Risk Transfer
Derivatives in Theory and Practice
Published on 19. April 2004
448 pages
978-0-471-68672-9 (ISBN)
Description
Based on an enormously popular "derivative instruments andapplications" course taught by risk expert Christopher Culp at theUniversity of Chicago, Risk Transfer will prepare both currentpractitioners and students alike for many of the issues andproblems they will face in derivative markets. Filled with in-depthinsight and practical advice, this book is an essential resourcefor those who want a comprehensive education and working knowledgeof this major field in finance, as well as professionals studyingto pass the GARP FRM exam.
Christopher L. Culp, PhD (Chicago, IL), is a Principal at CPRisk Management LLC and is also Adjunct Professor of Finance at theUniversity of Chicago. He is the author of Corporate Aftershock(0-471-43002-1) and The ART of Risk Management (0-471-12495-8).
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05/2004
Wiley
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Person
CHRISTOPHER L. CULP is an Adjunct Professor of Finance at theUniversity of Chicago's Graduate School of Business, aPrincipal at Chicago Partners LLC, and, during the winter academicterm, a Resident Guest Professor of Risk and Insurance in theInstitut für Finanzmanagement at Universität Bern inSwitzerland. Culp is an active consultant to various financial andnon-financial firms on risk management, financial instrumentselection, and capital allocation. In addition, he is anindependent non-executive Director of Idaho Power Company, Inc.,and IDACORP, Inc., where he is a member of the Audit and GovernanceCommittees of both boards, and he is a Senior Fellow in FinancialRegulation with the Competitive Enterprise Institute in Washington,D.C. Culp is the author of two previous books (both published byWiley), The ART of Risk Management and The Risk Management Process.He recently coedited for Wiley (with William Niskanen) CorporateAftershock: The Public Policy Lessons from the Collapse of Enronand Other Major Corporations. Culp holds a PhD in finance from theGraduate School of Business of the University of Chicago and a BAin economics from the Johns Hopkins University.
Content
Preface: The Demonization of Derivatives.
Introduction and Structure of the Book.
Mathematical Notation.
PART ONE: The Economics of Risk Transfer.
CHAPTER 1: The Determinants of Financial Innovation.
CHAPTER 2: Risk, Uncertainty, and Profit.
CHAPTER 3: Methods of Controlling Risk and Uncertainty.
CHAPTER 4: Risk Transfer and Contracting Structures.
CHAPTER 5: The Evolution of Derivatives Activity.
CHAPTER 6: Derivatives Trading, Clearance, and Settlement.
PART TWO: Derivatives Valuation and Asset Lending.
CHAPTER 7: Principles of Derivatives Valuation.
CHAPTER 8: Own Rates of Interest and the Cost of CarryModel.
CHAPTER 9: The Supply of Storage and the Term Structure ofForward Prices.
CHAPTER 10: The Term Structure of Interest Rates.
CHAPTER 11: Basis Relations and Spreads.
PART THREE: Speculation and Hedging.
CHAPTER 12: Speculation and the Speculative Risk Premium.
CHAPTER 13: Hedging Objectives.
CHAPTER 14: Hedge Ratios.
CHAPTER 15: Quality Basis Risk.
CHAPTER 16: Calendar Basis Risk.
PART FOUR: Appendixes.
APPENDIX 1: Economic Theory and Equilibrium.
APPENDIX 2: Derivation of the Fundamental Value Equation.
APPENDIX 3: Relation between the Cost of Carry Model and theFundamental Value Equation.
References.
Index.
