CONTENTS -- Foreword -- 1. INTRODUCTION -- 2. PRODUCT RISK AS THE RISK OF BANKS -- 3. MISREPRESENTATION OF INVESTMENT PRODUCTS -- 4. THE ISSUE OF DUTY OF CARE -- 5. COMPLEXITY OF INVESTMENT PRODUCTS -- 6. STRESS RISK -- CONTRIBUTORS TO THE BOOK -- 1. Bank Risk Management in Emerging Markets after the Enhanced Basel Rules -- 1. INTRODUCTION -- 2. IMPLICATIONS OF THE CURRENT BANKING CRISIS FOR THE EMERGING MARKET BANKING SECTOR -- Financial Crises and Risk Management -- Was Basel II Inadequate? -- The Case of the Turkish Banking Sector: Strong Throughout the Crisis -- 3. IMPLEMENTATION OF ENHANCED BASEL RULES -- 4. RISK MEASUREMENT OF FINANCIAL INSTRUMENTS IN TRADING AND BANKING BOOKS -- Critical Issues in Market Risk Assessment -- 5. MODEL RISK IN PORTFOLIO MANAGEMENT -- 6. CONCLUSION: REGULATORY CAPITAL VERSUS ECONOMIC CAPITAL -- REFERENCES -- 2. Product VaR Modelling -- 1. DEFINITION AND CLASSIFICATION OF INVESTMENT PRODUCTS -- 2. VALUATION OF INVESTMENT PRODUCTS -- Illustration -- 3. SENSITIVITY ANALYSIS -- Duration -- Necessity of Modified Duration -- Equity Beta (β) -- 4. PROBLEM OF AGGREGATION AND EMERGENCE OF VALUE-AT-RISK -- 5. DEFINITION AND MEASURE OF VaR -- Delta Normal Method -- Simulation Method -- Historical Method -- 6. NEED FOR EXTREME TAIL LOSSES (ETL) -- REFERENCES -- 3. Is It All About Disclosure? Regulating Structured Financial Products After the Lehman Brothers Minibonds Saga -- 1. INTRODUCTION -- 2. WHAT ARE LEHMAN MINIBONDS? STRUCTURE, NATURE AND INHERENT RISKS -- 3. MIS-SELLING PRACTICES UNDER STATUTORY AND COMMON LAW RULES -- Regulatory Framework and Statutory Rules -- Common Law Rules -- 4. REGULATING STRUCTURED FINANCIAL PRODUCTS: SOME "MINI" REGULATORY OPTIONS -- Why Full Disclosure of Minibonds is Insufficient -- How Can the Disclosure Regime be Improved Given the Increasing Complexity?.

Gatekeeper Theory and Credit Ratings -- Restoring the Freedom of Contract Doctrine in Financial Transactions? -- 5. THE WAY FORWARD: SOME PRELIMINARY CONCLUSIONS -- 4. Regulation of Over-The-Counter Derivatives in Australia -- 1. INTRODUCTION -- 2. DERIVATIVES IN THE NEWS -- 3. INTRODUCTION TO REGULATION OF OTC DERIVATIVES IN AUSTRALIA -- 4. OTC DERIVATIVES AND THE GLOBAL FINANCIAL CRISIS: PROPOSALS FOR NEW REGULATION -- 5. ANY LESSONS FOR AUSTRALIA FROM THE US ON THE REGULATION OF OTC DERIVATIVES? -- 6. REGULATION OF OTC DERIVATIVES IN AUSTRALIA -- OTC Self-regulation: AFMA/ISDA -- Australian Market Licence (AML) -- Exempt Financial Markets -- Australian Financial Services Licence -- Clearing House -- Market Misconduct -- Common Law -- Prudential Regulation: Capital Requirements and Risk Management -- 7. OTCs IN AUSTRALIA DURING THE GLOBAL FINANCIAL CRISIS -- 5. Credit Derivatives: Understanding Their Characteristics and Risk Potential -- 1. INTRODUCTION -- 2. COLLATERALIZED DEBT OBLIGATIONS: IMPROVING THE YIELD FROM DEBT SECURITIES -- Balance-Sheet CDO: An Outline -- Return Model and Pricing -- Credit Risk Assessment, "Tranching" and Credit Rating -- 3. CREDIT DEFAULT SWAPS: "BULLETPROOFING" CDO -- 4. SYNTHETIC CDOs AND RISK COVER UNDER CDSs -- Synthetic CDOs: A Critical Analysis -- Credit Default Swaps: Their Application to Synthetic CDOs -- CDS: Understanding Credit Events -- AIG's Liquidity May Be Adversely Affected by Requirements to Post Collateral -- 5. CREDIT DERIVATIVES: SOME PRACTICAL ISSUES -- Credit Derivatives: Are They "Securities"? -- Documentation for Transactions -- Credit Derivatives Litigation: Recent Trends -- REFERENCES -- Jurisprudence -- 6. A New Framework for Asset-Backed Securities (ABSs) -- 1. INTRODUCTION -- 2. ABS AND THE ASSET SECURITIZATION PROCESS -- 3. ABSs AND THE FINANCIAL CRISIS -- 4. SECURITIZATION-RELATED RISKS.

5. PROPOSED FRAMEWORK AND COMPONENTS -- Borrower Character Rating Criteria -- Capacity Rating Criteria -- Capital Rating Criteria -- Credit Usage Rating Criteria -- 6. TYPICAL FRAMEWORK EXAMPLE: POOLING CREDIT CARD RECEIVABLES -- Required Input Data -- Handle-based Pool Creation -- Cash Flow Forecasting and Allocation -- Stress Testing and Validation -- Policy Implications for the ABS Market -- 7. CURRENT PROPOSAL OF REGULATORY REFORM -- Issuers -- Regulators -- Investors -- 8. CONCLUSION -- REFERENCES -- 7. Risk Management of Collateralized Debt Obligations -- 1. INTRODUCTION -- 2. INTRODUCTION OF CDOs INTO THE FINANCIAL MARKET -- CDOs and the Real Estate Market -- 3. CDO RATING MODELS AND THE CURRENT FINANCIAL CRISIS -- CDO Rating Models -- Ratings of Subprime CDO Tranches in CDO Rating Models -- Monoline Insurers and Residential Mortgage CDO Products -- A Structural Model of Subprime Mortgages Based on Housing Market Risk -- Portfolio Loss Rate Distribution -- 4. COMMON CDO RISK MEASURES -- Market Risk -- 5. SENSITIVITY MEASURES -- Correlation Sensitivity -- Sensitivity to Broad Spread Changes -- The Subordination Effect -- Standard Deviation and Unexpected Losses -- 6. ASSET-BACKED SECURITIZATION -- 7. THE ROLE OF TECHNOLOGY IN THE CDO MARKET -- 8. CONCLUSION -- REFERENCES -- 8. Financial Leverage Risk: New Definition and Empirical Illustration -- 1. INTRODUCTION -- 2. FINANCIAL LEVERAGE IN THE LITERATURE -- 3. SIMPLE VERSUS COST LEVERAGE -- 4. LEVERAGE CUMULATIVE DISTRIBUTION FUNCTION (LCDF) -- 5. FINANCIAL LEVERAGE RISK: NEW DEFINITION -- 6. FINANCIAL LEVERAGE RISK: SIMULATION RESULTS -- Financial Leverage Risk Without Inflation -- Financial Leverage Risk with Inflation -- 7. CONCLUSION -- REFERENCES -- 9. Enabling Technology for More Pervasive and Responsive Market Risk Management Systems -- 1. INTRODUCTION -- 2. OVERVIEW.

3. USE OF MULTICORE AND MANYCORE MICROPROCESSORS IN THE FINANCE INDUSTRY -- 4. MONTE CARLO-BASED MARKET VaR ESTIMATION -- Solution Structure -- Software Architecture -- Experiment Execution -- 5. OPTIMIZATION OF RISK ENGINES DEPLOYED ON GPUs -- Task Perspective -- Problem Reformulation -- Numerical Perspective -- Data Perspective -- Summary of Software Optimization -- 6. RISK INFRASTRUCTURE IMPROVEMENTS -- 7. SUMMARY AND OUTLOOK -- REFERENCES -- 10. A New Method of Stress Testing Investment Products -- 1. INTRODUCTION -- 2. BASICS OF RISK MANAGEMENT -- 3. STRESS TESTS: AN OVERVIEW OF TYPICAL METHODS -- 4. MACROECONOMIC STRESS TESTS -- 5. SHIFTING MIGRATION MATRICES -- One-Parameter Representation -- Modification of the One-Parameter Representation -- 6. STRESS TESTS BY MEANS OF THE PEAKS-OVER-THRESHOLD METHOD -- The Loss Distribution Approach -- Stress Testing -- The Peaks-Over-Threshold Method -- Parameter Estimation -- 7. CONCLUSION -- REFERENCES -- INDEX.