Risk Management and

Financial Institutions, 6th Edition

Table of Contents

1. Introduction

PART ONE: FINANCIAL INSTITUTIONS

2. Banks

3. Insurance Companies and Pension Plans

4. Fund Managers

PART TWO: FINANCIAL MARKETS

5. Financial Instruments

6. The OTC Derivatives Market

7. Securitization and the Global Financial Crisis

8. Volatility

9. Correlations and Copulas

10. Valuation and Scenario Analysis

PART THREE: MARKET RISK

11. Value at Risk and Expected Shortfall

12. Historical Simulation and Extreme Value Theory

13. Model-Building Approach

14. Interest Rate Risk

15. Derivatives Risk

16. Scenario Analysis and Stress Testing

PART FOUR: CREDIT RISK

17. Estimating Default Probabilities

18. xVAs

19. Credit Value at Risk

PART FIVE: OTHER RISKS

20. Operational Risk

21. Liquidity Risk

22. Model Risk Management

23. Climate Risk, ESG, and Sustainability

24. Enterprise Risk Management

PART SIX: REGULATION

25. Basel I, Basel II, and Solvency II

26. Basel II.5, Basel III, and Other Post-Crisis Changes

27. Fundamental Review of the Trading Book

28: Economic Capital and RAROC

PART SEVEN: CREDIT RISK

29. Financial Innovation

30. Risk Management Mistakes to Avoid

Appendix A: Compounding Frequencies and Interest Rates

Appendix B: Zero Rates, 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

Appendix K: Valuation of Credit Default Swaps

Appendix L: Synthetic CDOs and Their Valuation

Appendix M: SIMM

Answers to Questions and Problems

Glossary

RMFI Software

Table for N(x) when x≤0

Table for N(x) when x≥0

Index