Table of Contents:

Preface

1. Introduction
2. Financial Products and How They are Used for Hedging
3. How Traders Manage Their Exposures
4. Interest Rate Risk
5. Volatility
6. Correlation and Copulas
7. Bank Regulation and Basel II
8. The VaR Measure
9. Market Risk VaR: Historical Simulation Approach
10. Market Risk VaR: Model Building Approach
11. Credit Risk: Estimating Default Probabilities
12. Credit Risk Losses and Credit VaR
13. Credit Derivatives
14. Operational Risk
15. Model Risk and Liquidity Risk
16. Economic Capital and RAROC
17. Weather, Energy, and Insurance Derivatives
18. Big Losses and What We Can Learn from Them

Appendix A: Value Forward and Futures Contracts

Appendix B: Valuing Swaps

Appendix C: Valuing European Options

Appendix D: Valuing American Options

Appendix E: Manipulation of Credit Transition Matrices

Answers to End-of Chapter Problems

Glossary of Terms

Tables for N(x)

Index