Risk Management in Banking [Paperback]by Joë and l BessisThis book is OUT OF PRINT You may be able to find a copy at ABE Books Description of Risk Management in BankingThis greatly expanded new edition of Joël Bessis′ seminal work Risk Management in Banking has been comprehensively revised and updated to take into account the changing face of risk management. Extensive new material has been included to reflect new developments in the field and to broaden the scope of the work.Risk Management in Banking Second Edition examines all aspects of financial risk management in banking, from global considerations right down to the fundamental aspects of the management of a particular profit centre. The author emphasizes the need to understand conceptual and implementation issues of risk management and examines the latest techniques and practical issues, including: ∗ Value at Risk (VaR) ∗ Asset Liability Management (ALM) ∗ Credit Risk ∗ Interest Rate Risk (IRR) ∗ Funds Transfer Pricing ∗ Credit Derivatives ∗ Market Portfolio Risk ∗ Capital Management ∗ Loan Portfolio Models Building on the already considerable success of this classic work, the second edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors. Title Information
Write a review of this book Customer Reviews from AmazonAbout Joë and l BessisJOEL BESSIS is in charge of risk analytics at the risk department of CDC IXIS, in Paris, France and was previously Director of Research at Fitch. He is Professor of Finance at HEC School of Management, Paris, France, and a frequent speaker at professional conferences. He has been a consultant to risk departments of several banking institutions in Europe, and held a permanent consultancy position for seven years at Banque Paribas in the Risk Department.Contents of Risk Management in Banking1. Banking RisksBanking Business Lines Banking Risks 2. Risk Regulations Banking Regulations 3. Risk Management Processes Risk Management Processes Risk Management Organization 4. Risk Models Risk Measures VaR and Capital Valuation Risk Model Building Blocks 5. Asset-Liability Management ALM Overview Liquidity Gaps The Term Structure of Interest Rates Interest Rate Gaps Hedging and Derivatives 6. Asset-Liability Management Models Overview of ALM Models Hedging Issues ALM Simulations ALM and Business Risk ALM 'Risk and Return' Reporting and Policy 7. Options and Convexity Risk in Banking Implicit Options Risk The Value of Implicit Options 8. Mark-to-Market Management in Banking Market Value and NPV of the Balance Sheet NPV and Interest Rate Risk NPV and Convexity Risks NPV Distribution and VaR 9. Funds Transfer Pricing FTP Systems Economic Transfer Prices 10. Portfolio Analysis: Correlations Correlations and Portfolio Effects 11. Market Risk Market Risk Building Blocks Standalone Market Risk Modelling Correlations and Multi-factor Models for Market Risk Portfolio Market Risk 12. Credit Risk Models Overview of Credit Risk Models 13. Credit Risk: 'Standalone Risk' Credit Risk Drivers Rating Systems Credit Risk: Historical Data Statistical and Econometric Models of Credit Risk The Option Approach to Defaults and Migrations Credit Risk Exposure From Guarantees to Structures Modelling Recoveries Credit Risk Valuaiton and Credit Spreads Standalone Credit Risk Distributions 14. Credit Risk: 'Portfolio Risk' Modelling Credit Risk Correlations Generating Loss Distributions: Overview Portfolio Loss Distriburtions: Example Analytical Loss Distributions Loss Distributions: Monte Carlo Simulations Loss Distribution and Transition Matrices Capital and Credit Risk VaR 15. Capital Allocation Capital Allocation and Risk Contributions Marginal Risk Contributions 16. Risk-adjusted Performance Risk-adjusted Performance Risk-adjusted Performance Implementation 17. Portfolio and Capital Management (Credit Risk) Portfolio Reporting (1) Portfolio Reporting (2) Portfolio Applications Credit Derivatives: Definitions Applications of Credit Derivatives Securitization and Capital Management Bibliography Index |
Related Categories
Popular Titles Recently Viewed
|
Shopping basket
