RISK MANAGEMENT AND FINANCIAL INSTITUTIONS

THE GOLD STANDARD IN FINANCIAL RISK MANAGEMENT TEXTBOOKS

In the newly revised sixth edition of Risk Management and Financial Institutions, celebrated risk and derivatives expert John C. Hull delivers an incisive and comprehensive discussion of financial risk and financial institution regulation. In the book, you'll learn to understand the financial markets, the risks they pose to various kinds of financial institutions, and how those risks are affected by common regulatory structures.

This book blends discussion of best practices in risk management with holistic treatments of how financial institutions are regulated. It explores market, credit, liquidity, model, climate, cyber, and operational risk.

This latest edition also offers:

• Updated ancillary and digital materials covering all the latest content, including software, practice questions, and teaching supplements
• Access to an updated website that reflects the new content

• Fulsome coverage of the most important financial market developments since the publication of the fifth edition, including regulatory changes, the growing importance of climate risk, the use of machine learning models, and the disappearance of LIBOR

  A must-have resource for undergraduate and graduate students of business and finance, Risk Management and Financial Institutions, Sixth Edition, cements this celebrated text as the gold standard in risk management resources.

  Autorentext

  JOHN C. HULL is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is academic director of Rotman's Financial Innovation Lab (FinHub), senior advisor to the Global Association of Risk Professionals (GARP), and a senior research fellow at the Global Risk Institute in Financial Services. He has been a consultant to many North American, Japanese, and European financial institutions.

  Klappentext

  THE GOLD STANDARD IN FINANCIAL RISK MANAGEMENT TEXTBOOKS In the newly revised sixth edition of Risk Management and Financial Institutions, celebrated risk and derivatives expert John C. Hull delivers an incisive and comprehensive discussion of financial risk and financial institution regulation. In the book, you'll learn to understand the financial markets, the risks they pose to various kinds of financial institutions, and how those risks are affected by common regulatory structures. This book blends discussion of best practices in risk management with holistic treatments of how financial institutions are regulated. It explores market, credit, liquidity, model, climate, cyber, and operational risk. This latest edition also offers:

• Updated ancillary and digital materials covering all the latest content, including software, practice questions, and teaching supplements
• Access to an updated website that reflects the new content

• Fulsome coverage of the most important financial market developments since the publication of the fifth edition, including regulatory changes, the growing importance of climate risk, the use of machine learning models, and the disappearance of LIBOR* A must-have resource for undergraduate and graduate students of business and finance, Risk Management and Financial Institutions, Sixth Edition*, cements this celebrated text as the gold standard in risk management resources.

  Zusammenfassung
  RISK MANAGEMENT AND FINANCIAL INSTITUTIONS THE GOLD STANDARD IN FINANCIAL RISK MANAGEMENT TEXTBOOKS In the newly revised sixth edition of Risk Management and Financial Institutions, celebrated risk and derivatives expert John C. Hull delivers an incisive and comprehensive discussion of financial risk and financial institution regulation. In the book, you'll learn to understand the financial markets, the risks they pose to various kinds of financial institutions, and how those risks are affected by common regulatory structures. This book blends discussion of best practices in risk management with holistic treatments of how financial institutions are regulated. It explores market, credit, liquidity, model, climate, cyber, and operational risk. This latest edition also offers: Updated ancillary and digital materials covering all the latest content, including software, practice questions, and teaching supplements Access to an updated website that reflects the new content * Fulsome coverage of the most important financial market developments since the publication of the fifth edition, including regulatory changes, the growing importance of climate risk, the use of machine learning models, and the disappearance of LIBOR A must-have resource for undergraduate and graduate students of business and finance, Risk Management and Financial Institutions, Sixth Edition, cements this celebrated text as the gold standard in risk management resources.

  Inhalt

  Business Snapshots xxiii

  Preface xxv

  Chapter 1 Introduction: Risk-Return Trade-offs 1

  Part 1: Financial Institutions 23

  Chapter 2 Banks 25

  Chapter 3 Insurance Companies and Pension Plans 47

  Chapter 4 Fund Managers 75

  Part 2: Financial Markets 97

  Chapter 5 Financial Instruments 99

  Chapter 6 The OTC Derivatives Market 129

  Chapter 7 Securitization and the Global Financial Crisis 145

  Chapter 8 Volatility 163

  Chapter 9 Correlations and Copulas 193

  Chapter 10 Valuation and Scenario Analysis 217

  Part 3: Market Risk 231

  Chapter 11 Value at Risk and Expected Shortfall 233

  Chapter 12 Historical Simulation and Extreme Value Theory 257

  Chapter 13 Model-Building Approach 279

  Chapter 14 Interest Rate Risk 293

  Chapter 15 Derivatives Risk 319

  Chapter 16 Scenario Analysis and Stress Testing 347

  Part 4: Credit Risk 365

  Chapter 17 Estimating Default Probabilities 367

  Chapter 18 xVAs 393

  Chapter 19 Credit Value at Risk 413

  Part 5: Other Risks 429

  Chapter 20 Operational Risk 431

  Chapter 21 Liquidity Risk 449

  Chapter 22 Model Risk Management 477

  Chapter 23 Climate Risk, ESG, and Sustainability 497

  Chapter 24 Enterprise Risk Management 513

  Part 6: Regulation 531

  Chapter 25 Basel I, Basel II, and Solvency II 533

  Chapter 26 Basel II.5, Basel III, and Other Post-Crisis Changes 563

  Chapter 27 Fundamental Review of the Trading Book 585

  Chapter 28 Economic Capital and RAROC 599

  Part 7: Other Topics 617

  Chapter 29 Financial Innovation 619

  Chapter 30 Risk Management Mistakes to Avoid 641

  Part 8: Appendices 653

  Appendix A Compounding Frequencies for Interest Rates 655

  Appendix B Zero Rates, Forward Rates, and Zero-Coupon Yield Curves 659

  Appendix C Valuing Forward and Futures Contracts 663

  Appendix D Valuing Swaps 665

  Appendix E Valuing European Options 669

  Appendix F Valuing American Options 673

  Appendix G Taylor Series Expansions 677

  Appendix H Eigenvectors and Eigenvalues 681

  Appendix I Principal Components Analysis 685

  Appendix J Manipulation of Credit Transition Matrices 687

  Appendix K Valuation of Credit Default Swaps 689

  Appendix L Synthetic CDOs and Their Valuation 693

  Appendix M SIMM 697

  Answers to Questions and Problems 701

  Glossary 743

  RMFI Software 771

  Table for N(x) When x 0 775

  Table for N(x) When x 0 777

  Index 779