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Cover image for Risk management
Title:
Risk management
Personal Author:
Series:
The swaps & financial derivatives library
Edition:
3rd ed., rev.
Publication Information:
Singapore : John Wiley & Sons, 2006
Physical Description:
1v + 1 CD-ROM
ISBN:
9780470821657
General Note:
Accompanied by compact disc : CP 8073

Available:*

Library
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Call Number
Material Type
Item Category 1
Status
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30000010113268 HD61 D37 2006 Open Access Book Book
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30000010113267 HD61 D37 2006 Open Access Book Book
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Summary

Summary

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).


Author Notes

Satyajit Das is an international specialist in the area offinancial derivatives, risk management and capital markets. Since1994, he has been a consultant to financial institutions andcorporations on derivatives and financial products and riskmanagement issues. He presents seminars on financial derivatives/risk management and capital markets in Europe, North America, Asiaand Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, anAustralian based international transport and logistics company withresponsibility for the Global Treasury function, includingliquidity management, corporate finance, funding/ capital marketsand financial risk management. Between 1977 and 1987, he worked inbanking with the Commonwealth Bank of Australia, CiticorpInvestment Bank and Merrill Lynch Capital Markets specializing incapital markets and risk management / derivative products.
Das holds Bachelors? degrees in Commerce (Accounting, Financeand Systems) and Law from the University of New South Wales and aMasters Degree in Business Administration from the AustralianGraduate School of Management.


Table of Contents

Introductionp. ix
Risk Management Principles
1 Framework for Risk Managementp. 3
Market Risk
2 Market Risk Measurement - Value at Risk Modelsp. 39
3 Stress Testingp. 173
4 Portfolio Valuation/Mark-to-Marketp. 225
Credit Risk
5 Derivative Credit Risk: Measurementp. 245
6 Derivative Credit Exposure: Management & Credit Enhancementp. 295
7 Derivative Product Companiesp. 339
Other Risks
8 Liquidity Riskp. 379
9 Model Riskp. 423
10 Operational Riskp. 443
Organisation of Risk Management
11 Risk Management Functionp. 505
12 Risk Adjusted Performance Managementp. 555
Operational Aspects
13 Operational, Systems & Technology Issuesp. 587
Legal/Documentary, Accounting & Tax Aspects of Derivatives
14 Legal Issues and Documentationp. 645
15 Accounting for Swaps and Financial Derivativesp. 767
16 Taxation Aspects of Swaps and Financial Derivativesp. 841
Regulatory Aspects of Derivatives
17 Credit Risk: Regulatory Frameworkp. 893
Appendix Basle II
18 Market Risk: Regulatory Frameworkp. 1237
Appendix Basle 1996
Indexp. 1321
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