Understanding Financial Risk Management

Understanding Financial Risk Management

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Bibliography; Exercises; Appendix: ItAa's Lemma; 4 Financial derivatives; 4.1 Options and futures; 4.2 Pricing of derivatives; 4.3 Interest rate derivatives; Summary; Bibliography; Exercises; Appendix: The market price of risk; 5 Market risk; 5.1 Market risk metrics; 5.2 VaR calculation methods; 5.3 Inside VaR; Summary; Bibliography; Exercises; Appendix: Factor mapping for VaR; 6 Interest rate risk; 6.1 The dynamics of interest rates; 6.2 Short-rate models; 6.3 IRR management; Summary; Bibliography; Exercises; Appendix: Principal component analysis of the term structure; 7 Credit riskMoodya#39;s Global Credit Research, January. Jarrow, R.A. and Turnbull, S.M. 1995. Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal ofFinance, 50: 53a€“86. J.P. Morgan. CreditMetrics Technical Document.

Title:Understanding Financial Risk Management
Author: Angelo Corelli
Publisher:Routledge - 2014-10-03

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