PART ONE. Risk Management: Definitions and Objectives.
CHAPTER 1. A Risk Management Synthesis: Market Risk, Credit Risk, Liquidity Risk, and Asset and Liability Management
CHAPTER 2. Risk, Return, Performance Measurement, and Capital Regulation

PART TWO. Risk Management Techniques for Interest Rate Analytics.
CHAPTER 3. Interest Rate Risk Introduction and Overview
CHAPTER 4. Fixed Income Mathematics: The Basic Tools
CHAPTER 5. Yield Curve Smoothing
CHAPTER 6. Introduction to Heath, Jarrow, and Morton Interest Rate Modeling
CHAPTER 7. HJM Interest Rate Modeling with Rate and Maturity-Dependent Volatility
CHAPTER 8. HJM Interest Rate Modeling with Two Risk Factors
CHAPTER 9. HJM Interest Rate Modeling with Three Risk Factors
CHAPTER 10. Valuation, Liquidity, and Net Income
CHAPTER 11. Interest Rate Mismatching and Hedging
CHAPTER 12. Legacy Approaches to Interest Rate Risk Management
CHAPTER 13. Special Cases of Heath, Jarrow, and Morton Interest Rate Modeling
CHAPTER 14. Estimating the Parameters of Interest Rate Models

PART THREE. Risk Management Techniques for Credit Risk Analytics.
CHAPTER 15. An Introduction to Credit Risk: Using Market Signals in Loan Pricing and Performance Measurement
CHAPTER 16. Reduced Form Credit Models and Credit Model Testing
CHAPTER 17. Credit Spread Fitting and Modeling
CHAPTER 18. Legacy Approaches to Credit Risk
CHAPTER 19. Valuing Credit Risky Bonds
CHAPTER 20. Credit Derivatives and Collateralized Debt Obligations

PART FOUR. Risk Management Applications: Instrument by Instrument.
CHAPTER 21. European Options on Bonds
CHAPTER 22. Forward and Futures Contracts
CHAPTER 23. European Options on Forward and Futures Contracts
CHAPTER 24. Caps and Floors
CHAPTER 25. Interest Rate Swaps and Swaptions
CHAPTER 26. Exotic Swap and Options Structures
CHAPTER 27. American Fixed Income Options
CHAPTER 28. Irrational Exercise of Fixed Income Options
CHAPTER 29. Mortgage-Backed Securities and Asset-Backed Securities
CHAPTER 30. Nonmaturity Deposits
CHAPTER 31. Foreign Exchange Markets
CHAPTER 32. Impact of Collateral on Valuation Models: The Example of Home Prices in the Credit Crisis
CHAPTER 33. Pricing and Valuing Revolving Credit and Other Facilities
CHAPTER 34. Modeling Common Stock and Convertible Bonds on a Default-Adjusted Basis
CHAPTER 35. Valuing Insurance Policies and Pension Obligations

PART FIVE. Portfolio Strategy and Risk Management.
CHAPTER 36. Value-at-Risk and Risk Management Objectives Revisited at the Portfolio and Company Level
CHAPTER 37. Liquidity Analysis and Management: Examples from the Credit Crisis
CHAPTER 38. Performance Measurement: Plus Alpha vs. Transfer Pricing
CHAPTER 39. Managing Institutional Default Risk and Safety and Soundness
CHAPTER 40. Information Technology Considerations
CHAPTER 41. Shareholder Value Creation and Destruction