RISK MANAGEMAEPNPLTIC ATIONOSF SWAP STRATEGIES

1 INTRODUCTION
2 STRATEGIES AND APPLICATIONS FOR MANAGING INTEREST RATE RlSK
2.1 Using lnterest Rate Swaps to Convert a Floating-Rate
Loan to a Fixed-Rate Loan (and Vice Versa)
2.2 Using Swaps to Adjust the Duration of a Fixed-Income Portfolio
2.3 Using Swaps to Create and Manage the Risk of Structured Notes
3 STRATEGIES AND APPLICATIONS FOR MANAGING EXCHANGE RATE RlSK
Contents xiii
3.1 Converting a Loan in One Currency into a Loan in Another Currency
3.2 Converting Foreign Cash Receipts into Domestic Currency
3.3 Using Currency Swaps to Create and Manage the Risk of a
Dual-Currency Bond
4 STRATEGIES AND APPLICATIONS FOR MANAGING EQUITY MARKET RlSK
4.1 Diversifying a Concentrated Portfolio
4.2 Achieving International Diversification
4.3 Changing an Asset Allocation between Stocks and Bonds
4.4 Reducing Insider Exposure
5 STRATEGIES AND APPLICATIONS USING SWAPTIONS
5.1 Using an Interest Rate Swaption in Anticipation of a Future Borrowing
5.2 Using an Interest Rate Swaption to Terminate a Swap
5.3 Synthetically Removing (Adding) a Call Feature in Callable
(Noncallable) Debt
5.4 A Note on Forward Swaps
6 CONCLUSIONS
KEY POINTS
PROBLEMS
SOLUTIONS
CHAPTER 9 RISK MANAGEMENT
1 INTRODUCTION
2 THE CONCEPT OF RlSK MANAGEMENT
2.1 Sources of Risk
2.2 Why Manage Risk?
2.3 How Risk Is Managed
3 MANAGING MARKET RlSK
3.1 Traditional Notions of Market Risk
3.2 Value at Risk
3.3 Improvements and Supplements to VAR
4 MANAGING CREDIT RlSK
4.1 Traditional Notions of Credit Risk
4.2 Techniques for Managing Credit Risk
4.3 Insurance and Credit Derivatives
5 OTHER RISKS FACED BY AN ORGANIZATION
5.1 Liquidity Risk
5.2 Operations Risk
5.3 Model Risk
5.4 Settlement (Herstaatt) Risk
5.5 Regulatory Risk
5.6 Legal Risk
5.7 Tax Risk
5.8 Accounting Risk
6 BEST PRACTICES IN RlSK MANAGEMENT
6.1 The G-30 Report: Best Practices for Derivatives Dealers and
General End Users
6.2 The Risk Standards Working Group Report: Best Practices for
Investment Management Organizations
6.3 Risk Governance
6.4 Risk Budgeting and Performance Evaluation
7 CONCLUDING COMMENTS
KEY POINTS