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1、CONTENTSINBRIEFBusinessSnapshotsxiiiPrefacexv1.Introduction12.FinancialProductsandHowTheyareUsedforHedging273.HowTradersManageTheirExposures554.InterestRateRisk795.Volatility1ll6.CorrelationandCopulas1437.BankRegulationandBaselII1658.TheVaRMeasure1959.MarketRiskVaR:H

2、istoricalSimulationApproach21710.MarketRiskVaR:Model-BuildingApproach23311.CreditRisk:EstimatingDefaultProbabilities25512.CreditRiskLossesandCreditVaR27713.CreditDerivatives29914.OperationalRisk32115.ModelRiskandLiquidityRisk34316.EconomicCapitalandRAROC36517.Weather

3、,Energy,andInsuranceDerivatives38518.BigLossesandWhatWeCanLearnfromThem395AppendixA:ValuingForwardandFuturesContracts407AppendixB:ValuingSwaps409AppendixC:ValuingEuropeanOptions413AppendixD:ValuingAmericanOptions417AppendixE:ManipulationofCreditTransitionMatrices421A

4、nswerstoQuestionsandProblems423GlossaryofTerms457DerivagemSoftware479TablesforN(x)484Index487ContentsBusinessSnapshotsxiiiPrefacexvChapter1Introduction11.1Riskvs.returnforinvestors21.2Riskvs.returnforcompanies121.3Bankcapital151.4Approachestomanagingrisk181.5Themanag

5、ementofnetinterestincome20Summary22Furtherreading23Questionsandproblems24Assignmentquestions25Chapter2Financialproductsandhowtheyareusedforhedging272.1Themarkets272.2Whentohedge282.3The"plainvanilla"products302.4Usingtheproductsforhedging432.5Exoticoptionsandstructur

6、eddeals462.6Dangers48Summary48Furtherreading50Questionsandproblems50Assignmentquestions53Chapter3Howtradersmanagetheirexposures553.1Delta553.2Gamma633.3Vega653.4Theta673.5Rho693.6CalculatingGreekletters693.7Taylorseriesexpansions703.8Therealitiesofhedging72viiiConten

7、ts3.9Hedgingexotics733.10Scenarioanalysis74Summary75Furtherreading76Questionsandproblems76Assignmentquestions78Chapter4Interestraterisk794.1Measuringinterestrates804.2Zeroratesandforwardrates834.3Treasuryrates854.4LIBORandswaprates874.5Duration894.6Convexity934.7Appl

8、icationtoportfolios944.8Nonparallelyieldcurveshifts964.9Interestratedeltas984.10Principalcomponentsanalysis1004.11Gammaandvega104Su