金融风险管理：市场和信贷风险管理从业者指南FINANCIAL RISK MANAGEMENT txt umd azw3 下载 fb2 pdf 在线 免费

An insider's view of financial risk management

This complete guide covers the strategies, principles, and measurement techniques necessary to measure and manage financial risk. With a focus on management perspective, this book explores real-world issues such as model validation, risk measurement, valuation methodologies, and much more. Self-contained Excel spreadsheets are included on the companion CD-ROM.

Steve Allen (New York, NY) is Managing Director of Market Risk Management at J.P. Morgan Chase. He has been a key architect of Chase's Value-at-Risk and Stress Testing systems. Allen also serves as Co-Chairman of the Market and Credit Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed Income Investments and Derivative Securities.

Foreword

Preface

Acnowledgments

CHAPTER 1 Introduction

　1.1 The Contents of This Book

　1.2 The Use of Mathematics in This Book

　1.3 Overview

CHAPTER 2 Institutional Background

　2.1 Moral Hazard—Insiders and Outsiders

　2.2 Ponzi Schemes

　2.3 Adverse Selection

　2.4 The Winner’s Curse

　2.5 Market Making versus Position Taking

CHAPTER 3 Operational Risk

　3.1 Operations Risk

　3.2 Legal Risk

　3.3 Reputational Risk

　3.4 Accounting Risk

　3.5 Funding Liquidity Risk

　3.6 Enterprise Risk

　3.7 The Identification of Risks

　3.8 Operational Risk Capital

CHAPTER 4 Financial Disasters

　4.1 Disasters Due to Misleading Reporting

　4.2 Disasters Due to Large Market Moves

　4.3 Disasters Due to Conduct of Customer Business

CHAPTER 5 Managing Market Risk

　5.1 Risk Measurement

　5.2 Risk Control

CHAPTER 6 Model Risk

　6.1 The Role of Models in Man aging Risk

　6.2 Model Control

　6.3 Mark to Market vs Mark to Model

CHAPTER 7 Managing Spot Risk

CHAPTER 8 Managing Forward Risk

CHAPTER 9 Managing Vanilla Options Risk

CHAPTER 10 Managing Exotic Options Risk

CHAPTER 11 Var and Stress Testing

CHAPTER 12 Credit Bisk

Appendix: Spreadsheet Calculators

Bibliography

About the CD-ROM

Index

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书籍介绍

Praise for Financial Risk Management "Key material on how risks can be isolated, quantified, and managed from a top risk management practitioner."

–John Hull, Maple Financial Chair in Derivatives and Risk Management, and Director, Bonham Centre for Finance, University of Toronto "Steve Allen’s book is an excellent read for both seasoned risk professionals and students. He has done a wonderful job of making a complex topic understandable and provided the necessary tools to help others develop and sharpen their own intuition about risk exposure and how to manage it. Theory about risk management is always interesting, but even more refreshing is to see how risk management is performed by those, like Allen, with years of experience in the trenches."

–Leslie Rahl, President, Capital Market Risk Advisors "A very practical and deep approach to the problems of financial risk management."

–Nassim Nicholas Taleb, Empirica LLC, author of Fooled by Randomness and Dynamic Hedging "Allen’s book is a treasure-trove of material and an invaluable resource for any professional seeking to understand modern risk management. It begins with basic concepts and builds carefully to the practical and theoretical ideas necessary for dealing with the complexities of the most sophisticated and relevant financial instruments today."

–Neil Chriss, Managing Director of Quantitative Strategies, SAC Capital, and author of Black-Scholes and Beyond