GlobalRiskManagementAQuantitativeGuide-Chen

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1、1GlobalRiskManagement:AQuantitativeGuideRen-RawChen,Ph.D.December10,2013iPublishedbyGlobalSocialScienceInstituteLibraryofCongressControlNumber1234567890Chen,Ren-RawGlobalFinancialRiskManagement{AQuantitativeGuide/Ren-RawChenISBN1234567890123Copyrightc2014by

2、GlobalSocialScienceInstituteAllrightsreserved.Thisbook,orpartsthereof,maynotbereproducedinanyformorbyanymeans,electronicormechanical,includingphotocopying,recordingoranyinformationstorageandretrievalsystemnowknownortobeinvented,withoutwrittenpermissionfromt

3、hePublisher.iiContentsContentsiPrefaceixAcknowledgementsxiNotationxiii1MathPrimer11.1LinearAlgebra..............................11.1.1Addition/subtraction.......................11.1.2Multiplication/Division......................11.1.3Scaling................

4、...............21.1.4Power...............................21.2Calculus..................................21.3Statistics..................................31.3.1RandomVariable.........................41.3.2StochasticProcess........................41.3.3dSand
S.

5、...........................41.3.4NormalDistribution.......................52Overview72.1Introduction................................72.1.1Businessrisksversusnancialrisks...............7iiiivCONTENTS2.1.2Financialrisks...........................82.1.3Waysto

6、measureandmanagetheserisks............112.2ReviewofSimpleHedging........................112.3MarketRisk................................122.3.1ValueatRisk...........................132.3.2StressTest.............................152.4CreditRisk................

7、................152.4.1Sourcesofcreditrisk.......................162.4.2Creditriskmetrics........................182.5LiquidityRisk...............................192.6OperationalRisk(Wiki).........................202.7RiskManagementModelingBuildingBlocks...

8、...........212.7.1BasicModelsbyAssetClass...................212.7.2RiskManagementToolsavailable................222.8BaselAccords...............................222.8.1BaselI.............................