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Risk management in banking

Author: Joël Bessis
Publisher: Chichester, United Kingdom : John Wiley, 2010.
Edition/Format:   Print book : English : 3rd edView all editions and formats
Summary:

Completely revised and updated edition of seminal work, this new edition of a very successful work takes into account the changing face of risk management and examines all aspects of financial risk  Read more...

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Additional Physical Format: Online version:
Bessis, Joël.
Risk management in banking / Joël Bessis.
Chichester, United Kingdom : John Wiley, 2010
(OCoLC)795897349
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Joël Bessis
ISBN: 9780470019122 0470019123 9780470019139 0470019131
OCLC Number: 373480169
Description: xvii, 821 pages : illustrations ; 25 cm
Contents: Sect. 1. The Financial Crisis --
1. The 2007-2008 Financial Crisis --
Sect. 2. Business Lines, Risks, and Risk Management --
2. Banking Business Lines --
3. Risks and Risk Management --
4. Risk Management --
Sect. 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 --
Sect. 4. Valuation --
10. Distribution Functions --
11. Discrete and Continuous Returns --
12. Stochastic Processes --
13. Valuation and Pricing Risk --
14. Some Applications of Valuation Techniques --
Sect. 5. Risk Modeling --
15. Sensitivity --
16. Volatility --
17. The Value-at-Risk Measure --
18. VaR and Capital --
Sect. 6. Regulations --
19. Banking Regulations: Basel 1 and Market Risk --
20. Banking Regulations: The Basel 2 Accord --
21. Accounting Standards --
Sect. 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 --
Sect. 8. Funds Transfer Pricing Systems --
28. Funds Transfer Pricing Systems --
29. Economic Transfer Prices --
Sect. 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 --
Sect. 10. Market Risk --
35. Delta-normal VaR --
36. Historical and Hypothetical Simulations --
37. Simulation of Interest Rates --
38. Back Tests, Benchmarks and Stress Tests --
Sect. 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 --
Sect. 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 --
Sect. 13. Capital Allocation --
52. Economic Capital and Credit Risk VaR --
53. Capital Allocation and Risk Contr ibutions --
54. Marginal Risk Contributions --
Sect. 14. Risk-adjusted Performance --
55. RaRoC and Shareholders' Value Added --
56. Economic Income Statements --
Sect. 15. Credit Portfolio Management --
57. Portfolio Analysis --
58. Securitization and Capital Management --
59. Credit Portfolio Management --
Sect. 16. Conclusion and Financial Reforms --
60. The Financial System and Reforms.
Responsibility: Joël Bessis.

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