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Hull, John,

Risk management and financial institutions / John Hull. - Upper Saddle River, NJ : Pearson Prentice Hall, c2007. - xvi, 500 p. : ill. ; 24 cm.

Includes index

1. Introduction --
2. Financial products and how they are used for hedging --
3. How traders manage their exposures --
4. Interest rate risk --
5. Volatility --
6. Correlation and copulas --
7. Bank regulation and basel II --
8. VaR measure --
9. Market risk VaR : historical simulation approach --
10. Market risk VaR : model-building approach --
11. Credit risk : estimating default probabilities --
12. Credit risk losses and credit VaR --
13. Credit derivatives --
14. Operational risk --
15. Model risk and liquidity risk --
16. Economic capital and RAROC --
17. Weather, energy, and insurance derivatives --
18. Big losses and what we can learn from them --
App. A. Valuing forward and futures contracts --
App. B. Valuing swaps --
App. C. Valuing European options --
App. D. Valuing American options --
App. E. Manipulation of credit transition matrices.

ISBN: 9780132397902 0132397900

Subjects--Topical Terms:
Risk management.
Financial institutions--Management.

LC Class. No.: HD61 / .H83