Risk management and financial institutions /
John C. Hull
- 3rd ed.
- Hoboken, N.J. : John Wiley, c2012
- xxi, 643 p. : ill. ; 26 cm.
- Wiley finance .
Banks -- Insurance companies and pension plans -- Mutual funds and hedge funds -- Trading in financial markets -- The credit crisis of 2007 -- How traders manage their risks -- Interest rate risk -- Value at risk -- Valatility -- Correlations and copulas -- Basel I, Basel II, and solvency II -- Basel 2.5, Basel III, and Dodd-Frank -- Market risk VaR: the historical simulation approach -- Market risk VaR: the model-building approach -- Credit risk: estimating default probabilities -- Counterparty credit risk in derrivatives -- Credit value at risk -- Scenario analysis and stress testing -- Operational risk - - Liquidity risk -- Model risk -- Economic capital and RAROC -- Risk management mistakes to avoid