Risk Management in Banking

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.