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
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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.