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(Ebook PDF) Advanced Financial Risk Management Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management 2nd edition by Donald Van Deventer, Kenji Imai, Mark Mesler ISBN 9781118597217 1118597214 full chapters

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Advanced Financial Risk Management Second Edition Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management Donald R. Van Deventer Digital Instant Download

Author(s): Donald R. van Deventer, Kenji Imai, Mark Mesler(auth.)
ISBN(s): 9781118597217, 1118597214
File Details: PDF, 7.44 MB
Year: 2013
Language: english
SKU: EB-4298630 Category: Tags: , ,

(Ebook PDF) Advanced Financial Risk Management Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management 2nd edition by Donald Van Deventer, Kenji Imai, Mark Mesler -Ebook PDF Instant Download/Delivery:9781118597217, 1118597214

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Product details:

ISBN 10:1118597214

ISBN 13:9781118597217

Author: Donald Van Deventer, Kenji Imai, Mark Mesler

Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models.

Table of Contents:

Introduction

  • Wall Street Lessons from Bubbles

  • Key Fallacies in Risk Management

Selected Events in the Credit Crisis

PART ONE: Risk Management – Definitions and Objectives

  1. A Risk Management Synthesis: Market Risk, Credit Risk, Liquidity Risk, and Asset and Liability Management

  2. Risk, Return, Performance Measurement, and Capital Regulation

PART TWO: Risk Management Techniques for Interest Rate Analytics

  1. Interest Rate Risk Introduction and Overview

  2. Fixed Income Mathematics: The Basic Tools

  3. Yield Curve Smoothing

  4. Introduction to Heath, Jarrow, and Morton Interest Rate Modeling

  5. HJM Interest Rate Modeling with Rate and Maturity-Dependent Volatility

  6. HJM Interest Rate Modeling with Two Risk Factors

  7. HJM Interest Rate Modeling with Three Risk Factors

  8. Valuation, Liquidity, and Net Income

  9. Interest Rate Mismatching and Hedging

  10. Legacy Approaches to Interest Rate Risk Management

  11. Special Cases of Heath, Jarrow, and Morton Interest Rate Modeling

  12. Estimating the Parameters of Interest Rate Models

PART THREE: Risk Management Techniques for Credit Risk Analytics

  1. An Introduction to Credit Risk: Using Market Signals in Loan Pricing and Performance Measurement

  2. Reduced Form Credit Models and Credit Model Testing

  3. Credit Spread Fitting and Modeling

  4. Legacy Approaches to Credit Risk

  5. Valuing Credit Risky Bonds

  6. Credit Derivatives and Collateralized Debt Obligations

PART FOUR: Risk Management Applications – Instrument by Instrument

  1. European Options on Bonds

  2. Forward and Futures Contracts

  3. European Options on Forward and Futures Contracts

  4. Caps and Floors

  5. Interest Rate Swaps and Swaptions

  6. Exotic Swap and Options Structures

  7. American Fixed Income Options

  8. Irrational Exercise of Fixed Income Options

  9. Mortgage-Backed Securities and Asset-Backed Securities

  10. Nonmaturity Deposits

  11. Foreign Exchange Markets

  12. Impact of Collateral on Valuation Models: The Example of Home Prices in the Credit Crisis

  13. Pricing and Valuing Revolving Credit and Other Facilities

  14. Modeling Common Stock and Convertible Bonds on a Default-Adjusted Basis

  15. Valuing Insurance Policies and Pension Obligations

PART FIVE: Portfolio Strategy and Risk Management

  1. Value-at-Risk and Risk Management Objectives Revisited at the Portfolio and Company Level

  2. Liquidity Analysis and Management: Examples from the Credit Crisis

  3. Performance Measurement: Plus Alpha vs. Transfer Pricing

  4. Managing Institutional Default Risk and Safety and Soundness

  5. Information Technology Considerations

  6. Shareholder Value Creation and Destruction

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Advanced Financial Risk Management,Donald Van Deventer,Kenji Imai,Mark Mesler,Integrated Credit Risk,