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020			_a9789390395637
082			_a658.15 _bARO
100			_aArora, R. K _918539
245			_aFinancial risk management
260			_bWiley India Pvt. Ltd. _aNew Delhi _c2021
300			_axxiv, 379 p.
365			_aINR _b779.00
500			_aTable of content: Chapter 1 Introduction to Financial Risk Management 1.1 Introduction 1.2 Risk Management 1.3 Benefits of Risk Management 1.4 Types of Risks 1.5 Financial Markets 1.6 Types of Financial Risks 1.7 Market Risk 1.8 Credit/Counterparty Risk 1.9 Operational Risk 1.10 Model Risk 1.11 Risk and Risk Factors 1.12 Financial Risk Management 1.13 Steps in the Risk Management Process Chapter 2 Market Risk: Sensitivity Measures 2.1 Introduction 2.2 Sensitivity Measures of Market Risk Chapter 3 Volatility and Correlation 3.1 Introduction 3.2 Estimation of Volatility 3.3 Standard Approach 3.4 Weighting Schemes 3.5 The ARCH Model 3.6 The EWMA Model 3.7 GARCH (1,1) Model 3.8 Forecasting Future Volatility for Option Pricing 3.9 Component GARCH Model 3.10 Asymmetric Volatility 3.11 Implied Volatilities 3.12 Volatility Indices 3.13 Predicting Correlations Chapter 4 Value at Risk and Expected Shortfall 4.1 Introduction 4.2 Value at Risk 4.3 Expected Shortfall (ES) 4.4 Choice of VaR Parameters 4.5 Aggregation of VaR and ES 4.6 Calculating VaR 4.7 Parametric and Nonparametric VaR 4.8 HS Approach 4.9 Monte Carlo Simulation Approach 4.10 Parametric VaR 4.11 VaR for Non-normal Distributions 4.12 Parametric Versus Nonparametric VaR 4.13 Marginal VaR 4.14 Component VaR 4.15 Back Testing 4.16 Stress Testing 4.17 Risk Metrics Chapter 5 Management of Market Risk 5.1 Introduction 5.2 Portfolio Diversification 5.3 Hedging 5.4 Insurance-Type Contracts 5.5 Portfolio Insurance 5.6 Internal Hedges 5.7 Basel Guidelines Chapter 6 Estimating Default and Migration Probabilities 6.1 Introduction 6.2 Credit Risk VaR 6.3 Measuring Probability of Default 6.4 Migration Probabilities 6.5 Basel Guidelines Chapter 7 Credit Value at Risk 7.1 Introduction 7.2 Exposure at Default 7.3 Loss Given Default 7.4 Credit Risk Correlations 7.5 Expected and Unexpected Loss 7.6 Credit Risk Models Chapter 8 Credit Risk Management 8.1 Introduction 8.2 Marking-to-Market 8.3 Netting 8.4 Collateralization 8.5 Downgrade Triggers 8.6 Loan Syndication 8.7 Guarantees and Letters of Credit 8.8 Credit Rationing 8.9 Debt Covenants 8.10 Monitoring 8.11 Put options 8.12 Credit Derivatives 8.13 Credit insurance 8.14 Securitization 8.15 Basel Guidelines Chapter 9 Operational Risk 9.1 Introduction 9.2 Types of Operational Risk Losses 9.3 Measurement of Operational Risk 9.4 Managing Operational Risk Chapter 10 Liquidity Risk 10.1 Introduction 10.2 Types of Liquidity Risk 10.3 Funding Liquidity Risk 10.4 Managing Liquidity Risk 10.5 Liquidity Black Holes 10.6 Basel III Regulations Chapter 11 Model Risk 11.1 Introduction 11.2 Models for Pricing Standard Products 11.3 Models for Non-standard Products 11.4 Sources of Model Risk 11.5 Quantifying Model Risk 11.6 Managing Model Risk 11.7 Regulatory Requirement 11.8 Model Development 11.9 Model Validation Chapter 12 Asset Liability Management 12.1 Introduction 12.2 Objectives of ALM 12.3 Interest Rate Risk 12.4 Liquidity Funding Risk 12.5 Organization of the ALM Function 12.6 Reserve Bank of India Guidelines on ALM by Indian Banks Chapter 13 Enterprise Risk Management 13.1 Introduction 13.2 Economic Capital 13.3 Risk Appetite 13.4 Risk Culture 13.5 Top-down Approach 13.6 Bottom-up Approach 13.7 Risk Allocation 13.8 Risk-Adjusted Performance Measurement 13.9 Risk-Based Pricing Chapter 14 Financial Innovation 14.1 Introduction 14.2 Important Financial Innovations 14.3 Role of Finance Theories and Models in Stimulating Financial Innovation 14.4 Factors that Motivate Financial Innovation 14.5 Diffusion of Financial Innovations 14.6 Classification and Functions of the Financial Innovations 14.7 Implications of Innovations on Financial Markets 14.8 The Future of Financial Innovation Chapter 15 Role of Analytics in Risk Management 15.1 Introduction 15.2 Types of Data Analytics 15.3 Steps in Risk Analytics 15.4 Financial Risk Analytics 15.5 Benefits of Risk Analytics 15.6 Challenges in Use of Data Analytics Summary Glossary Assignment Material Caselets Appendix A Sovereign Risk and Financial Crisis A.1 Introduction A.2 Sovereign Risk A.3 Credit Crisis 2007 A.4 Flash Crashes Appendix B Solvency II Guidelines B.1 Introduction B.2 Objectives of Solvency II B.3 Applicability B.4 Pillars Appendix C Introduction to Probability Theory C.1 Probability C.2 Properties of Probability C.3 Characteristics of Probability Distributions Appendix D Introduction to Financial Derivatives D.1 Derivative D.2 Types of Derivative Contracts D.3 Put-call Parity Theorem Appendix E Financial Risk Management during COVID-19 Index [https://www.wileyindia.com/management-textbooks/financial-risk-management.html]
520			_aFinancial Risk Management is designed to provide the readers with a stronger foundation in measurement and management of financial risks. This book takes the readers through the subject in a step-wise manner with the aim of providing necessary knowledge and skills for evaluating and dealing with financial risks. This book is primarily meant for graduate students of Management, and it would also prove helpful to the students intending to appear in the FRM examination conducted by Global Association of Risk Professionals (GARP) as well as practicing risk managers (https://www.wileyindia.com/management-textbooks/financial-risk-management.html)
650			_aFinancial risk management
942			_cBK _2ddc
999			_c8050 _d8050