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《风险管理与金融机构（第4版）》（Risk Management and Financial Institutions （4th Edition））侧重讲述银行和其他金融机构所面临的风险，是约翰·赫尔教授（John C．Hull）三部主要作品中的一部，也是全球通用的金融风险管理必备之工具书，需要特别指出的是，本书在讨论风险管理过程中，对数学的运用是十分谨慎的，很好地实现了可读性与严谨性之间的平衡，这也是本书在业界长盛不衰的重要原因。本书的第四版目前只有英文版，由Wiley & Sons, Inc.于2015年出版，风控博士沙龙与广大中国读者都十分期待第四版中文版的早日出版。 作者简介 约翰 C．赫尔（John C．Hull）是多伦多大学罗特曼管理学院的衍生产品和风险管理教授，在衍生产品和风险管理领域享有盛名，著有《期权、期货和其他衍生产品》（Options,Futures,and Other Derivatives）、《期权与期货市场基本原理》（Fundamentals of Futures and Options Markets）以及《风险管理与金融机构》（Risk Management and Financial Institutions）等金融专著。 第四版前言（节选） Risk management practices and the regulation of financial institutions have continued to evolve in the past three years. Risk Management and Financial Institutions has been expanded and updated to reflect this. Like my other popular text Options, Futures, and Other Derivatives, the book is designed to be useful to practicing managers as well as college students. Those studying for GARP and PRMIA qualifications will find the book particularly helpful. The book is appropriate for university courses in either risk management or financial institutions. It is not necessary for students to take a course on options and futures markets prior to taking a course based on this book. But if they have taken such a course, some of the material in the first nine chapters does not need to be covered. The level of mathematical sophistication and the way material is presented have been managed carefully so that the book is accessible to as wide an audience as possible. For example, when covering copulas in Chapter 11, I present the intuition followed by a detailed numerical example; when covering maximum likelihood methods in Chapter 10 and extreme value theory in Chapter 13, I provide numerical examples and enough details for readers to develop their own Excel spreadsheets. I have also provided my own Excel spreadsheets for many applications on my website: www-2.rotman.utoronto.ca/～hull. This is a book about risk management, so there is very little material on the valuation of derivatives. (This is the main focus of my other two books, Options, Futures, and Other Derivatives and Fundamentals of Futures and Options Markets.) The appendices at the end of the book include material that summarizes some of the valuation key results that are important in risk management, and the DerivaGem software can be downloaded from my website. 第四版新增的内容 The fourth edition has been fully updated and contains much new material. In particular: 1. There is a new chapter comparing scenario analysis to valuation (Chapter 7). The chapter introduces the reader to the statistical processes often assumed for market variables (without any stochastic calculus), explains Monte Carlo simulation, and distinguishes between the real and risk-neutral worlds. 2. There is a new chapter on the Fundamental Review of the Trading Book (Chapter 17). This is an important new proposal from the Basel Committee. 3. There is a new chapter on margin, OTC markets, and central counterparties (CCPs) (Chapter 18). This covers recent developments in the trading of over-the-counter derivatives and introduces the reader to a number of credit risk issues. 4. There is a new chapter on enterprise risk management (Chapter 27). This discusses risk appetite, risk culture, and the importance of taking a holistic approach to risk management. 5. The sequencing of the material in the book has been improved. For example, the calculation of value at risk and expected shortfall is now covered immediately after these risk measures are introduced. The book is now divided into six parts: financial institutions and their trading, market risk, regulation, credit risk, other topics, and appendices. 6. There is more emphasis throughout the book on the use of expected shortfall. This is consistent with the Basel Committee’s plans for changing the way market risk capital is calculated (see Chapter 17). 7. The material on credit value adjustment (CVA) and debit value adjustment (DVA) has been restructured and improved (see Chapter 20). 8. A new simpler method for taking volatility changes into account in the historical simulation method is presented (Chapter 13). 9. There are many new end-of-chapter problems. 10. A great deal of software on the author’s website accompanies the book. 第四版目录 Business Snapshots Preface Chapter 1: Introduction PART ONE : FINANCIAL INSTITUTIONS AND THEIR TRADING Chapter 2: Banks Chapter 3: Insurance Companies and Pension Plans Chapter 4: Mutual Funds and Hedge Funds Chapter 5: Trading in Financial Markets Chapter 6: The Credit Crisis of 2007 Chapter 7: Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds PART TWO : MARKET RISK Chapter 8: How Traders Manage Their Risks Chapter 9: Interest Rate Risk Chapter 10: Volatility Chapter 11: Correlations and Copulas Chapter 12: Value at Risk and Expected Shortfall Chapter 13: Historical Simulation and Extreme Value Theory Chapter 14: Model-Building Approach PART THREE : REGULATION Chapter 15: Basel I, Basel II, and Solvency II Chapter 16: Basel II.5, Basel III, and Other Post-Crisis Changes Chapter 17: Fundamental Review of the Trading Book PART FOUR : CREDIT RISK Chapter 18: Managing Credit Risk: Margin, OTC Markets, and CCPs Chapter 19: Estimating Default Probabilities Chapter 20: CVA and DVA Chapter 21: Credit Value at Risk PART FIVE : OTHER TOPICS Chapter 22: Scenario Analysis and Stress Testing Chapter 23: Operational Risk Chapter 24: Liquidity Risk Chapter 25: Model Risk Chapter 26: Economic Capital and RAROC Chapter 27: Enterprise Risk Management Chapter 28: Risk Management Mistakes to Avoid PART SIX : APPENDICES Appendices Answers to Questions and Problems Glossary DerivaGem Software Tables for N(x) Index  微信号：Dr_CRO  |
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