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Book catalogue of risk management and financial institutions
To readers in China.

Recommended sequence 1

Recommended sequence 2

Translator's order

Brief introduction of the author

Brief introduction of translator

order

Teaching suggestion

Introduction to Chapter 1

1. 1 investor's risk-return relationship

1.2 effective boundary

1.3 capital asset pricing model

1.4 arbitrage pricing theory

1.5 risks and benefits of the company

1.6 risk management of financial institutions

1.7 summary

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Chapter II Banks

2. 1 commercial banks

2.2 Capital requirements of small commercial banks

2.3 deposit insurance

2.4 Investment Banks

2.5 Securities trading

2.6 Potential conflicts of interest within banks

2.7 Today's large banks

2.8 Risks faced by banks

2.9 Summary

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Chapter III Insurance Companies and Pension Funds

3. 1 life insurance

3.2 annuity

3.3 Mortality Table

3.4 Longevity Risk and Death Risk

3.5 Property and Injury Insurance

3.6 Health insurance

3.7 Moral hazard and adverse selection

3.8 Reinsurance

3.9 Capital requirements

3. 10 risks faced by insurance companies

3. 1 1 regulatory provisions

3. 12 pension plan

3. 13 summary

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Chapter 4 Mutual Funds and Hedge Funds

4. 1 mutual fund

4.2 Hedge funds

4.3 Hedge Fund Strategy

4.4 Revenue of Hedge Funds

4.5 Summary

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Chapter V Financial Products

5. 1 market

5.2 Long and short positions of assets

5.3 derivative products market

5.4 The most basic derivative products

5.5 security deposit

5.6 Non-traditional derivatives

5.7 Special Options and Structured Products

5.8 Challenges of Risk Management

5.9 Summary

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Chapter 6 How Traders Manage Risk Exposure

Chapter VII Interest Rate Risk

Chapter 8 Value at Risk

Chapter IX Volatility

9. Definition of1volatility

9.2 implied volatility

9.3 Estimating volatility using historical data

9.4 Does the daily change of financial variables obey the normal distribution?

9.5 Monitor daily fluctuations

9.6 exponential weighted moving average model

9.7 GARCH (1, 1) model

9.8 Model selection

9.9 maximum likelihood estimation method

9. 10 GARCH( 1, 1) model is used to predict volatility.

9. 1 1 Summary

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10 correlation coefficient and Copula function

Definition of correlation coefficient 10. 1

10.2 monitoring correlation coefficient

10.3 multivariate normal distribution

10.4 Copula function

10.5 apply Copula function to loan portfolio.

10.6 summary

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Chapter 1 1 Bank Management Treaty, New Basel Accord and Solvency Act Ⅱ

1 1. 1 reasons for supervising bank capital

Before 1 1.2 1988

1 1.3 1988 Basel Accord

Policy recommendation of 1 1.4 G30

1 1.5 net settlement

1 1.6 1996 revision

1 1.7 New Basel Accord

1 1.8 Credit Risk Capital in the New Basel Accord

1 1.9 Handling of operational risks in the New Basel Accord

1 1. 10 Pillar 2: Monitoring and review procedures

11.11Pillar 3: Market discipline

Improvement of the New Basel Accord

1 1. 13 solvency bill II

1 1. 14 summary

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Chapter 12 Market Risk: Historical Simulation Method

12. 1 method

Accuracy of 12.2 VaR

12.3 popularization of historical simulation method

12.4 extreme value theory

Application of 12.5 extreme value theory

12.6 summary

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Chapter 13 Market Risk: Model Construction Method

The basic methodology of 13. 1

13.2 Promotion

13.3 correlation matrix and covariance matrix

13.4 interest rate variable processing

Application of 13.5 linear model

13.6 linear model and optional products

13.7 quadratic model

13.8 Monte Carlo simulation

13.9 assumption of non-normal distribution

Comparison between 13. 10 model construction method and historical simulation method

13. 1 1 summary

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Chapter 14 Credit Risk: Estimating Default Probability

14. 1 credit rating

14.2 historical default probability

14.3 recovery rate

14.4 credit default swap

14.5 credit overflow

14.6 credit overflow default probability estimation

14.7 Comparison of Default Probability

14.8 estimate default probability by stock price.

14.9 summary

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Chapter 15 Credit Risk Loss and Credit Risk Value

Credit loss estimation 15. 1

15.2 credit risk mitigation

15.3 credit risk value

15.4 watt Siczek model and Merton model.

15.5 credit risk plus

15.6 credit indicators

15.7 summary

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Chapter 16 Asset-backed securities, debt-backed bonds and the credit crunch in 2007

16. 1 American housing market

16.2 securitization

16.3 pricing error

Avoid future crises.

Synthesis of 16.5 CDO

16.6 summary

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Chapter 17 Scenario Analysis and Stress Testing

17. 1 Generate analysis scenario

17.2 regulation

65438+

17.4 summary

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Chapter 18 Operational Risk

18. 1 What is operational risk?

18.2 calculation method of operational risk regulatory capital

18.3 operational risk classification

18.4 loss degree and loss frequency

18.5 prospective method

18.6 operational risk capital allocation

18.7 applying power law distribution

18.8 insurance

18.9 sarbanes-oxley act

18. 10 summary

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Chapter 19 Liquidity Risk

19. 1 transaction liquidity risk

19.2 financing liquidity risk

19.3 moving black hole

19.4 summary

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Chapter 20 Model Risk

20. 1 Mark to market pricing day by day

20.2 linear product model

20.3 Physics and Finance

20.4 How to apply the pricing model to standard products?

20.5 hedging

20.6 Non-standard product model

20.7 Dangers in Modeling

20.8 problems in the detection model

20.9 Summary

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Chapter 265438 +0 Economic Capital and RAROC

2 1. 1 Definition of economic capital

2 1.2 composition of economic capital

2 1.3 loss distribution shape

2 1.4 Relative importance of risk

2 1.5 summary of economic capital

2 1.6 risk diversification income distribution

2 1.7 Deutsche Bank's economic capital

2 1.8 RAROC

2 1.9 summary

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Chapter 22 Significant Financial Losses and Its Reference Significance

Appendix a compound interest rate frequency

Appendix B Zero Interest Rate, Forward Interest Rate and Zero Yield

Appendix C Pricing of Forward Contracts and Futures Contracts

Appendix d swap contract pricing

Appendix e European option pricing

Appendix f American option pricing

Appendix g Taylor series expansion

Appendix h eigenvectors and eigenvalues

Appendix I Principal Component Analysis

Appendix J's Treatment of Credit Transfer Matrix

The answer to the exercise question

term

Derived software description

The value of N(x) when x≤0.

The value of N(x) when x≥0.