MARC details
| 000 -LEADER |
|---|
| fixed length control field |
09855nam a22002297a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20190930113647.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
190829b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9788126560615 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.10681 |
| Item number |
HUL |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hull, John C. |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Risk management and financial institutions |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
4th |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Name of publisher, distributor, etc. |
Wiley India Pvt. Ltd. |
| Place of publication, distribution, etc. |
New Delhi |
| Date of publication, distribution, etc. |
2019 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxv, 714 p. |
| 365 ## - TRADE PRICE |
|---|
| Price type code |
INR |
| Price amount |
1099.00 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
TABLE OF CONTENTS<br/>Business Snapshots xxiii<br/><br/>Preface xxv<br/><br/>Chapter 1 Introduction 1<br/><br/>1.1 Risk vs. Return for Investors 2<br/><br/>1.2 The Efficient Frontier 6<br/><br/>1.3 The Capital Asset Pricing Model 8<br/><br/>1.4 Arbitrage Pricing Theory 14<br/><br/>1.5 Risk vs. Return for Companies 14<br/><br/>1.6 Risk Management by Financial Institutions 18<br/><br/>1.7 Credit Ratings 19<br/><br/>Summary 20<br/><br/>Further Reading 20<br/><br/>Practice Questions and Problems (Answers at End of Book) 21<br/><br/>Further Questions 22<br/><br/>Part 1: Financial Institutions and Their Trading 23<br/><br/>Chapter 2 Banks 25<br/><br/>2.1 Commercial Banking 26<br/><br/>2.2 The Capital Requirements of a Small Commercial Bank 28<br/><br/>2.3 Deposit Insurance 30<br/><br/>2.4 Investment Banking 31<br/><br/>2.5 Securities Trading 36<br/><br/>2.6 Potential Conflicts of Interest in Banking 38<br/><br/>2.7 Today’s Large Banks 39<br/><br/>2.8 The Risks Facing Banks 42<br/><br/>Summary 43<br/><br/>Further Reading 43<br/><br/>Practice Questions and Problems (Answers at End of Book) 44<br/><br/>Further Questions 44<br/><br/>Chapter 3 Insurance Companies and Pension Plans 47<br/><br/>3.1 Life Insurance 48<br/><br/>3.2 Annuity Contracts 51<br/><br/>3.3 Mortality Tables 52<br/><br/>3.4 Longevity and Mortality Risk 56<br/><br/>3.5 Property-Casualty Insurance 57<br/><br/>3.6 Health Insurance 60<br/><br/>3.7 Moral Hazard and Adverse Selection 61<br/><br/>3.8 Reinsurance 62<br/><br/>3.9 Capital Requirements 63<br/><br/>3.10 The Risks Facing Insurance Companies 64<br/><br/>3.11 Regulation 64<br/><br/>3.12 Pension Plans 66<br/><br/>Summary 70<br/><br/>Further Reading 71<br/><br/>Practice Questions and Problems (Answers at End of Book) 71<br/><br/>Further Questions 72<br/><br/>Chapter 4 Mutual Funds, ETFs, and Hedge Funds 75<br/><br/>4.1 Mutual Funds 75<br/><br/>4.2 Exchange-Traded Funds 79<br/><br/>4.3 Active vs. Passive Management 80<br/><br/>4.4 Regulation 82<br/><br/>4.5 Hedge Funds 83<br/><br/>4.6 Hedge Fund Strategies 88<br/><br/>4.7 Hedge Fund Performance 93<br/><br/>Summary 94<br/><br/>Further Reading 95<br/><br/>Practice Questions and Problems (Answers at End of Book) 95<br/><br/>Further Questions 96<br/><br/>Chapter 5 Trading in Financial Markets 97<br/><br/>5.1 The Markets 97<br/><br/>5.2 Clearing Houses 98<br/><br/>5.3 Long and Short Positions in Assets 99<br/><br/>5.4 Derivatives Markets 101<br/><br/>5.5 Plain Vanilla Derivatives 102<br/><br/>5.6 Non-Traditional Derivatives 114<br/><br/>5.7 Exotic Options and Structured Products 117<br/><br/>5.8 Risk Management Challenges 118<br/><br/>Summary 120<br/><br/>Further Reading 122<br/><br/>Practice Questions and Problems (Answers at End of Book) 122<br/><br/>Further Questions 125<br/><br/>Chapter 6 The Credit Crisis of 2007–2008 127<br/><br/>6.1 The U.S. Housing Market 128<br/><br/>6.2 Securitization 131<br/><br/>6.3 The Losses 137<br/><br/>6.4 What Went Wrong? 138<br/><br/>6.5 Lessons from the Crisis 140<br/><br/>Summary 141<br/><br/>Further Reading 142<br/><br/>Practice Questions and Problems (Answers at End of Book) 142<br/><br/>Further Questions 143<br/><br/>Chapter 7 Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds 145<br/><br/>7.1 Volatility and Asset Prices 146<br/><br/>7.2 Risk-Neutral Valuation 147<br/><br/>7.3 Scenario Analysis 152<br/><br/>7.4 When Both Worlds Have to Be Used 153<br/><br/>7.5 The Calculations in Practice 154<br/><br/>7.6 Estimating Real-World Processes 155<br/><br/>Summary 156<br/><br/>Further Reading 157<br/><br/>Practice Questions and Problems (Answers at End of Book) 157<br/><br/>Further Questions 158<br/><br/>Part 2: Market Risk 159<br/><br/>Chapter 8 How Traders Manage Their Risks 161<br/><br/>8.1 Delta 161<br/><br/>8.2 Gamma 169<br/><br/>8.3 Vega 171<br/><br/>8.4 Theta 173<br/><br/>8.5 Rho 174<br/><br/>8.6 Calculating Greek Letters 174<br/><br/>8.7 Taylor Series Expansions 175<br/><br/>8.8 The Realities of Hedging 177<br/><br/>8.9 Hedging Exotic Options 178<br/><br/>8.10 Scenario Analysis 180<br/><br/>Summary 181<br/><br/>Further Reading 181<br/><br/>Practice Questions and Problems (Answers at End of Book) 181<br/><br/>Further Questions 182<br/><br/>Chapter 9 Interest Rate Risk 185<br/><br/>9.1 The Management of Net Interest Income 186<br/><br/>9.2 Types of Rates 188<br/><br/>9.3 Duration 193<br/><br/>9.4 Convexity 196<br/><br/>9.5 Generalization 198<br/><br/>9.6 Nonparallel Yield Curve Shifts 200<br/><br/>9.7 Principal Components Analysis 204<br/><br/>9.8 Gamma and Vega 207<br/><br/>Summary 208<br/><br/>Further Reading 209<br/><br/>Practice Questions and Problems (Answers at End of Book) 209<br/><br/>Further Questions 210<br/><br/>Chapter 10 Volatility 213<br/><br/>10.1 Definition of Volatility 213<br/><br/>10.2 Implied Volatilities 215<br/><br/>10.3 Are Daily Percentage Changes in Financial<br/><br/>Variables Normal? 217<br/><br/>10.4 The Power Law 220<br/><br/>10.5 Monitoring Daily Volatility 222<br/><br/>10.6 The Exponentially Weighted Moving Average Model 225<br/><br/>10.7 The GARCH(1,1) Model 227<br/><br/>10.8 Choosing Between the Models 229<br/><br/>10.9 Maximum Likelihood Methods 229<br/><br/>10.10 Using GARCH(1,1) to Forecast Future Volatility 235<br/><br/>Summary 239<br/><br/>Further Reading 239<br/><br/>Practice Questions and Problems (Answers at End of Book) 240<br/><br/>Further Questions 241<br/><br/>Chapter 11 Correlations and Copulas 243<br/><br/>11.1 Definition of Correlation 243<br/><br/>11.2 Monitoring Correlation 245<br/><br/>11.3 Correlation and Covariance Matrices 248<br/><br/>11.4 Multivariate Normal Distributions 250<br/><br/>11.5 Copulas 252<br/><br/>11.6 Application to Loan Portfolios: Vasicek’s Model 258<br/><br/>Summary 264<br/><br/>Further Reading 264<br/><br/>Practice Questions and Problems (Answers at End of Book) 265<br/><br/>Further Questions 266<br/><br/>Chapter 12 Value at Risk and Expected Shortfall 269<br/><br/>12.1 Definition of VaR 271<br/><br/>12.2 Examples of the Calculation of VaR 272<br/><br/>12.3 A Drawback of VaR 273<br/><br/>12.4 Expected Shortfall 274<br/><br/>12.5 Coherent Risk Measures 274<br/><br/>12.6 Choice of Parameters for VaR and ES 278<br/><br/>12.7 Marginal, Incremental, and Component Measures 283<br/><br/>12.8 Euler’s Theorem 284<br/><br/>12.9 Aggregating VaRs and ESs 285<br/><br/>12.10 Back-Testing 285<br/><br/>Summary 289<br/><br/>Further Reading 289<br/><br/>Practice Questions and Problems (Answers at End of Book) 290<br/><br/>Further Questions 291<br/><br/>Chapter 13 Historical Simulation and Extreme Value Theory 293<br/><br/>13.1 The Methodology 293<br/><br/>13.2 Accuracy of VaR 299<br/><br/>13.3 Extensions 301<br/><br/>13.4 Computational Issues 306<br/><br/>13.5 Extreme Value Theory 307<br/><br/>13.6 Applications of EVT 310<br/><br/>Summary 313<br/><br/>Further Reading 313<br/><br/>Practice Questions and Problems (Answers at End of Book) 314<br/><br/>Further Questions 314<br/><br/>Chapter 14 Model-Building Approach 317<br/><br/>14.1 The Basic Methodology 318<br/><br/>14.2 Generalization 321<br/><br/>14.3 The Four-Index Example Revisited 323<br/><br/>14.4 Handling Term Structures 326<br/><br/>14.5 Extensions of the Basic Procedure 331<br/><br/>14.6 Risk Weights and Weighted Sensitivities 332<br/><br/>14.7 Handling Non-Linearity 333<br/><br/>14.8 Model-Building vs.Historical Simulation 339<br/><br/>Summary 340<br/><br/>Further Reading 340<br/><br/>Practice Questions and Problems (Answers at End of Book) 341<br/><br/>Further Questions 342<br/><br/>Part 3: Regulation 345<br/><br/>Chapter 15 Basel I, Basel II, and Solvency II 347<br/><br/>15.1 The Reasons for Regulating Banks 347<br/><br/>15.2 Bank Regulation Pre-1988 348<br/><br/>15.3 The 1988 BIS Accord 350<br/><br/>15.4 The G-30 Policy Recommendations 353<br/><br/>15.5 Netting 354<br/><br/>15.6 The 1996 Amendment 356<br/><br/>15.7 Basel II 359<br/><br/>15.8 Credit Risk Capital Under Basel II 360<br/><br/>15.9 Operational Risk Capital Under Basel II 369<br/><br/>15.10 Pillar 2: Supervisory Review 370<br/><br/>15.11 Pillar 3: Market Discipline 370<br/><br/>15.12 Solvency II 371<br/><br/>Summary 372<br/><br/>Further Reading 373<br/><br/>Practice Questions and Problems (Answers at End of Book) 373<br/><br/>Further Questions 375<br/><br/>Chapter 16 Basel II.5, Basel III, and Other Post-Crisis Changes 377<br/><br/>16.1 Basel II.5 378<br/><br/>16.2 Basel III 381<br/><br/>16.3 Contingent Convertible Bonds 390<br/><br/>16.4 Use of Standardized Approaches and SA-CCR 390<br/><br/>16.5 Dodd–Frank Act 392<br/><br/>16.6 Legislation in Other Countries 394<br/><br/>Summary 396<br/><br/>Further Reading 397<br/><br/>Practice Questions and Problems (Answers at End of Book) 397<br/><br/>Further Questions 398<br/><br/>Chapter 17 Regulation of the OTC Derivatives Market 399<br/><br/>17.1 Clearing in OTC Markets 400<br/><br/>17.2 Post-Crisis Regulatory Changes 404<br/><br/>17.3 Impact of the Changes 408<br/><br/>17.4 CCPs and Bankruptcy 412<br/><br/>Summary 412<br/><br/>Further Reading 413 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Risk Management and Financial Institutions, explains all aspects of financial risk and financial institution regulation, helping you better understand the financial markets—and their potential dangers. Inside, you’ll learn the different types of risk, how and where they appear in different types of institutions, and how the regulatory structure of each institution affects risk management practices. Comprehensive ancillary materials include software, practice questions, and all necessary teaching supplements, facilitating more complete understanding and providing an ultimate learning resource.<br/><br/>All financial professionals need to understand and quantify the risks associated with their decisions. This book provides a complete guide to risk management with the most up to date information.<br/><br/>• Understand how risk affects different types of financial institutions<br/><br/>• Learn the different types of risk and how they are managed<br/><br/>• Study the most current regulatory issues that deal with risk<br/><br/>• Get the help you need, whether you’re a student or a professional<br/><br/>Risk management has become increasingly important in recent years and a deep understanding is essential for anyone working in the finance industry; today, risk management is part of everyone's job. For complete information and comprehensive coverage of the latest industry issues and practices, Risk Management and Financial Institutions, Fifth Edition is an informative, authoritative guide. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial institutions--Management |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk management |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial risk management |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |