Table Of Contents
Introduction.
Risk Management: Definitions and Objectives.
1. A risk management synthesis: Market risk, credit risk, liquidity risk and asset and liability management.
2. Risk, return and performance.
3. Capital regulation, risk management and performance.
Risk Management Techniques Interest Rate Analytics.
4. Interest rate risk introduction and overview.
5. Interest rate risk mismatching and hedging.
6. Traditional interest rate risk analysis: Gap analysis and simulation models.
7. Fixed income mathematics: the basic tools.
8. Yield curve smoothing.
9. Duration and convexity.
10. Duration as a term structure model.
11. Vasicek and extended Vasicek models.
12. Alternative Term Structure models.
13. Estimating the parameters of term structure models.
Credit Risk Models.
14. An introduction to credit risk: Using market signals in loan pricing and performance measurement.
15. Traditional approaches to credit risk: ratings and transition matrices.
16. Structural credit models: An introduction to the Merton approach.
17. Reduced form credit models.
18. Credit spread fitting and modeling.
Interest Rate and Credit Model Testing.
19. Tests of credit models using historical data.
20. Tests of credit models using market data.
21. Tests of interest rate models using a credit risk approach.
Risk Management Applications, Instrument by Instrument.
22. Valuing credit risky bonds.
23. Credit derivatives and collateralized debt obligations.
24. Risk-neutral interest rates and European options on bonds.
25. Forward and futures contracts.
26. European options on forward and futures contracts.
27. Caps and floors.
28. Interest rate swaps and swaptions.
29. Exotic swap and option structures.
30. American fixed-income options.
31. Irrational exercise of fixed income options.
32. Mortgage-backed securities.
33. Non-maturity deposits.
34. Foreign exchange markets: a term structure model approach.
35. Impact of Collateral on valuation models.
36. Pricing and valuing revolving credit and other facilities.
37. Modeling common stock and convertible bonds on a default-adjusted basis.
38. Valuing insurance policies and pension obligations.
Portfolio Strategy and Risk Management.
39. Risk management objectives revisited at the portfolio and company level.
40. Liquidity analysis and management.
41. Performance measurement: Plus alpha vs. transfer pricing.
42. Managing institutional default risk and “safety and soundness.
43. Information technology considerations.
44. Shareholder value creation and destructi
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Keywords
bonds
contracts
credit model
credit risk
derivatives
interest rate risk
Interest rates
portfolio strategy
return
risk
risk management
risk management applications
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