Table of Contents

Introduction. Risk Management: Definitions and Objectives. Chapter 1. A risk management synthesis: Market risk, credit risk, liquidity risk and asset and liability management. Chapter 2. Risk, return and performance. Chapter 3. Capital regulation, risk management and performance. Risk Management Techniques Interest Rate Analytics. Chapter 4. Interest rate risk introduction and overview. Chapter 5. Interest rate risk mismatching and hedging. Chapter 6. Traditional interest rate risk analysis: Gap analysis and simulation models. Chapter 7. Fixed income mathematics: the basic tools. Chapter 8. Yield curve smoothing. Chapter 9. Duration and convexity. Chapter 10. Duration as a term structure model. Chapter 11. Vasicek and extended Vasicek models. Chapter 12. Alternative Term Structure models. Chapter 13. Estimating the parameters of term structure models. Credit Risk Models. Chapter 14. An introduction to credit risk: Using market signals in loan pricing and performance measurement. Chapter 15. Traditional approaches to credit risk: ratings and transition matrices. Chapter 16. Structural credit models: An introduction to the Merton approach. Chapter 17. Reduced form credit models. Chapter 18. Credit spread fitting and modeling. Interest Rate and Credit Model Testing. Chapter 19. Tests of credit models using historical data. Chapter 20. Tests of credit models using market data. Chapter 21. Tests of interest rate models using a credit risk approach. Risk Management Applications, Instrument by Instrument. Chapter 22. Valuing credit risky bonds. Chapter 23. Credit derivatives and collateralized debt obligations. Chapter 24. Risk--neutral interest rates and European options on bonds. Chapter 25. Forward and futures contracts. Chapter 26. European options on forward and futures contracts. Chapter 27. Caps and floors. Chapter 28. Interest rate swaps and swaptions. Chapter 29. Exotic swap and option structures. Chapter 30. American fixed--income options. Chapter 31. Irrational exercise of fixed income options. Chapter 2. Mortgage--backed securities. Chapter 33. Non--maturity deposits. Chapter 34. Foreign exchange markets: a term structure model approach. Chapter 35. Impact of Collateral on valuation models. Chapter 36. Pricing and valuing revolving credit and other facilities. Chapter 37. Modeling common stock and convertible bonds on a default--adjusted basis. Chapter 38. Valuing insurance policies and pension obligations. Portfolio Strategy and Risk Management. Chapter 39. Risk management objectives revisited at the portfolio and company level. Chapter 40. Liquidity analysis and management. Chapter 41. Performance measurement: Plus alpha vs. transfer pricing. Chapter 42. Managing institutional default risk and "safety and soundness. Chapter 43. Information technology considerations. Chapter 44. Shareholder value creation and destruction. Bibliography. Index.

About the Author

Donald R. Van Deventer founded the Kamakura Corporation in April 1990 and is currently President. In 2003, he was voted into the Risk Hall of Fame for having made a profound contribution to the field of risk management. He has been involved in financial advisory assignments involving both risk management and mergers and acquisitions, for the municipalities affected in the Orange County bankruptcy, in a major derivatives dispute between JPMorgan and a Korean securities firm, Bank Negara Malaysia, ITT Financial Corporation and many other leading institutions. Prior to founding Kamakura Corporation, he was Senior Vice President of in the investment banking department of Lehman Brothers (then Shearson Lehman Hutton). From 1982 to 1987, he was the treasurer for First Interstate Bancorp in LA, USA. He holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration.