了得網管理_風險管理/'RISK MANAGEMENT 3RD EDITION REVISED

內容簡介

Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).

作者簡介

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk managemen

Introduction
RISK MANAGEMENT PRINCIPLES
1 Framework For Risk Management
MARKET RISK
2 Market Risk Measurement—Value at Risk Models
3 Stress Testing
4 Portfolio Valuation/Mark-To-Market
CREDIT RISK
5 Derivative Credit Risk: Measurement
6 Derivative Credit Exposure: Management & Credit Enhancement
7 Derivative Product Companies
OTHER RISKS
8 Liquidity Risk
9 Model RiskIntroduction
RISK MANAGEMENT PRINCIPLES
1 Framework For Risk Management
MARKET RISK
2 Market Risk Measurement—Value at Risk Models
3 Stress Testing
4 Portfolio Valuation/Mark-To-Market
CREDIT RISK
5 Derivative Credit Risk: Measurement
6 Derivative Credit Exposure: Management & Credit Enhancement
7 Derivative Product Companies
OTHER RISKS
8 Liquidity Risk
9 Model Risk
10 Operational Risk
ORGANISATION OF RISK MANAGEMENT
11 Risk Management Function
12 Risk Adjusted Performance Management
OPERATIONAL ASPECTS
13 Operational, Systems & Technology Issues
14 Legal Issues and Documentation
15 Accounting Issues
16 Taxation Aspects of Swaps and Financial Derivatives
REGULATORY ASPECTS OF DERIVATIVES
17 Credit Risk: Regulatory Framework
Appendix: Basle II
18 Market Risk: Regulatory Framework
Appendix: Basle 1996
Index

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