Risk Management: The Swaps & Financial Derivatives Library

Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).

RISK MANAGEMENT PRINCIPLES.

17.  Framework For Risk Management.

MARKET RISK.

18.  Market Risk Measurement.

19.  Stress Testing.

20. Portfolio Valuation/Mark–To–Market.

CREDIT RISK.

21. Derivative Credit Risk: Measurement.

22. Derivative Credit Exposure: Management & Credit Enhancement.

23. Derivative Product Companies.

OTHER RISKS.

24. Liquidity Risk.

25. Model Risk.

26. Operational Risk.

ORGANISATION OF RISK MANAGEMENT.

27. Risk Management Function.

28. Risk Adjusted Performance Management.

OPERATIONAL ASPECTS.

29. Operational, Systems & Technology Issues.

30. Legal Issues and Documentation.

31. Accounting Issues.

32. Taxation Aspects of Swaps and Financial Derivatives.

REGULATORY ASPECTS OF DERIVATIVES.

33. Credit Risk: Regulatory Framework.

Appendix: Basle II.

34. Market Risk: Regulatory Framework.

Appendix: Basle 1996.

Introduction.

RISK MANAGEMENT PRINCIPLES.

1.  Framework For Risk Management.

MARKET RISK.

2.  Market Risk Measurement Value at Risk Models.

3.  Stress Testing.

4. Portfolio Valuation/Mark–To–Market.

CREDIT RISK.

5. Derivative Credit Risk: Measurement.

6. Derivative Credit Exposure: Management & Credit Enhancement.

7. Derivative Product Companies.

OTHER RISKS.

8. Liquidity Risk.

9. Model Risk.

10. Operational Risk.

ORGANISATION OF RISK MANAGEMENT.

11. Risk Management Function.

12. Risk Adjusted Performance Management.

OPERATIONAL ASPECTS.

13. Operational, Systems & Technology Issues.

14. Legal Issues and Documentation.

15. Accounting Issues.

16. Taxation Aspects of Swaps and Financial Derivatives.

REGULATORY ASPECTS OF DERIVATIVES.

17. Credit Risk: Regulatory Framework.

Appendix: Basle II.

18. Market Risk: Regulatory Framework.

Appendix: Basle 1996.

Index.

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.