Based on an enormously popular ‘derivative instruments and
applications’ course taught by risk expert Christopher Culp at the
University of Chicago, Risk Transfer will prepare both current
practitioners and students alike for many of the issues and
problems they will face in derivative markets. Filled with in-depth
insight and practical advice, this book is an essential resource
for those who want a comprehensive education and working knowledge
of this major field in finance, as well as professionals studying
to pass the GARP FRM exam.
Christopher L. Culp, Ph D (Chicago, IL), is a Principal at CP
Risk Management LLC and is also Adjunct Professor of Finance at the
University of Chicago. He is the author of Corporate Aftershock
(0-471-43002-1) and The ART of Risk Management (0-471-12495-8).
Tabla de materias
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 Carry
Model.
CHAPTER 9: The Supply of Storage and the Term Structure of
Forward 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 the
Fundamental Value Equation.
References.
Index.
Sobre el autor
CHRISTOPHER L. CULP is an Adjunct Professor of Finance at the
University of Chicago’s Graduate School of Business, a
Principal at Chicago Partners LLC, and, during the winter academic
term, a Resident Guest Professor of Risk and Insurance in the
Institut für Finanzmanagement at Universität Bern in
Switzerland. Culp is an active consultant to various financial and
non-financial firms on risk management, financial instrument
selection, and capital allocation. In addition, he is an
independent non-executive Director of Idaho Power Company, Inc.,
and IDACORP, Inc., where he is a member of the Audit and Governance
Committees of both boards, and he is a Senior Fellow in Financial
Regulation with the Competitive Enterprise Institute in Washington,
D.C. Culp is the author of two previous books (both published by
Wiley), The ART of Risk Management and The Risk Management Process.
He recently coedited for Wiley (with William Niskanen) Corporate
Aftershock: The Public Policy Lessons from the Collapse of Enron
and Other Major Corporations. Culp holds a Ph D in finance from the
Graduate School of Business of the University of Chicago and a BA
in economics from the Johns Hopkins University.
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