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Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
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Searching... | 30000010113268 | HD61 D37 2006 | Open Access Book | Book | Searching... |
Searching... | 30000010113267 | HD61 D37 2006 | Open Access Book | Book | Searching... |
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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
Introduction | p. ix |
Risk Management Principles | |
1 Framework for Risk Management | p. 3 |
Market Risk | |
2 Market Risk Measurement - Value at Risk Models | p. 39 |
3 Stress Testing | p. 173 |
4 Portfolio Valuation/Mark-to-Market | p. 225 |
Credit Risk | |
5 Derivative Credit Risk: Measurement | p. 245 |
6 Derivative Credit Exposure: Management & Credit Enhancement | p. 295 |
7 Derivative Product Companies | p. 339 |
Other Risks | |
8 Liquidity Risk | p. 379 |
9 Model Risk | p. 423 |
10 Operational Risk | p. 443 |
Organisation of Risk Management | |
11 Risk Management Function | p. 505 |
12 Risk Adjusted Performance Management | p. 555 |
Operational Aspects | |
13 Operational, Systems & Technology Issues | p. 587 |
Legal/Documentary, Accounting & Tax Aspects of Derivatives | |
14 Legal Issues and Documentation | p. 645 |
15 Accounting for Swaps and Financial Derivatives | p. 767 |
16 Taxation Aspects of Swaps and Financial Derivatives | p. 841 |
Regulatory Aspects of Derivatives | |
17 Credit Risk: Regulatory Framework | p. 893 |
Appendix Basle II | |
18 Market Risk: Regulatory Framework | p. 1237 |
Appendix Basle 1996 | |
Index | p. 1321 |