Financial Risk Manager Handbook, + Test Bank

PHILIPPE JORION is Professor of Finance at the School of Business at the University of California at Irvine. He was also a professor at Columbia, Northwestern, the University of Chicago, and the University of British Columbia. He holds an MBA and a PhD from the University of Chicago and a degree in engineering from the University of Brussels. Dr. Jorion has authored more than a hundred publications—directed towards academics and practitioners—on the topic of risk management and international finance. His work has received several prizes for research. Dr. Jorion has written the first five editions of Financial Risk Manager Handbook (Wiley), as well as Financial Risk Management: Domestic and International Dimensions; Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County; and Value at Risk: The New Benchmark for Managing Financial Risk. He is also a Managing Director in the Risk Management Group at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds.

• Preface ixAbout the Author xiAbout GARP xiiiIntroduction xvPart One Foundations of Risk Management 1Chapter 1 Risk Management 3Part Two Quantitative Analysis 25Chapter 2 Fundamentals of Probability 27Chapter 3 Fundamentals of Statistics 61Chapter 4 Monte Carlo Methods 83Chapter 5 Modeling Risk Factors 103Part Three Financial Markets and Products 125Chapter 6 Bond Fundamentals 127Chapter 7 Introduction to Derivatives 157Chapter 8 Option Markets 177Chapter 9 Fixed-Income Securities 207Chapter 10 Fixed-Income Derivatives 231Chapter 11 Equity, Currency, and Commodity Markets 255Part Four Valuation and Risk Models 281Chapter 12 Introduction to Risk Models 283Chapter 13 Managing Linear Risk 311Chapter 14 Nonlinear (Option) Risk Models 331Part Five Market Risk Management 355Chapter 15 Advanced Risk Models: Univariate 357Chapter 16 Advanced Risk Models: Multivariate 375Chapter 17 Managing Volatility Risk 405Chapter 18 Mortgage-Backed Securities Risk 427Part Six Credit Risk Management 449Chapter 19 Introduction to Credit Risk 451Chapter 20 Measuring Actuarial Default Risk 471Chapter 21 Measuring Default Risk from Market Prices 501Chapter 22 Credit Exposure 523Chapter 23 Credit Derivatives and Structured Products 555Chapter 24 Managing Credit Risk 587Part Seven Operational and Integrated Risk Management 611Chapter 25 Operational Risk 613Chapter 26 Liquidity Risk 639Chapter 27 Firmwide Risk Management 657Chapter 28 The Basel Accord 685Part Eight Investment Risk Management 725Chapter 29 Portfolio Risk Management 727Chapter 30 Hedge Fund Risk Management 749Index 779