Marker Kisk MEASUREMENT AND MANAGEMENT. 1: Estimating Markee Risk Measures 4 2: Non-parametric Approaches 28 —3+ Modeling Dependencer Gorrelations-ered- Goptlas 38 4 Parametric Approaches (II): Extreme Value 45 5: Backeresting VaR 54 6: VaR Mapping, 2 Fi The Best of Both Werlderd Hybrid Approach to Geletlading Value at Risk R Ni Method for Value at Risk 84 9: Messages fim the Academic: Lirerarure on Risk Measurement for the Trading Book 3 SRO McOLs 1 cbt De bi 2 11: The Science of Term Structure Models 110 12:"The Evolution of Short Rates and the Shape of the Term Structure 126 13: The Art of Term Structure Models: Drift “a 14: The Art of Term Structure Models: Volatility and Distribution 156 15: Volatility Smiles 166 i Beene Matin are teeta TSF OTERTEN oF MOIEARE aM THE CONSUME MOPEARE Meare 203 9 Brerrie of he Morrgage Backed Securities Marker 445Crepit Risk MEASUREMENT AND MANAGEMENT 21: The Credit Decision i 22: The Credit Analyse 25 23: Default Risk: Quantitative Methodologies 38 24: Credit Risks and Credit Derivatives 50 25: Credic and Counterparty Risk 75 26: Spread Risk and Default Intensity Models 95 27: Portfolio Credit Risk M1 28: Structured Credit Risk 125 ): Defining Counterparty Credit Risk 146 30: Netting, Compression, Resets, and Termination Features 156 31: Collateral 164 32: Credit Exposure 175, 33: Default Probability, Credit Spreads, and Credit Derivatives 194 34: Credit Value Adjustment 208 35: Wrong-Way Risk 217 36: Credit Derivatives and Credir-Linked Nores 227 37: The Structuring Process 239 38: Securitization 248 39: 40: Understanding the Securitization of Subprime Mortgage Credit 21 ‘ash Collateralized Debt Obligations 258OpeRarionaL AND INTEGRATED Risk MANAGEMENT 41: Principles for the Sound Management of Operational Risk 13 a 44: Enterprise Risk Management: Theory and Practice 48 45: Capital Allocation and Performance Measurement 58 4G: Range of Practices and Issues in Economic Capital Frameworks 7 47: Estimating Liquidity Risks 86 48: Model Risk 101 49: Assessing the Quality of Risk Measures 109 50: Liquidity and Leverage 120 51: Observations on Developments in Risk Appetite Frameworks and IT Infraseruccure 140 rt nr re cpr 53: Stress Testing Banks 162 54; Failure Mechanics of Dealer Banks 173 55: Basel I: International Convergence of Capital Measurement and Capital Standards 184 56: Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems 212 57: Basel II: The Liquidity Coverage Ratio and. Liquidity Risk Monitoring Tools 231 58: Revisions co the Basel Il Market Risk Framework 248 59: Operational Risk—Supervisory Guidelines for the Advanced Measurement Appra: 256 oor Compaatve Assessment of taset thtttamt Sotvencytt——271-Risk MANAGEMENT AND INVESTMENT MANAGEMENT, 61: Portfolio Construction 62: Portfolio Risk: Analytical Methods 63: VaR and Risk Budgeting in Investment Management 64: Risk Monitoring and Performance Measurement 65: Portfolio Performance Evaluation 66: Performing Due Diligence on Specific Managers and Funds 67: Hedge Funds Current Issues IN FINANCIAL MARKETS Risks and Abuses—Executive Summary United States, European Union, and Singapore Supervisory Expectations and Range of Current Practice s ivrens Caalicoaiil F Seabilieys An International Perspective u 23 40 56 67 89 103 5 132 152 167 179 194 205 219