Financial Risk Management / Wiley Finance Editions (PDF)

Foreword Preface Acknowledgments Chapter 1: Introduction 1.1 Lessons from a Crisis 1.2 Financial Risk and Actuarial Risk 1.3 Simulation and Subjective Judgment Chapter 2: Institutional Background 2.1 Moral Hazard???Insiders and Outsiders 2.2 Ponzi Schemes 2.3 Adverse Selection 2.4 The Winner?s Curse 2.5 Market Making versus Position Taking Chapter 3: Operational Risk 3.1 Operations Risk 3.2 Legal Risk 3.3 Reputational Risk 3.4 Accounting Risk 3.5 Funding Liquidity Risk 3.6 Enterprise Risk 3.7 The Identification of Risks 3.8 Operational Risk Capital Chapter 4: Financial Disasters 4.1 Disasters Due to Misleading Reporting 4.2 Disasters Due to Large Market Moves 4.3 Disasters Due to the Conduct of Customer Business Chapter 5: The Systemic Disaster of 2007-2008 5.1 Overview 5.2 The Crisis in CDOs of Subprime Mortgages 5.3 The Spread of the Crisis 5.4 Lessons from the Crisis for Risk Managers 5.5 Lessons from the Crisis for Regulators 5.6 Broader Lessons from the Crisis Chapter 6: Managing Financial Risk 6.1 Risk Measurement 6.2 Risk Control Chapter 7: VaR and Stress Testing 7.1 VaR Methodology 7.2 Stress Testing 7.3 Uses of Overall Measures of Firm Position Risk Chapter 8: Model Risk 8.1 How Important is Model Risk? 8.2 Model Risk Evaluation and Control 8.3 Liquid Instruments 8.4 Illiquid Instruments 8.5 Trading Models Chapter 9: Managing Spot Risk 9.1 Overview 9.2 Foreign Exchange Spot Risk 9.3 Equity Spot Risk 9.4 Physical Commodities Spot Risk Chapter 10: Managing Forward Risk 10.1 Instruments 10.2 Mathematical Models of Forward Risks 10.3 Factors Impacting Borrowing Costs 10.4 Risk-Management Reporting and Limits for Forward Risk Chapter 11: Managing Vanilla Options Risk 11.1 Overview of Options Risk Management 11.2 The Path Dependence of Dynamic Hedging 11.3 A Simulation of Dynamic Hedging 11.4 Risk Reporting and Limits 11.5 Delta Hedging 11.6 Building a Volatility Surface 11.7 Summary Chapter 12: Managing Exotic Options Risk 12.1 Single-Payout Options 12.2

STEVEN ALLEN is a risk management consultant, specializing in risk measurement and valuation with a particular emphasis on illiquid and hard-to-value assets. Until his retirement in 2004, he was Managing Director in charge of risk methodology at JPMorgan Chase, where he was responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase's value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for all Chase trading activities for over ten years. Since 1998, Allen has been associated with the Mathematics in Finance Master's Program at New York University's Courant Institute of Mathematical Sciences. In this program, he has served as Clinical Associate Professor and Deputy Director and has created and taught courses in risk management, derivatives mathematics, and interest rate and credit models. He was a member of the board of directors of the International Association of Financial Engineers and continues to serve as co-chair of their Education Committee.

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