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- Product code: 13765
- ISBN: 0471893366,
ISBN13: 9780471893363,
812 pages, paperback
Published by John Wiley & Sons on 2002
, 2nd Rate this book...
Rating: 3.2/5 (6 votes cast)
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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.
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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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