TY - BOOK AU - Hull,John C. TI - Risk management and financial institutions T2 - Wiley finance series SN - 9781118955949 (pbk.) U1 - 332.10681 23 PY - 2015/// CY - New Jersey PB - John Wiley KW - Risk management KW - Financial institutions KW - Management N1 - Includes index; Business snapshots -- Preface -- Introduction -- Part 1: Financial institutions and their trading. Banks -- Insurance companies and pension plans -- Mutual funds and hedge funds -- Trading in financial markets -- The credit crisis of 2007 -- Valuation and scenario analysis: the risk-neutral and real worlds -- Part 2: Market risk. How traders manage their risks -- Interest rate risk -- Volatility -- Correlations and copulas -- Value at risk and expected shortfall -- Historical simulation and extreme value theory -- Model-building approach -- Part 3: Regulation. Basel I, Basel II, and Solvency II --Basel II.5, Basel III, and other post-crisis changes -- Fundamental review of the trading book -- Part 4: Credit risk. Managing credit risk: margin, OTC markets, and CCPs -- Estimating default probabilities -- CVA and DVA -- Credit value at risk -- Part 5. Other topics. Scenario analysis and stress testing -- Operational risk -- Liquidity risk -- Model risk -- Economic capital and RAROC -- Enterprise risk management -- Risk management mistakes to avoid -- Part 6: Appendices. Appendix A: Compounding frequencies for 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 -- Answers to questions and problems -- Glossary -- DerivaGem software -- Tables for N(x) -- Index N2 - Risk Management and Financial Institutions explains all aspects of financial risk and financial institution regulation, helping readers better understand the financial markets and potential dangers. This new fourth edition has been updated to reflect the major developments in the industry, including the finalization of Basel III, the fundamental review of the trading book, SEFs, CCPs, and the new rules affecting derivatives markets. There are new chapters on enterprise risk management and scenario analysis. Readers learn the different types of risk, how and where they appear in different types of institutions, and how the regulatory structure of each institution affects risk management practices. Comprehensive ancillary materials include software, practice questions, and all necessary teaching supplements, facilitating more complete understanding and providing an ultimate learning resource ER -