Risk Management in Banking
3. Auflage
Erschienen am 11. Dezember 2009
Buch
Softcover
840 Seiten
978-0-470-01913-9 (ISBN)
Beschreibung
This new edition of Joel Bessis' highly successful Risk Management in Banking has been fully revised and updated to reflect new developments, the latest research, and changes in current practice. It considers all aspects of risk management, including: asset liability management, risk-based capital, value at risk, loan portfolio management, credit risk, market risk, interest rate risk, liquidity risk, fund transfer pricing, and capital allocation. Completely revised and updated, the text includes new chapters on credit models based on time intensity models, usage of copulas, and implementing risk systems.
Weitere Details
Auflage
3. Auflage
Sprache
Englisch
Verlagsort
Chichester
Großbritannien
Verlagsgruppe
John Wiley and Sons Ltd
Zielgruppe
Für Beruf und Forschung
Editions-Typ
Überarbeitete Ausgabe
Illustrationen
Illustrations
Maße
Höhe: 24.4 cm
Breite: 16.8 cm
Dicke: 4.6 cm
Gewicht
1372 gr
ISBN-13
978-0-470-01913-9 (9780470019139)
Schweitzer Klassifikation
Weitere Ausgaben
Nachauflagen
Andere Ausgaben
Joël Bessis
Risk Management in Banking
Buch
12/2009
3. Auflage
Wiley
119,00 €
Artikel ist vergriffen; siehe Neuauflage
Vorauflage
Joël Bessis
Risk Management in Banking
Buch
04/2002
2. Auflage
Wiley
44,90 €
Artikel ist vergriffen; siehe Neuauflage
Person
Joël Bessis (Paris, France) graduated as an Engineer from Ecole Centrale in Paris, earned a Master in Business Administration at Columbia University in New York, and received a Ph. D. in Finance at the University of Paris Dauphine. Since 1980, he has been working as a Professor of Finance at Group HEC, the leading French business school. As an academic, Joel Bessis published various papers and books in the fields of corporate finance, industrial economics, and financial markets. He is a frequent speaker at professional conferences. Joel Bessis developed a dual expertise, as an academic and as a practitioner, holding permanent consulting assignments in corporations and, later, in banks. Joel Bessis worked over 15 years in this area for financial institutions. Joel Bessis has acquired experience in bank wide risk management in many well-known financial institutions. He has been a consultant to risk departments of several banking institutions in Europe. He held a permanent consultancy position for 7 years at Banque Paribas in the Risk Department and for two years at the European Bank for Development (EIB). On leave of absence from HEC Paris from 2000, he was Director of Research at FitchRatings in 2000-2001, Head of Validation at the Risk Department of Ixis, a Paris-based Investment Bank, and held the same position at "Groupe Caisse d'Epargne", one the major French banks, until 2006. He is now Professor at HEC Paris and maintains consultancy assignments in Banks. He conducts executive training in risk management in Eastern Europe, US and Asia.
Inhalt
About the Author.
Introduction.
Section 1: The Financial Crisis.
1 The 2007-2008 Financial Crisis.
Section 2: Business Lines, Risks, and Risk Management.
2 banking Business Lines.
2 Risks and Risk Management.
4 Risk Management.
Section 3: Financial Products.
5 Banking and Financial Products.
6 Essentials on Derivative Products.
7 Interest Rate Risk and Interest Rate Derivatives.
8 Foreign Exchange Risk and Foreign Exchange Derivatives.
9 Credit Derivatives.
Section 4: Valuation.
10 Distribution Functions.
11 Discrete and Continuous Returns.
12 Stochastic Processes.
13 Valuation and Pricing Risk.
14 Some Applications of Valuation Techniques.
Section 5: Risk Modeling.
15 Sensitivity.
16 Volatility.
17 The Value-at-Risk Measure.
18 VaR and Capital.
Section 6: Regulations.
19 Banking Regulations: Basel 1 and Market Risk.
20 Banking Regulations: The Basel 2 Accord.
21 Accounting Standards.
Section 7: Asset Liability Management (ALM).
22 Liquidity Management and Liquidity Gaps.
23 Interest Rate Gaps.
24 ALM and Hedging Policies.
25 Implicit Options Risk.
26 Economic Value of the Balance Sheet.
27 Economic Value and Convexity Risk.
Section 8: Funds Transfer Pricing Systems.
28 Funds Transfer Pricing Systems.
29 Economic Transfer Prices.
Section 9: Dependencies and Portfolio Risk.
30 Correlations and Covariances.
31 Conditional Probabilities.
32 Factor Models.
33 Dependencies and Copula Functions.
34 Simulations with Factor Models or the Copula Approach.
Section 10: Market Risk.
35 Delta-normal VaR.
36 Historical and Hypothetical Simulations.
37 Simulation of Interest Rates.
38 Back Tests, Benchmarks and Stress Tests.
Section 11: Credit Risk: Standalone.
39 Credit Risk Data.
40 Rating Systems.
41 Statistical and Scoring Models.
42 The Option Approach to Defaults and Migrations.
43 Default Probability and Default Intensity.
44 Credit Risk Potential Exposure.
45 Modeling Recoveries.
46 Credit Risk Valuation and Credit Spreads.
Section 12: Credit Portfolio Risk.
47 Credit Event Dependencies.
48 Example of Portfolio Loss Distribution.
49 Analytical Loss Distributions.
50 Simulation of Credit Portfolio Loss Distributions.
51 Credit Portfolio Models.
Section 13: Capital Allocation.
52 Economic Capital and Credit Risk VaR.
53 Capital Allocation and Risk Contributions.
54 Marginal Risk Contributions.
Section 14: Risk-adjusted Performance.
55 RaRoC and Shareholders' Value Added.
56 Economic Income Statements.
Section 15: Credit Portfolio Management.
57 Portfolio Analysis.
58 Securitization and Capital Management.
59 Credit Portfolio Management.
Section 16: Conclusion and Financial Reforms.
60 The Financial System and Reforms.
References.
Index.
Introduction.
Section 1: The Financial Crisis.
1 The 2007-2008 Financial Crisis.
Section 2: Business Lines, Risks, and Risk Management.
2 banking Business Lines.
2 Risks and Risk Management.
4 Risk Management.
Section 3: Financial Products.
5 Banking and Financial Products.
6 Essentials on Derivative Products.
7 Interest Rate Risk and Interest Rate Derivatives.
8 Foreign Exchange Risk and Foreign Exchange Derivatives.
9 Credit Derivatives.
Section 4: Valuation.
10 Distribution Functions.
11 Discrete and Continuous Returns.
12 Stochastic Processes.
13 Valuation and Pricing Risk.
14 Some Applications of Valuation Techniques.
Section 5: Risk Modeling.
15 Sensitivity.
16 Volatility.
17 The Value-at-Risk Measure.
18 VaR and Capital.
Section 6: Regulations.
19 Banking Regulations: Basel 1 and Market Risk.
20 Banking Regulations: The Basel 2 Accord.
21 Accounting Standards.
Section 7: Asset Liability Management (ALM).
22 Liquidity Management and Liquidity Gaps.
23 Interest Rate Gaps.
24 ALM and Hedging Policies.
25 Implicit Options Risk.
26 Economic Value of the Balance Sheet.
27 Economic Value and Convexity Risk.
Section 8: Funds Transfer Pricing Systems.
28 Funds Transfer Pricing Systems.
29 Economic Transfer Prices.
Section 9: Dependencies and Portfolio Risk.
30 Correlations and Covariances.
31 Conditional Probabilities.
32 Factor Models.
33 Dependencies and Copula Functions.
34 Simulations with Factor Models or the Copula Approach.
Section 10: Market Risk.
35 Delta-normal VaR.
36 Historical and Hypothetical Simulations.
37 Simulation of Interest Rates.
38 Back Tests, Benchmarks and Stress Tests.
Section 11: Credit Risk: Standalone.
39 Credit Risk Data.
40 Rating Systems.
41 Statistical and Scoring Models.
42 The Option Approach to Defaults and Migrations.
43 Default Probability and Default Intensity.
44 Credit Risk Potential Exposure.
45 Modeling Recoveries.
46 Credit Risk Valuation and Credit Spreads.
Section 12: Credit Portfolio Risk.
47 Credit Event Dependencies.
48 Example of Portfolio Loss Distribution.
49 Analytical Loss Distributions.
50 Simulation of Credit Portfolio Loss Distributions.
51 Credit Portfolio Models.
Section 13: Capital Allocation.
52 Economic Capital and Credit Risk VaR.
53 Capital Allocation and Risk Contributions.
54 Marginal Risk Contributions.
Section 14: Risk-adjusted Performance.
55 RaRoC and Shareholders' Value Added.
56 Economic Income Statements.
Section 15: Credit Portfolio Management.
57 Portfolio Analysis.
58 Securitization and Capital Management.
59 Credit Portfolio Management.
Section 16: Conclusion and Financial Reforms.
60 The Financial System and Reforms.
References.
Index.