{"product_id":"handbook-of-market-risk-9781118127186","title":"Handbook of Market Risk","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eAuthored by an acknowledged expert in the quantification of market risk, this one-stop guide conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword xv\u003c\/p\u003e \u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003eAbout the Author xix\u003c\/p\u003e \u003cp\u003eIntroduction xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction to Financial Markets 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 The Money Market 4\u003c\/p\u003e \u003cp\u003e1.2 The Capital Market 5\u003c\/p\u003e \u003cp\u003e1.2.1 The Bond Market 6\u003c\/p\u003e \u003cp\u003e1.2.1.1 The Present Value Concept 7\u003c\/p\u003e \u003cp\u003e1.2.1.2 Types of Bonds 10\u003c\/p\u003e \u003cp\u003e1.2.2 The Stock Market 16\u003c\/p\u003e \u003cp\u003e1.3 The Futures and Options Market 19\u003c\/p\u003e \u003cp\u003e1.4 The Foreign Exchange Market 22\u003c\/p\u003e \u003cp\u003e1.5 The Commodity Market 22\u003c\/p\u003e \u003cp\u003eFurther Reading 26\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 The Efficient Markets Theory 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Assumptions behind a Perfectly Competitive Market 28\u003c\/p\u003e \u003cp\u003e2.2 The Efficient Market Hypothesis 30\u003c\/p\u003e \u003cp\u003e2.2.1 Strong EMH 31\u003c\/p\u003e \u003cp\u003e2.2.2 Semi-Strong EMH 32\u003c\/p\u003e \u003cp\u003e2.2.3 Weak-Form EMH 32\u003c\/p\u003e \u003cp\u003e2.3 Critics of Efficient Markets Theory 33\u003c\/p\u003e \u003cp\u003e2.4 Development of Behavioral Finance 35\u003c\/p\u003e \u003cp\u003e2.5 Beating the Market: Fundamental versus Technical 35\u003c\/p\u003e \u003cp\u003e2.5.1 Fundamental Methods 36\u003c\/p\u003e \u003cp\u003e2.5.1.1 Price Earnings Ratio 37\u003c\/p\u003e \u003cp\u003e2.5.1.2 Price to Book 37\u003c\/p\u003e \u003cp\u003e2.5.1.3 Price to Cash Flow 38\u003c\/p\u003e \u003cp\u003e2.5.1.4 Return on Equity 38\u003c\/p\u003e \u003cp\u003e2.5.1.5 Price to Earnings to Growth Ratio 38\u003c\/p\u003e \u003cp\u003e2.5.2 Technical Analysis 39\u003c\/p\u003e \u003cp\u003e2.5.2.1 Average True Range 39\u003c\/p\u003e \u003cp\u003e2.5.2.2 Rate of Change 39\u003c\/p\u003e \u003cp\u003e2.5.2.3 Relative Strength Index 40\u003c\/p\u003e \u003cp\u003e2.5.2.4 Money Flow Index 41\u003c\/p\u003e \u003cp\u003e2.5.2.5 Moving Averages 41\u003c\/p\u003e \u003cp\u003eFurther Reading 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Return and Volatility Estimates 44\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Standard Deviation 47\u003c\/p\u003e \u003cp\u003e3.2 Standard Deviation with a Moving Observation Window 48\u003c\/p\u003e \u003cp\u003e3.3 Exponentially Weighted Moving Average (EWMA) 50\u003c\/p\u003e \u003cp\u003e3.4 Double (Holt) Exponential Smoothing Model (DES) 53\u003c\/p\u003e \u003cp\u003e3.5 Principal Component Analysis (PCA) Models 53\u003c\/p\u003e \u003cp\u003e3.6 The VIX 54\u003c\/p\u003e \u003cp\u003e3.7 Geometric Brownian Motion Process 55\u003c\/p\u003e \u003cp\u003e3.8 GARCH 56\u003c\/p\u003e \u003cp\u003e3.9 Estimator Using the Highest and Lowest 56\u003c\/p\u003e \u003cp\u003e3.9.1 Parkinson Estimator 56\u003c\/p\u003e \u003cp\u003e3.9.2 Rogers Satchell Estimator 57\u003c\/p\u003e \u003cp\u003e3.9.3 Garman–Klass Estimator 57\u003c\/p\u003e \u003cp\u003eFurther Reading 58\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Diversification, Portfolios of Risky Assets, and the Efficient Frontier 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Variance and Covariance 61\u003c\/p\u003e \u003cp\u003e4.2 Two-Asset Portfolio: Expected Return and Risk 61\u003c\/p\u003e \u003cp\u003e4.3 Correlation Coefficient 63\u003c\/p\u003e \u003cp\u003e4.3.1 Correlation Coefficient and Its Impact on Portfolio Risk 63\u003c\/p\u003e \u003cp\u003e4.3.1.1 Zero Correlation Case 65\u003c\/p\u003e \u003cp\u003e4.3.1.2 Perfect Negative Correlation Case 65\u003c\/p\u003e \u003cp\u003e4.3.1.3 Perfect Positive Correlation Case 65\u003c\/p\u003e \u003cp\u003e4.3.2 The Number of Assets in a Portfolio and Its Impact on Portfolio Risk 66\u003c\/p\u003e \u003cp\u003e4.3.3 The Effect of Diversification on Risk 68\u003c\/p\u003e \u003cp\u003e4.4 The Efficient Frontier 69\u003c\/p\u003e \u003cp\u003e4.5 Correlation Regime Shifts and Correlation Estimates 80\u003c\/p\u003e \u003cp\u003e4.5.1 Increased Correlation 80\u003c\/p\u003e \u003cp\u003e4.5.2 Severity of Correlation Changes 84\u003c\/p\u003e \u003cp\u003e4.6 Correlation Estimates 88\u003c\/p\u003e \u003cp\u003e4.6.1 Copulas 90\u003c\/p\u003e \u003cp\u003e4.6.2 Moving Average 91\u003c\/p\u003e \u003cp\u003e4.6.3 Correlation Estimators in Matrix Notation 92\u003c\/p\u003e \u003cp\u003e4.6.4 Bollerslev’s Constant Conditional Correlation Model 93\u003c\/p\u003e \u003cp\u003e4.6.5 Engle’s Dynamic Conditional Correlation Model 94\u003c\/p\u003e \u003cp\u003e4.6.6 Estimating the Parameters of the DCC Model 95\u003c\/p\u003e \u003cp\u003e4.6.7 Implementing the DCC Model 97\u003cbr\u003e\u003cbr\u003eFurther Reading 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Implications of the CAPM Assumptions 102\u003c\/p\u003e \u003cp\u003e5.1.1 The Same Linear Efficient Frontier for All Investors 102\u003c\/p\u003e \u003cp\u003e5.1.2 Everyone Holds the Market Portfolio 102\u003c\/p\u003e \u003cp\u003e5.2 The Separation Theorem 105\u003c\/p\u003e \u003cp\u003e5.3 Relationships Defined by the CAPM 107\u003c\/p\u003e \u003cp\u003e5.3.1 The Capital Market Line 107\u003c\/p\u003e \u003cp\u003e5.3.2 The Security Market Line 109\u003c\/p\u003e \u003cp\u003e5.4 Interpretation of Beta 110\u003c\/p\u003e \u003cp\u003e5.5 Determining the Level of Diversification of a Portfolio 112\u003c\/p\u003e \u003cp\u003e5.6 Investment Implications of the CAPM 112\u003c\/p\u003e \u003cp\u003e5.7 Introduction to the Arbitrage Pricing Theory (APT) 115\u003c\/p\u003e \u003cp\u003eFurther Reading 119\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Market Risk and Fundamental Multifactors Model 120\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Why a Multifactors Model? 122\u003c\/p\u003e \u003cp\u003e6.2 The Returns Model 124\u003c\/p\u003e \u003cp\u003e6.2.1 The Least-Squares Regression Solution 124\u003c\/p\u003e \u003cp\u003e6.2.1.1 Assumptions of the Least-Squares Solution 125\u003c\/p\u003e \u003cp\u003e6.2.1.2 Solving the Problem of Heteroskedasticity 125\u003c\/p\u003e \u003cp\u003e6.2.1.3 Outliers 128\u003c\/p\u003e \u003cp\u003e6.2.1.4 Robust Regression 129\u003c\/p\u003e \u003cp\u003e6.2.2 Statistical Approaches 131\u003c\/p\u003e \u003cp\u003e6.2.2.1 Principal Components 131\u003c\/p\u003e \u003cp\u003e6.2.2.2 Asymptotic Principal Components 132\u003c\/p\u003e \u003cp\u003e6.2.2.3 Maximum-Likelihood Estimation 133\u003c\/p\u003e \u003cp\u003e6.2.3 Hybrid Solutions 134\u003c\/p\u003e \u003cp\u003e6.3 Estimation Universe 134\u003c\/p\u003e \u003cp\u003e6.4 Model Factors 135\u003c\/p\u003e \u003cp\u003e6.4.1 Market Factor or Intercept 135\u003c\/p\u003e \u003cp\u003e6.4.2 Industry Factors 135\u003c\/p\u003e \u003cp\u003e6.4.2.1 Thin Industries 136\u003c\/p\u003e \u003cp\u003e6.4.2.2 Treatment of Thin Industries 137\u003c\/p\u003e \u003cp\u003e6.4.3 Style Factors 138\u003c\/p\u003e \u003cp\u003e6.4.3.1 Standardization of Style Factors 138\u003c\/p\u003e \u003cp\u003e6.4.4 Country Factors 140\u003c\/p\u003e \u003cp\u003e6.4.5 Currency Factors 140\u003c\/p\u003e \u003cp\u003e6.4.6 The Problem of Multicollinearity 142\u003c\/p\u003e \u003cp\u003e6.5 The Risk Model 143\u003c\/p\u003e \u003cp\u003e6.5.1 Factor Covariance Matrix 143\u003c\/p\u003e \u003cp\u003e6.5.2 Autocorrelation in the Factor Returns 145\u003c\/p\u003e \u003cp\u003eFurther Reading 147\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Market Risk: A Historical Perspective from Market Events and Diverse Mathematics to the Value-at-Risk 148\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 A Brief History of Market Events 149\u003c\/p\u003e \u003cp\u003e7.2 Toward the Development of the Value-at-Risk 158\u003c\/p\u003e \u003cp\u003e7.2.1 Diverse Mathematics 159\u003c\/p\u003e \u003cp\u003e7.2.1.1 Safety-First Principle 159\u003c\/p\u003e \u003cp\u003e7.2.1.2 Condorcet 160\u003c\/p\u003e \u003cp\u003e7.2.1.3 Tetens 160\u003c\/p\u003e \u003cp\u003e7.2.1.4 Actuarial Works 161\u003c\/p\u003e \u003cp\u003e7.2.1.5 Laplace 162\u003c\/p\u003e \u003cp\u003e7.2.1.6 Lacroix 163\u003c\/p\u003e \u003cp\u003e7.2.1.7 Political Economy 164\u003c\/p\u003e \u003cp\u003e7.2.1.8 1930s England 166\u003c\/p\u003e \u003cp\u003e7.2.1.9 Financial Theory 166\u003c\/p\u003e \u003cp\u003e7.2.1.10 The VaR Concept 167\u003c\/p\u003e \u003cp\u003e7.3 Definition of the Value-at-Risk 169\u003c\/p\u003e \u003cp\u003e7.4 VaR Calculation Models 171\u003c\/p\u003e \u003cp\u003e7.4.1 Variance–Covariance 171\u003c\/p\u003e \u003cp\u003e7.4.1.1 The Standard Normal Distribution or \u003ci\u003eZ \u003c\/i\u003eDistribution 173\u003c\/p\u003e \u003cp\u003e7.4.1.2 Skew and Kurtosis 174\u003c\/p\u003e \u003cp\u003e7.4.1.3 Standard Deviation and Correlation 175\u003c\/p\u003e \u003cp\u003e7.4.1.4 VaR Calculation Using Variance-Covariance 178\u003c\/p\u003e \u003cp\u003e7.4.2 Historical Simulation 180\u003c\/p\u003e \u003cp\u003e7.4.3 Monte Carlo Simulation 185\u003c\/p\u003e \u003cp\u003e7.4.4 Incremental VaR 188\u003c\/p\u003e \u003cp\u003e7.4.5 Marginal VaR 188\u003c\/p\u003e \u003cp\u003e7.4.6 Component VaR 189\u003c\/p\u003e \u003cp\u003e7.4.7 Expected Shortfall 189\u003c\/p\u003e \u003cp\u003e7.4.8 VaR Models Summary 190\u003c\/p\u003e \u003cp\u003e7.4.9 Mapping of Complex Instruments 191\u003c\/p\u003e \u003cp\u003e7.4.10 Cornish–Fisher VaR 192\u003c\/p\u003e \u003cp\u003e7.4.11 Extreme Value Theory (EVT) 193\u003cbr\u003e\u003cbr\u003eFurther Reading 193\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Financial Derivative Instruments 195\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introducing Financial Derivatives Instruments 195\u003c\/p\u003e \u003cp\u003e8.1.1 Swap 195\u003c\/p\u003e \u003cp\u003e8.1.1.1 Total Return Swap (TRS) 196\u003c\/p\u003e \u003cp\u003e8.1.1.2 Credit-Default Swap (CDS) 197\u003c\/p\u003e \u003cp\u003e8.1.1.3 First to Default (FTD) 199\u003c\/p\u003e \u003cp\u003e8.1.1.4 Collateralized Debt Obligation (CDO) 200\u003c\/p\u003e \u003cp\u003e8.1.1.5 Credit Linked Note (CLN) 201\u003c\/p\u003e \u003cp\u003e8.1.1.6 Currency Swap 201\u003c\/p\u003e \u003cp\u003e8.1.1.7 Swaption 202\u003c\/p\u003e \u003cp\u003e8.1.1.8 Variance Swap 203\u003c\/p\u003e \u003cp\u003e8.1.1.9 Contract for Difference (CFD) 203\u003c\/p\u003e \u003cp\u003e8.1.2 The Forward Contract 204\u003c\/p\u003e \u003cp\u003e8.1.3 The Futures Contract 205\u003c\/p\u003e \u003cp\u003e8.1.3.1 Currency Future 205\u003c\/p\u003e \u003cp\u003e8.1.3.2 Interest Rate Future 205\u003c\/p\u003e \u003cp\u003e8.1.3.3 Bond Future 206\u003c\/p\u003e \u003cp\u003e8.1.4 Options 206\u003c\/p\u003e \u003cp\u003e8.1.4.1 Currency Option 207\u003c\/p\u003e \u003cp\u003e8.1.4.2 Equity Option 207\u003c\/p\u003e \u003cp\u003e8.1.4.3 Interest Rate Option 207\u003c\/p\u003e \u003cp\u003e8.1.5 Warrant 208\u003c\/p\u003e \u003cp\u003e8.2 Market Risk and Global Exposure 208\u003c\/p\u003e \u003cp\u003e8.2.1 Global Exposure 209\u003c\/p\u003e \u003cp\u003e8.2.2 Sophisticated versus Nonsophisticated UCITS 210\u003c\/p\u003e \u003cp\u003e8.2.3 The Commitment Approach with Examples on Some Financial Derivatives 211\u003c\/p\u003e \u003cp\u003e8.2.4 Calculation of Global Exposure Using VaR 216\u003c\/p\u003e \u003cp\u003e8.3 Options 218\u003c\/p\u003e \u003cp\u003e8.3.1 Different Strategies Using Options 218\u003c\/p\u003e \u003cp\u003e8.3.2 Black Scholes Formula 218\u003c\/p\u003e \u003cp\u003e8.3.3 The Greeks 221\u003c\/p\u003e \u003cp\u003e8.3.3.1 Delta 221\u003c\/p\u003e \u003cp\u003e8.3.3.2 Delta Hedging 222\u003c\/p\u003e \u003cp\u003e8.3.3.3 Gamma 224\u003c\/p\u003e \u003cp\u003e8.3.3.4 Vega 225\u003c\/p\u003e \u003cp\u003e8.3.3.5 Theta 226\u003c\/p\u003e \u003cp\u003e8.3.4 Option Value and Risk under Monte Carlo Simulation 227\u003c\/p\u003e \u003cp\u003e8.3.5 Evaluating Options and Taylor Expansion 228\u003c\/p\u003e \u003cp\u003e8.3.6 The Binomial and Trinomial Option Pricing Models 228\u003c\/p\u003e \u003cp\u003eFurther Reading 233\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Fixed Income and Interest Rate Risk 235\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Bond Valuation 236\u003c\/p\u003e \u003cp\u003e9.2 The Yield Curve 236\u003c\/p\u003e \u003cp\u003e9.3 Risk of Holding a Bond 240\u003c\/p\u003e \u003cp\u003e9.3.1 Duration 240\u003c\/p\u003e \u003cp\u003e9.3.2 Modified Duration 240\u003c\/p\u003e \u003cp\u003e9.3.3 Convexity 241\u003c\/p\u003e \u003cp\u003e9.3.4 Factor Models for Fixed Income 241\u003c\/p\u003e \u003cp\u003e9.3.5 Hedge Ratio 242\u003c\/p\u003e \u003cp\u003e9.3.6 Duration Hedging 246\u003c\/p\u003e \u003cp\u003eFurther Reading 246\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Liquidity Risk 247\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Traditional Methods and Techniques to Measure Liquidity Risk 249\u003c\/p\u003e \u003cp\u003e10.1.1 Average Traded Volume 249\u003c\/p\u003e \u003cp\u003e10.1.2 Bid–Ask Spread 250\u003c\/p\u003e \u003cp\u003e10.1.3 Liquidity and VaR 251\u003c\/p\u003e \u003cp\u003e10.2 Liquidity at Risk 253\u003c\/p\u003e \u003cp\u003e10.2.1 Incorporation of Endogenous Liquidity Risk into the VaR Model 254\u003c\/p\u003e \u003cp\u003e10.2.2 Incorporation of Exogenous Liquidity Risk into the VaR Model 259\u003c\/p\u003e \u003cp\u003e10.2.3 Exogenous and Endogenous Liquidity Risk in VaR Model 261\u003c\/p\u003e \u003cp\u003e10.3 Other Liquidity Risk Metrics 263\u003c\/p\u003e \u003cp\u003e10.4 Methods to Measure Liquidity Risk on the Liability Side 264\u003c\/p\u003e \u003cp\u003eFurther Reading 267\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Alternatives Investment: Targeting Alpha, Idiosyncratic Risk 269\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Passive Investing 269\u003c\/p\u003e \u003cp\u003e11.2 Active Management 271\u003c\/p\u003e \u003cp\u003e11.3 Main Alternative Strategies 272\u003c\/p\u003e \u003cp\u003e11.4 Specific Hedge Fund Metrics 273\u003c\/p\u003e \u003cp\u003e11.4.1 Market Factor versus Multifactor Regression 274\u003c\/p\u003e \u003cp\u003e11.4.2 The Sharpe Ratio 275\u003c\/p\u003e \u003cp\u003e11.4.3 The Information Ratio 275\u003c\/p\u003e \u003cp\u003e11.4.4 \u003ci\u003eR\u003c\/i\u003e-Square (\u003ci\u003eR\u003c\/i\u003e\u003csup\u003e2\u003c\/sup\u003e) 276\u003c\/p\u003e \u003cp\u003e11.4.5 Downside Risk 276\u003c\/p\u003e \u003cp\u003eFurther Reading 288\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Stress Testing and Back Testing 289\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Definition and Introduction to Stress Testing 290\u003c\/p\u003e \u003cp\u003e12.2 Stress Test Approaches 294\u003c\/p\u003e \u003cp\u003e12.2.1 Piecewise Approach 294\u003c\/p\u003e \u003cp\u003e12.2.2 Integrated Approach 296\u003c\/p\u003e \u003cp\u003e12.2.3 Designing and Calibrating a Stress Test 298\u003c\/p\u003e \u003cp\u003e12.3 Historical Stress Testing 300\u003c\/p\u003e \u003cp\u003e12.3.1 Some Examples of Historical Stress Test Scenarios 301\u003c\/p\u003e \u003cp\u003e12.3.2 Other Stress Test Scenarios 302\u003c\/p\u003e \u003cp\u003e12.3.2.1 Interest Rate Scenarios 302\u003c\/p\u003e \u003cp\u003e12.3.2.2 Relative FX Scenarios 302\u003c\/p\u003e \u003cp\u003e12.3.2.3 Dynamic FX Scenarios 302\u003c\/p\u003e \u003cp\u003e12.3.2.4 Progression Scenarios 302\u003c\/p\u003e \u003cp\u003e12.4 Reverse Stress Test 303\u003c\/p\u003e \u003cp\u003e12.5 Stress Testing Correlation and Volatility 303\u003c\/p\u003e \u003cp\u003e12.6 Multivariate Stress Testing 304\u003c\/p\u003e \u003cp\u003e12.7 What is Back Testing? 306\u003c\/p\u003e \u003cp\u003e12.7.1 VaR is Not Always an Accurate Measure 308\u003c\/p\u003e \u003cp\u003e12.8 Back Testing: A Rigorous Approach is Required 310\u003c\/p\u003e \u003cp\u003e12.8.1 Test of Frequency of Tail Losses or Kupiec’s Test 311\u003c\/p\u003e \u003cp\u003e12.8.2 Conditional Coverage of Frequency and Independence of Tail Losses 312\u003c\/p\u003e \u003cp\u003e12.8.3 Clean and Dirty Back Testing 313\u003c\/p\u003e \u003cp\u003eFurther Reading 314\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Banks and Basel II\/III 315\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 A Brief History of Banking Regulations 316\u003c\/p\u003e \u003cp\u003e13.2 The 1988 Basel Accord 317\u003c\/p\u003e \u003cp\u003e13.2.1 Definition of Capital 318\u003c\/p\u003e \u003cp\u003e13.2.2 Credit Risk Charge 319\u003c\/p\u003e \u003cp\u003e13.2.3 Off-Balance Sheet Items 320\u003c\/p\u003e \u003cp\u003e13.2.4 Drawbacks from the Basel Accord 323\u003c\/p\u003e \u003cp\u003e13.2.5 1996 Amendment 324\u003c\/p\u003e \u003cp\u003e13.3 Basel II 325\u003c\/p\u003e \u003cp\u003e13.3.1 The Credit Risk Charge 326\u003c\/p\u003e \u003cp\u003e13.3.1.1 The Standardized Approach 326\u003c\/p\u003e \u003cp\u003e13.3.1.2 The Internal Ratings-Based (IRB) Approach 328\u003c\/p\u003e \u003cp\u003e13.3.2 Operational Risk Charge 329\u003c\/p\u003e \u003cp\u003e13.3.2.1 The Basic Indicator Approach 329\u003c\/p\u003e \u003cp\u003e13.3.2.2 The Standardized Approach 330\u003c\/p\u003e \u003cp\u003e13.3.2.3 The Advanced Measurement Approach 330\u003c\/p\u003e \u003cp\u003e13.3.3 The Market Risk Charge 331\u003c\/p\u003e \u003cp\u003e13.3.3.1 The Standardized Method 332\u003c\/p\u003e \u003cp\u003e13.3.3.2 The Internal Models Approach 352\u003c\/p\u003e \u003cp\u003e13.4 Example of the Calculation of the Capital Ratio 364\u003c\/p\u003e \u003cp\u003e13.5 Basel III and the New Definition of Capital; The Introduction of Liquidity Ratios 365\u003c\/p\u003e \u003cp\u003eFurther Reading 371\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Conclusion 373\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIndex 378\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":51769054888279,"sku":"9781118127186","price":125.96,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118127186.jpg?v=1758719477","url":"https:\/\/bookcurl.com\/products\/handbook-of-market-risk-9781118127186","provider":"Book Curl","version":"1.0","type":"link"}