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|Additional Physical Format:||Print version:
Risk Management in Banking.
Hoboken : John Wiley & Sons, ©2011
|Material Type:||Document, Internet resource|
|Document Type:||Internet Resource, Computer File|
|All Authors / Contributors:||
|Description:||1 online resource (841 pages)|
|Contents:||Risk Management in Banking; Contents; About the Author; Introduction; SECTION 1 The Financial Crisis; 1 The 2007-2008 Financial Crisis; SECTION 2 Business Lines, Risks, and Risk Management; 2 Banking Business Lines; 3 Risks and Risk Management; 4 Risk Management; SECTION 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; SECTION 4 Valuation; 10 Distribution Functions; 11 Discrete and Continuous Returns. 12 Stochastic Processes13 Valuation and Pricing Risk; 14 Some Applications of Valuation Techniques; SECTION 5 Risk Modeling; 15 Sensitivity; 16 Volatility; 17 The Value-at-Risk Measure; 18 VaR and Capital; SECTION 6 Regulations; 19 Banking Regulations: Basel 1 and Market Risk; 20 Banking Regulations: The Basel 2 Accord; 21 Accounting Standards; SECTION 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. SECTION 8 Funds Transfer Pricing Systems28 Funds Transfer Pricing Systems; 29 Economic Transfer Prices; SECTION 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; SECTION 10 Market Risk; 35 Delta-normal VaR; 36 Historical and Hypothetical Simulations; 37 Simulation of Interest Rates; 38 Back Tests, Benchmarks and Stress Tests; SECTION 11 Credit Risk: Standalone; 39 Credit Risk Data; 40 Rating Systems; 41 Statistical and Scoring Models. 42 The Option Approach to Defaults and Migrations43 Default Probability and Default Intensity; 44 Credit Risk Potential Exposure; 45 Modeling Recoveries; 46 Credit Risk Valuation and Credit Spreads; SECTION 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; SECTION 13 Capital Allocation; 52 Economic Capital and Credit Risk VaR; 53 Capital Allocation and Risk Contributions; 54 Marginal Risk Contributions. SECTION 14 Risk-adjusted Performance55 RaRoC and Shareholders' Value Added; 56 Economic Income Statements; SECTION 15 Credit Portfolio Management; 57 Portfolio Analysis; 58 Securitization and Capital Management; 59 Credit Portfolio Management; SECTION 16 Conclusion and Financial Reforms; 60 The Financial System and Reforms; References; Index.|