风险管理

作　者：	Satyajit Das
出版社：	John Wiley & Sons
丛编项：
版权说明：	本书为公共版权或经版权方授权，请支持正版图书
标　签：	暂缺

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作者简介

　　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

内容简介

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）.

图书目录

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 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