TY  - BOOK
AU  - Hull, John C.
TI  - Risk management and financial Institution.
SN  - 9780138006174
AV  - HD61.H83 
PY  - 2010///
CY  - Boston
PB  - Pearson
KW  - Risk Management and Financial Institutions
N1  - Includes index, appendix and glossary; Contents: Introduction -- Banks -- Insurance companies and pension plans -- Mutual funds and hedge funds -- Financial instruments -- How traders manage their exposures -- Interest rate risk -- Value at risk -- Volatility -- Correlation and Copulas -- Regulation, Base lI, and Solvency II -- Market risk VaR: historical simulation approach -- Market Risk VaR: Model- building approach -- Credit risk: estimating default probabilities -- Credit risk losses and Credit VaR -- ABSs, CDOs and the Credit crunch of 2007 -- Scenario analysis and Stress testing -- Operational risk -- Liquidity risk -- Model risk -- Economic capital and RAROC -- 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 -- Answers to practice questions and problems
ER  -