Risk management and financial institutions. /
John C. Hull.
- 4th ed.
- Hoboken : John Wiley and Sons, Inc., 2015.
- xxv, 714 p. : ill. col. ; 26 cm.
- Wiley Financial Series. .
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.