Risk Management and Financial Institutions
by John C. Hull
6th Edition
Publisher: Wiley
Book Details
| Print ISBN | 9781119932482 |
| eText ISBN | 9781119932499 |
| Publisher | Wiley |
| Publishing Year | 2023 |
| Edition | 6th Edition |
| Language | English |
| Pages | 832 |
Risk Management and Financial Institutions, 6th Edition, is a textbook that pairs practical guidance on risk management with comprehensive analysis of financial institution regulation. It examines how various financial institutions, including banks, fund managers, and insurance companies, manage their exposures and operate under established regulatory oversight.
The volume investigates primary categories of exposure, focusing on market, credit, operational, and liquidity risks. It also addresses enterprise risk management, environmental, social, and governance considerations, and emerging topics such as cyber risk and climate risk.
Designed for students of business and finance at both undergraduate and graduate levels, the textbook provides practice questions and digital resources to support classroom instruction and independent review.
Table of Contents
Chapter 1: Introduction: Risk-Return Trade-offs
Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Plans
Chapter 4: Fund Managers
Chapter 5: Financial Instruments
Chapter 6: The OTC Derivatives Market
Chapter 7: Securitization and the Global Financial Crisis
Chapter 8: Volatility
Chapter 9: Correlations and Copulas
Chapter 10: Valuation and Scenario Analysis
Chapter 11: Value at Risk and Expected Shortfall
Chapter 12: Historical Simulation and Extreme Value Theory
Chapter 13: Model-Building Approach
Chapter 14: Interest Rate Risk
Chapter 15: Derivatives Risk
Chapter 16: Scenario Analysis and Stress Testing
Chapter 17: Estimating Default Probabilities
Chapter 18: xVAs
Chapter 19: Credit Value at Risk
Chapter 20: Operational Risk
Chapter 21: Liquidity Risk
Chapter 22: Model Risk Management
Chapter 23: Climate Risk, ESG, and Sustainability
Chapter 24: Enterprise Risk Management
Chapter 25: Basel I, Basel II, and Solvency II
Chapter 26: Basel II.5, Basel III, and Other Post-Crisis Changes
Chapter 27: Fundamental Review of the Trading Book
Chapter 28: Economic Capital and RAROC
Chapter 29: Financial Innovation
Chapter 30: Risk Management Mistakes to Avoid
Chapter Appendix A: Compounding Frequencies for Interest Rates
Chapter Appendix B: Zero Rates, Forward Rates, and Zero-Coupon Yield Curves
Chapter Appendix C: Valuing Forward and Futures Contracts
Chapter Appendix D: Valuing Swaps
Chapter Appendix E: Valuing European Options
Chapter Appendix F: Valuing American Options
Chapter Appendix G: Taylor Series Expansions
Chapter Appendix H: Eigenvectors and Eigenvalues
Chapter Appendix I: Principal Components Analysis
Chapter Appendix J: Manipulation of Credit Transition Matrices
Chapter Appendix K: Valuation of Credit Default Swaps
Chapter Appendix L: Synthetic CDOs and Their Valuation
Chapter Appendix M: SIMM
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