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Risk Management in Banking by Joel Bessis
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    • Product code: 13765
    • ISBN: 0471893366, ISBN13: 9780471893363, 812 pages, paperback
      Published by John Wiley & Sons on 2002 , 2nd
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    Description of Risk Management in Banking

    Fully revised and updated from the highly successful previous edition, Risk Management in Banking 2nd Edition covers all aspects of risk management, shedding light on the extensive new developments in the field. There is a new emphasis on current practice, as well as in-depth analysis of the latest in research and techniques. This edition has been expanded to include an in-depth discussion of credit risk models, asset and liability management, credit valuation, risk-based capital, VAR, loan portfolio management, fund transer pricing and capital allocation. Quantitative material is presented in more detail and the scope of the book has been expanded to include investment banking and other financial services.

    Contents of Risk Management in Banking

    1. Banking Risks
    Banking 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


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