This new edition has been fully revised and updated to reflect new developments in the field, the latest research, and the changing emphasis in current practice. It considers all aspects of risk management, a vital topic within the banking industry, 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.
Rezensionen / Stimmen
"...this book is the right book to start working with Risk Management in banking...this book is worth every penny..." (MCSE Mag, 24 January 2003) "...This book is the right book to start working with Risk Management in Banking...this book is worth every penny..." (www.mcsemag.eu.org, 20 March 2003)
Auflage
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Editions-Typ
Illustrationen
Maße
Höhe: 25 cm
Breite: 17.5 cm
Gewicht
ISBN-13
978-0-471-49977-0 (9780471499770)
Schweitzer Klassifikation
JOEL 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.
Introduction
SECTION 1. Banking Risks
Banking Business Lines
Banking Risks
SECTION 2. Risk Regulations
Banking Regulations
SECTION 3. Risk Management Processes
Risk Management Processes
Risk Management Organization
SECTION 4. Risk Models
Risk Measures
VaR and Capital
Valuation
Risk Model Building Blocks
SECTION 5. Asset-Liability Management
ALM Overview
Liquidity Gaps
The Term Structure of Interest Rates
Interest Rate Gaps
Hedging and Derivatives
SECTION 6. Asset-Liability Management Models
Overview of ALM Models
Hedging Issues
ALM Simulations
ALM and Business Risk
ALM 'Risk and Return' Reporting and Policy
SECTION 7. Options and Convexity Risk in Banking
Implicit Options Risk
The Value of Implicit Options
SECTION 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
SECTION 9. Funds Transfer Pricing
FTP Systems
Economic Transfer Prices
SECTION 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
SECTION 12. Credit Risk Models
Overview of Credit Risk Models
SECTION 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
SECTION 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
SECTION 15. Capital Allocation
Capital Allocation and Risk Contributions
Marginal Risk Contributions
SECTION 16. Risk-adjusted Performance
Risk-adjusted Performance
Risk-adjusted Performance Implementation
SECTION 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
