MTU Library Catalogue

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Understanding risk : the theory and practice of financial risk management / David Murphy.

By: Murphy, David ( David V. J.), 1965-.
Material type: materialTypeLabelBookSeries: Chapman & Hall/CRC financial mathematics series.Publisher: Boca Raton : Chapman & Hall/CRC, 2008Description: xvii, 452 p. : ill. ; 26 cm. + pbk.ISBN: 9781584888932 .Subject(s): Financial risk management | Investment analysis | Portfolio managementDDC classification: 658.155
Contents:
Part One: Risk management and the behaviour of products -- Markets, risks and risk management in context -- Derivatives and quantitative market risk management -- Part Two: Economic and regulatory capital models -- Capital: Motivation and provision -- Market risk capital models -- Credit risk and credit risk capital models -- Operational risk and further topics in capital estimation -- Bank regulation and capital requirements -- Treasury and liquidity risks -- The treasury and asset/liability management -- Liquidity risk management -- Part Four: Some trading businesses and their challenges -- An introduction to structured finance -- Novel asset classes, basket products and cross-asset trading.

Enhanced descriptions from Syndetics:

Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account,Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a more informal style, giving readers a blend of analysis and intuition.

Divided into four parts, the book begins by introducing the basics of risk management and the behavior of financial instruments. The next section focuses on regulatory capital standards and models, addressing value-at-risk (VaR) models, portfolio credit risk, tranching, operational risk, and the Basel accords. The author then deals with asset/liability management (ALM) and liquidity management. The last part explores structured finance and a variety of new trading instruments, including inflation-linked products, sophisticated equity basket options, and convertible bonds.

With numerous exercises, figures, and examples throughout, this book offers valuable insight on various aspects of financial risk management.

Includes bibliographical references and index.

Part One: Risk management and the behaviour of products -- Markets, risks and risk management in context -- Derivatives and quantitative market risk management -- Part Two: Economic and regulatory capital models -- Capital: Motivation and provision -- Market risk capital models -- Credit risk and credit risk capital models -- Operational risk and further topics in capital estimation -- Bank regulation and capital requirements -- Treasury and liquidity risks -- The treasury and asset/liability management -- Liquidity risk management -- Part Four: Some trading businesses and their challenges -- An introduction to structured finance -- Novel asset classes, basket products and cross-asset trading.

Table of contents provided by Syndetics

  • Introduction
  • Risk Management and the Behavior of Products
  • Economic and Regulatory Capital Models
  • Treasury and Liquidity Risks
  • Some Trading Businesses and Their Challenges
  • Concluding Remarks
  • Index

Author notes provided by Syndetics

David Murphy