第一章 绪论 第二章 我国利率市场化进程、制约因素与趋势 第三章 利率市场化背景下我国商业银行面临的利率风险及管理现状 第四章 我国商业银行利率风险管理中基准利率的选择、期限结构构造及利率预测 第五章 我国商业银行利率风险衡量方法...

第一篇 风险与风险管理 第二篇风险测量 第三篇 信用风险 第四篇 流动性风险和利率风险 第五篇 市值及利率风险管理 第六篇 定量资本管理 第七篇 风险资本 第八篇业务组合的信用风险和市场风险 第九篇 银行内部资金转移定价 第十章 资本分配及资产组合管理 第...

第一部分 利率期权 第一章 金融期权 第二章 借方期权和贷方期权 第三章 借方期权和贷方期权结算 第四章 利率上限、下限和双限期权 第五章 期权价格 第六章 场外交易期权的使用 第七章 利率定价中的数学 第二部分 利率互换 第一章 导论 第二章 什么是利率互换...

Part one: Basic Option Theory Part two: Numerical Methods Part there: Further Option Theory Part four: Interest Rate Derivative Products Hints to Selected Exercises...

Contents Acknowledgments 2 Preface 8 Part I. Asset pricing theory 12 1 Consumption-based model and overview 13 1.1 Basic pricing equation 14 1.2 Marginal rate of substitution/stochastic discount factor 16 1.3 Prices, payoffs and notation 1...

Despite the fact that they have experienced tremendous growth, credit derivatives have been described by some industry observers as incendiary risk devices just waiting to explode. But is there any truth behind that perception? How risky a...

CONTENTS Section Page Executive Summary The Evolving Credit Derivatives market 2 The Motivation for Credit Derivatives Credit Derivative Instruments Overview to Credit Derivative Instruments Default Swaps Portfolio Default Swaps Credit Spr...

PREFACE vii ABOUT THE AUTHORS ix CHAPTER 1 Introduction 1 CHAPTER 2 Types of Credit Risk 23 CHAPTER 3 Credit Default Swaps 47 CHAPTER 4 Asset Swaps and the Credit Default Swap Basis 81 CHAPTER 5 Total Return Swaps 99 CHAPTER 6 Credit-Linke...

Product Description Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale...

Contents General Probability Theory 1 1.1 Infinite Probability Spaces 1 1.2 Random Variables and Distributions 7 1.3 Expectations 13 1.4 Convergence of Integrals 23 1.5 Computation of Expectations 27 1.6 Change of Measure 32 1.7 Summary 39...