Understanding Financial Risk Management

Understanding Financial Risk Management

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Bibliography; Exercises; Appendix: ItAa's Lemma; 4 Financial derivatives; 4.1 Options and futures; 4.2 Pricing of derivatives; 4.3 Interest rate derivatives; Summary; Bibliography; Exercises; Appendix: The market price of risk; 5 Market risk; 5.1 Market risk metrics; 5.2 VaR calculation methods; 5.3 Inside VaR; Summary; Bibliography; Exercises; Appendix: Factor mapping for VaR; 6 Interest rate risk; 6.1 The dynamics of interest rates; 6.2 Short-rate models; 6.3 IRR management; Summary; Bibliography; Exercises; Appendix: Principal component analysis of the term structure; 7 Credit riskSwiss Finance Institute Research Paper No. 11a€“34. Foos, D., Norden, L. and Weber, M. 2010. Loan Growth and Riskiness of Banks. Journal of Banking and Finance, 34(12): 2929a€“2940. Furash, E. 1994. Organizing the Risk Management anbsp;...

Title:Understanding Financial Risk Management
Author:Angelo Corelli
Publisher:Routledge - 2014-10-03


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