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Risk Management in Banking.

Author: Joël Bessis
Publisher: Hoboken : John Wiley & Sons, 2011.
Edition/Format:   eBook : Document : English : 3rd edView all editions and formats
Database:WorldCat
Summary:
Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on time intensity models, implementing risk systems and intensity models  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Bessis, Joël.
Risk Management in Banking.
Hoboken : John Wiley & Sons, ©2011
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Joël Bessis
ISBN: 9780470689875 0470689870
OCLC Number: 768731743
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.

Abstract:

Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on time intensity models, implementing risk systems and intensity models of default, it also includes a section on subprime that discusses the crisis mechanisms and makes numerous references throughout to the recent stressed financial conditions. The book po.

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