| Foreword Preface Acnowledgments CHAPTER 1 Introduction 1.1 The Contents of This Book 1.2 The Use of Mathematics in This Book 1.3 Overview 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 Conduct of Customer Business CHAPTER 5 Managing Market Risk 5.1 Risk Measurement 5.2 Risk Control CHAPTER 6 Model Risk 6.1 The Role of Models in Man aging Risk 6.2 Model Control 6.3 Mark to Market vs Mark to Model CHAPTER 7 Managing Spot Risk CHAPTER 8 Managing Forward Risk CHAPTER 9 Managing Vanilla Options Risk CHAPTER 10 Managing Exotic Options Risk CHAPTER 11 Var and Stress Testing CHAPTER 12 Credit Bisk Appendix: Spreadsheet Calculators Bibliography About the CD-ROM Index |
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