Risk management and efficient asset allocation are the watch-words of modern banking - not only for profitability and security - but also to comply with the increasingly stringent regulations laid down by the Bank of International Settlements. This book examines all aspects of financial risk management in banking - from global considerations right down to the fundamental aspects of the management of a particular profit centre. It details the very latest techniques including value at risk and is up to date with the latest regulations on capital adequacy.
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Illustrationen
Maße
Höhe: 23.6 cm
Breite: 15.8 cm
Gewicht
ISBN-13
978-0-471-97465-9 (9780471974659)
Schweitzer Klassifikation
Part I - Risk management: risks and performances; assets - liabilities management and risk management; regulation in banking industry; measuring risks. Part II - Liquidity and interest rate risk management: the liquidity gap model; liquidity management; the term structure of interest rates; interest rate gaps; the limitations of gap management; simulations. Part III - Marked to market management: net present value and interest margins; net present value and duration gap. Part IV - Credit risk: measuring credit risk. Part V - Capital management: capital adequacy and profitability; securitization and capital management. Part VI: Capital management: economic capital; Risk Adjusted Return on Capital (RAROC). Part VII - Risk and capital allocation: risk allocation; correlations and portfolio risks; credit risk for portfolios; market risks for portfolios. Part VIII - From balance sheet management to risk management: transfer prices; capital allocation and RAROC. Part IX - Options risk: embedded options; the valuation of embedded options; convexity risks.
