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Risk Management and Financial Institutions: United States Edition

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en Limba Engleză Mixed media product – 09 Jun 2009
For undergraduate or graduate courses with titles such as “Risk Management” and “Financial Risk Management” and courses on Financial Institutions focusing on regulation and risk management.

Written by a respected author in the professional market, Risk Management and Financial Institutions, 2/e is the only text that explains risk management theory in a “this is how you do it” manner, encouraging practical application in today’s world.

Professors need a text that offers the latest information available, yet is written for application in a real work environment. Hull helps students gain knowledge that will stay with them beyond college.

Thoroughly updated, the Second Edition incorporates new information regarding Stress Testing, liquidity risks, ABSs, CDOs, and the credit crunch of 2007.

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Specificații

ISBN-13: 9780136102953
ISBN-10: 0136102956
Pagini: 576
Dimensiuni: 203 x 254 mm
Greutate: 1.21 kg
Ediția: 2 Nouă
Editura: Pearson Education
Colecția Prentice Hall
Locul publicării: Upper Saddle River, United States

Cuprins

Business Snapshots
Preface
1. Introduction
2. Banks
3. Insurance
4. Mutual Funds and Hedge Funds
5. Financial Instruments
6. How Traders Manage Their Exposures
7. Interest Rate Risk
8. Value at Risk
9. Volatility
10. Correlation and Copulas
11. Regulation, Basel II, and Solvency II
12. Market Risk VaR: Historical Simulation Approach
13. Market Risk VaR: Model-Building Approach
14. Credit Risk: Estimating Default Probabilities
15. Credit Risk Losses and Credit VaR
16. ABSs, CDOs, and the Credit Crunch of 2007
17. Scenario Analysis and Stress Testing
18. Operational Risk
19. Liquidity Risk
20. Model Risk
21. Economic Capital and RAROC
22. Risk Management Mistakes to avoid
Appendix A: Compounding Frequencies and Interest Rates
Appendix B: Zero Rtes, Forward Rates, and Zero-Coupon Yield Curves
Appendix C: Valuing Forward and Futures Contracts
Appendix D: Valuing Swaps
Appendix E: Valuing European Options
Appendix F: Valuing American Options
Appendix G: Taylor Series Expansions
Appendix H: Eigenvectors and Eigenvalues
Appendix I: Principal Components Analysis
Appendix J: Manipulation of Credit Transition Matrices
Answers to Questions and Problems
Glossary of Terms
DerivaGem Software
Tables For N(x)
Index


Caracteristici

For undergraduate or graduate courses with titles such as “Risk Management” and “Financial Risk Management” and courses on Financial Institutions focusing on regulation and risk management.

Written by a respected author in the professional market, Risk Management and Financial Institutions, 2/e is the only text that explains risk management theory in a “this is how you do it” manner, encouraging practical application in today’s world.

Professors need a text that offers the latest information available, yet is written for application in a real work environment. Hull helps students gain knowledge that will stay with them beyond college.

Thoroughly updated, the Second Edition incorporates new information regarding Stress Testing, liquidity risks, ABSs, CDOs, and the credit crunch of 2007.

NEW—Version 1.53 of the DerivaGem software included with the book
—Consists of two Excel applications: the Options Calculator and the Applications Builder.
—The Options Calculator consists of easy-to-use software for valuing a wide range of options.
—The Applications Builder consists of a number of Excel functions from which users can build their own applications.
—It includes a number of sample applications that enable students to explore risk management issues. It also allows other assignments to be designed.
—Updates to the software can be downloaded from the author’s website: www.rotman.utoronto.ca/~hull

End-of-Chapter Problems divided into two groups—“Questions and Problems” and “Assignment Questions”. Solutions to Questions and Problems are at the end of the book and Solutions to Assignment Questions are made available from Prentice Hall to adopting instructors in the Instructors Manual.

Mathematical rigor and presentation of material has been managed carefully so that the book is accessible to as wide an audience as possible. For example, when covering copulas in Chapter 10, the intuition is presented first and then followed by a detailed numerical example.

Appendices that summarize some of the key derivatives pricing formulas—Reflect formulas that are important to risk managers.

NEW—Several new chapters added—Reflect the changes in financial institutions and their risk management practices:
—Three new chapters provide background material on financial institutions: Chapter 2 on banks, Chapter 3 on insurance companies and pension plans, and Chapter 4 on mutual and hedge funds.
—A new Chapter 16 is titled “ABSs, CDOs, and the Credit Crunch of 2007.”
—A new Chapter 17 is titled “Scenario Analysis and Stress Testing”.
—Separate chapters on liquidity risk and model risk are provided.
—A sample portfolio with accompanying spreadsheets.

OTHER POINTS OF DISTINCTION

Highly acclaimed authorship—John C. Hull is the respected author of the influential book Options, Futures, and Other Derivatives which has become the standard trade reference. It is referenced in many places by the Bloomberg system; it has been cited in court rulings and has led to a more practical orientation in college courses.

Based on one of the most popular MBA courses at University of Toronto entitled “Financial Risk Management”—Focuses on the ways banks and other financial institutions measure market, credit and operational risk. 

An excellent description of the history of bank regulation and Basel II—Provides history of bank regulations and highlights reasons for its importance, gives students perspective on changing regulations, and keeps students’ knowledge current for application in the work environment.

Copulas explained in a relatively uncomplicated way that readers can understand—Brings the student to an understanding of how to quantify how two or more variables depend on each other in a way that is tangible and memorable.

Discussion of operational risk, model risk, liquidity risk, economic capital and RAROC.

Many real-world examples that illustrate key points—Brings the student’s focus from classroom application to thought about use in the industry.

No prerequisite in options and future markets needed—If students have taken  the course ahead of time, the first four chapters are not necessary.
—Other chapters are flexible in terms of content and what the instructor incorporates into the course.
—Chapter 18 is a beneficial course for the last class because it draws together many of the points in the earlier chapters.

An excellent overview of the credit derivatives market—Covers history and important elements very clearly and thoroughly.


Caracteristici noi

NEW—Version 1.53 of the DerivaGem software included with the book
—Consists of two Excel applications: the Options Calculator and the Applications Builder.
—The Options Calculator consists of easy-to-use software for valuing a wide range of options.
—The Applications Builder consists of a number of Excel functions from which users can build their own applications.
—It includes a number of sample applications that enable students to explore risk management issues. It also allows other assignments to be designed.
—Updates to the software can be downloaded from the author’s website: www.rotman.utoronto.ca/~hull

NEW—Several new chapters added
—Reflect the changes in financial institutions and their risk management practices:
—Three new chapters provide background material on financial institutions: Chapter 2 on banks, Chapter 3 on insurance companies and pension plans, and Chapter 4 on mutual and hedge funds.
—A new Chapter 16 is titled “ABSs, CDOs, and the Credit Crunch of 2007.”
—A new Chapter 17 is titled “Scenario Analysis and Stress Testing”.
—Separate chapters on liquidity risk and model risk are provided.
—A sample portfolio with accompanying spreadsheets.

  • There are three new chapters early in the book discussing the activities of different types of financial institutions. These chapters are entitled
    • “Commercial and Investment Banks,”
    • “Insurance Companies and Pension Funds,”  
    • “Mutual Funds and Hedge Funds”
 
  • New chapter on “ABSs, CDOs, and the Credit Crunch of 2007”
 
  • New chapter on scenario analysis and stress testing.
 
  • There are separate chapters on model risk and liquidity risk
 
  • Value at risk is now introduced before Basel II is discussed.
 
  • Credit default swaps are covered early in the material credit risk and explained as a way to estimate risk-neutral default probabilities.   
 
  • Background material that is important for an understanding of risk management, such as how zero curves are calculated and how contracts are valued, is in appendices at the end of the book.
 
  • The chapter on weather, energy, and insurance derivatives has been eliminated. Relevant material from that chapter is incorporated into other chapters.

Textul de pe ultima copertă

All Finance Professionals Need to Understand Risk
Companies must take risks to survive and prosper, but deciding which risks are acceptable, which are not, and what action to take is the tricky part. To be successful, all finance professionals need a solid understanding of risk.
Risk Management and Financial Institutions, written by one of the most respected authorities on financial risk management, is thorough, textbook–level instruction for all finance professionals, on all aspects of financial risk.
Fully revised and updated, this top–selling book clarifies such complex topics as the diff erent types of financial institutions and how they are regulated, valuation and scenario analysis, credit risk, margin and collateral, volatility, and much more.
You′ll find new coverage of timely subjects, such as central clearing, scenario analysis, enterprise risk management, and the latest regulatory issues and gain access to a supplementary website with additional software and helpful learning aids.

Notă biografică

JOHN C. HULLis the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto, and codirector of Rotman′s Master of Finance program. He has been a consultant to many North American, Japanese, and European fi nancial institutions, and is the author of three books, which are widely used by both practitioners and academics, and an associate editor of eight academic journals.