金融风险管理

书籍目录

ForewordPrefaceAcnowledgmentsCHAPTER 1 Introduction　1.1 The Contents of This Book　1.2 The Use of Mathematics in This Book　1.3 OverviewCHAPTER 2 Institutional Background　2.1 Moral Hazard—Insiders and Outsiders　2.2 Ponzi Schemes　2.3 Adverse Selection　2.4 The Winner’s Curse　2.5 Market Making versus Position TakingCHAPTER 3 Operational Risk　3.1 Operations Risk　3.2 Legal Risk　3.3 Reputational Risk　3.4 Accounting Risk　3.5 Funding Liquidity Risk　3.6 Enterprise Risk　3.7 The Identification of Risks　3.8 Operational Risk CapitalCHAPTER 4 Financial Disasters　4.1 Disasters Due to Misleading Reporting　4.2 Disasters Due to Large Market Moves　4.3 Disasters Due to Conduct of Customer BusinessCHAPTER 5 Managing Market Risk　5.1 Risk Measurement　5.2 Risk ControlCHAPTER 6 Model Risk　6.1 The Role of Models in Man aging Risk　6.2 Model Control　6.3 Mark to Market vs Mark to ModelCHAPTER 7 Managing Spot RiskCHAPTER 8 Managing Forward RiskCHAPTER 9 Managing Vanilla Options RiskCHAPTER 10  Managing Exotic Options RiskCHAPTER 11 Var and Stress Testing CHAPTER 12 Credit BiskAppendix: Spreadsheet CalculatorsBibliographyAbout the CD-ROMIndex

作者简介

Praise for Financial Risk Management     "Key material on how risks can be isolated, quantified, and managed from a top risk management practitioner." 

    –John Hull, Maple Financial Chair in Derivatives and Risk Management, and Director, Bonham Centre for Finance, University of Toronto     "Steve Allen’s book is an excellent read for both seasoned risk professionals and students. He has done a wonderful job of making a complex topic understandable and provided the necessary tools to help others develop and sharpen their own intuition about risk exposure and how to manage it. Theory about risk management is always interesting, but even more refreshing is to see how risk management is performed by those, like Allen, with years of experience in the trenches."

    –Leslie Rahl, President, Capital Market Risk Advisors     "A very practical and deep approach to the problems of financial risk management."

    –Nassim Nicholas Taleb, Empirica LLC, author of Fooled by Randomness and Dynamic Hedging     "Allen’s book is a treasure-trove of material and an invaluable resource for any professional seeking to understand modern risk management. It begins with basic concepts and builds carefully to the practical and theoretical ideas necessary for dealing with the complexities of the most sophisticated and relevant financial instruments today."

    –Neil Chriss, Managing Director of Quantitative Strategies, SAC Capital, and author of Black-Scholes and Beyond

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