Appendix 9.1: Parametric Estimation Using Second Derivatives
Chapter 10: Portfolio Risk Analytics and Reporting
10.1 Volatility, Triangle Addition, and Risk Reduction
10.2 Contribution to Risk
10.3 Best Hedge
10.4 Replicating Portfolio
10.5 Principal Components and Risk Aggregation
10.6 Risk Reporting
10.7 Conclusion
Appendix 10.1: Various Formulae for Marginal Contribution and Volatilities
Appendix B: Stepwise Procedure for Replicating Portfolio
Appendix C: Principal Components Overview
Chapter 11: Credit Risk
11.1 Introduction
11.2 Credit Risk versus Market Risk
11.3 Stylized Credit Risk Model
11.4 Taxonomy of Credit Risk Models
11.5 Static Structural Models
11.6 Static Reduced Form Models—CreditRisk+
11.7 Static Models—Threshold and Mixture Frameworks
11.8 Actuarial versus Equivalent Martingale (Risk-Neutral) Pricing
11.9 Dynamic Reduced Form Models
11.10 Conclusion
Appendix 11.1: Probability Distributions
Chapter 12: Liquidity and Operational Risk
12.1 Liquidity Risk—Asset versus Funding Liquidity
12.2 Asset Liquidity Risk
12.3 Funding Liquidity Risk
12.4 Operational Risk
12.5 Conclusion
Chapter 13: Conclusion
About the Companion Web Site
References
About the Author
Index
← Prev
Back
Next →
← Prev
Back
Next →