Category / Publications

My book has just been published April 21, 2008 at 6:51 am

Understanding Financial Risk Book CoverFinally my book, Understanding Risk: The Theory and Practice of Financial Risk Management has appeared. Here’s a link for the book’s entry on amazon.

The contents are as follows:

Part One: Risk Management and the Behaviour of Products

Chapter 1 Markets, Risks, and Risk Management in Context
1.1 Financial Markets Overview
1.2 Trading and Market Behaviour
1.3 Basic Ideas in Risk Management
1.4 Culture and Organisation
1.5 Some External Constraints

Chapter 2 Derivatives and Quantitative Market Risk Management
2.1 Returns, Options, Sensitivities
2.2 Portfolios and Risk Aggregation
2.3 Understanding the Behaviour of Derivatives
2.4 Interest Rate Derivatives and Yield Curve Models
2.5 Single Name Credit Derivatives
2.6 Valuation, Hedging and Model Risk

Part Two: Economic and Regulatory Capital Models

Chapter 3 Capital: Motivation and Provision
3.1 Motivations for Capital
3.2 Capital Instrument Features
3.3 Regulatory Capital Provision

Chapter 4 Market Risk Capital Models
4.1 General Market Risk Capital Models
4.2 Some Limitations to and Extensions of Value At Risk Models
4.3 Risk Systems and Risk Data

Chapter 5 Credit Risk and Credit Risk Capital Models
5.1 The Banking Book: Introducing the Products and the Risks
5.2 Credit Risk for Small Numbers of Obligators
5.3 An Introduction to Tranching and Portfolio Credit Derivatives
5.4 Credit Portfolio Risk Management
5.5 Political and Country Risk

Chapter 6 Operational Risk and Further Topics in Capital Estimation
6.1 An Introduction to Operational Risk
6.2 The Tails and Operational Risk Modelling
6.3 Allocating Capital and Other Risks

Chapter 7 Bank Regulation and Capital Requirements
7.1 Regulatory Capital and the Basel Accords
7.2 Basel II: Beyond the capital rules

Part Three: Treasury and Liquidity Risks

Chapter 8 The Treasury and Asset/Liability Management
8.1 An Introduction to Asset/Liability Management
8.2 Banking Book Income and Funding the Bank
8.3 ALM in Practice
8.4 Trading Book ALM

Chapter 9 Liquidity Risk Management
9.1 The Liquidity of Securities and Deposits
9.2 Liquidity Management
9.3 Contingent Liquidity and Contingent Funding
9.4 Stresses of Liquidity

Part Four: Some Trading Businesses and their Challenges

Chapter 10 An Introduction to Structured Finance
10.1 Contractual Relations
10.2 Asset Backed Securities
10.3 Securitisation Structures and Technology

Chapter 11 Novel Asset Classes, Basket Products, and Cross Asset Trading
11.1 Inflation-linked Products
11.2 Equity Basket Products
11.3 Convertible Bonds
11.4 Equity/Credit Trading
11.5 New Products