Risk management and financial institutions. / John C. Hull.
Material type:
TextSeries: Wiley Financial SeriesPublication details: Hoboken : John Wiley and Sons, Inc., 2015.Edition: 4th edDescription: xxv, 714 p. : ill. col. ; 26 cmISBN: - 9781118955949
- HD61.H83(4e)
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WISCONSIN INTERNATIONAL UNIVERSITY COLLEGE, GHANA - MAIN LIBRARY | WISCONSIN INTERNATIONAL UNIVERSITY COLLEGE, GHANA - MAIN LIBRARY | HD61.H83(4e) (Browse shelf(Opens below)) | Available | 8584/036/20 |
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Includes appendices and index.
Contents: Introduction: Part one: Financial institutions and their trading: Banks -- Insurance companies and pension plans -- Mutual funds and hedge funds -- Interest rate risk -- Volatility -- Correlations and copulas -- Value at risk and expected shortfall -- Historical simulation and extreme value theory -- Model-building approach -- Part three: 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 four: Credit risk: Managing credit risk: margin, OTC markets, and CCPs -- Estimating default probabilities -- CVA and DVA -- Credit value at risk -- Part five: 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.
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