Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand–alone text or as a follow–on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real–world emphasis throughout, and include features such as:
∗ topic boxes, worked examples and learning objectives
∗ Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
∗ supporting web site including Lecturer′s Resource Pack and Student Centre with interactive Excel and GAUSS software
DERIVATIVES: AN OVERVIEW.
Derivatives: An Overview.
FORWARDS AND FUTURES.
Stock Index Futures.
Currency Forwards and Futures.
Short–Term Interest Rate Futures.
OPTIONS AND SWAPS.
Hedging and Volatility.
Option Spreads and Stock Options.
Foreign Currency Options.
ADVANCED DERIVATIVES AND STOCHASTIC PROCESSES.
Interest Rate Derivatives.
Asset Price Dynamics.
Pricing Interest Rate Derivatives.
Real Options (Alexander Workman, Co–Author).
RISK AND REGULATION.
Regulation of Financial Institutions.
Regulatory Framework in the UK and US.
VaR: Mapping Cash Flows.
VaR: Statistical Issues.
List of Symbols.
List of ′Topic Boxes′.