Risk management and financial institutions /
Hull, John C.
Risk management and financial institutions / John C. Hull - Third edition - New Jersey : John Wiley & Son, Inc., c2012 - xxi, 643 pages ; 27 cm.
Includes index.
Introduction -- Banks -- Insurance companies and pension plans -- Volatility -- Correlations and copulas -- Basel I, Basel II and Solvency II -- Basel 2.5, Basel III, and Dodd-frank -- Market risk VaR : the historical simulation approach -- Market risk VaR : the model-building approach -- Credit risk : estimating default probabilities -- Couterparty credit risk in derivatives -- Credit value at risk -- Scenario analysis and stress testing -- Operational risk -- Liquidity risk -- Model risk -- Economic capital and RAROC -- Risk management mistakes to avoid
Written by one of the most respected authorities on financial risk management, risk management and financial institutions explains all aspects of financial risk as well as the way financial institutions are regulated.
9781118269039
RISK MANAGEMENT
HD 61 .H85 2012
Risk management and financial institutions / John C. Hull - Third edition - New Jersey : John Wiley & Son, Inc., c2012 - xxi, 643 pages ; 27 cm.
Includes index.
Introduction -- Banks -- Insurance companies and pension plans -- Volatility -- Correlations and copulas -- Basel I, Basel II and Solvency II -- Basel 2.5, Basel III, and Dodd-frank -- Market risk VaR : the historical simulation approach -- Market risk VaR : the model-building approach -- Credit risk : estimating default probabilities -- Couterparty credit risk in derivatives -- Credit value at risk -- Scenario analysis and stress testing -- Operational risk -- Liquidity risk -- Model risk -- Economic capital and RAROC -- Risk management mistakes to avoid
Written by one of the most respected authorities on financial risk management, risk management and financial institutions explains all aspects of financial risk as well as the way financial institutions are regulated.
9781118269039
RISK MANAGEMENT
HD 61 .H85 2012