Risk Management in Banking
2. Auflage
Erschienen am 8. April 2002
Buch
Softcover
XX, 792 Seiten
978-0-471-89336-3 (ISBN)
Beschreibung
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.
Weitere Details
Auflage
2., 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: 24.3 cm
Breite: 16.8 cm
Gewicht
1340 gr
ISBN-13
978-0-471-89336-3 (9780471893363)
Schweitzer Klassifikation
Weitere Ausgaben
Nachauflagen
Joël Bessis
Risk Management in Banking
Buch
12/2009
3. Auflage
Wiley
57,90 €
Artikel ist vergriffen; siehe Neuauflage
Vorauflage
Joël Bessis
Risk Management in Banking
Buch
12/1997
Wiley
42,90 €
Artikel ist vergriffen; siehe Neuauflage
Person
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.
Inhalt
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
16. 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
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
16. 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