| |
| |
| Introduction | |
| |
| |
| Banking Risks | |
| |
| |
| Banking Business Lines | |
| |
| |
| Banking Risks | |
| |
| |
| Risk Regulations | |
| |
| |
| Banking Regulations | |
| |
| |
| Risk Management Processes | |
| |
| |
| Risk Management Processes | |
| |
| |
| Risk Management Organization | |
| |
| |
| Risk Models | |
| |
| |
| Risk Measures | |
| |
| |
| VaR and Capital | |
| |
| |
| Valuation | |
| |
| |
| Risk Model Building Blocks | |
| |
| |
| Asset--Liability Management | |
| |
| |
| ALM Overview | |
| |
| |
| Liquidity Gaps | |
| |
| |
| The Term Structure of Interest Rates | |
| |
| |
| Interest Rate Gaps | |
| |
| |
| Hedging and Derivatives | |
| |
| |
| Asset--Liability Management Models | |
| |
| |
| Overview of ALM Models | |
| |
| |
| Hedging Issues | |
| |
| |
| ALM Simulations | |
| |
| |
| ALM and Business Risk | |
| |
| |
| ALM 'Risk and Return' Reporting and Policy | |
| |
| |
| Options and Convexity Risk in Banking | |
| |
| |
| Implicit Options Risk | |
| |
| |
| The Value of Implicit Options | |
| |
| |
| Mark-to-Market Management in Banking | |
| |
| |
| Market Value and NPV of the Balance Sheet | |
| |
| |
| NPV and Interest Rate Risk | |
| |
| |
| NPV and Convexity Risks | |
| |
| |
| NPV Distribution and VaR | |
| |
| |
| Funds Transfer Pricing | |
| |
| |
| FTP Systems | |
| |
| |
| Economic Transfer Prices | |
| |
| |
| Portfolio Analysis: Correlations | |
| |
| |
| Correlations and Portfolio Effects | |
| |
| |
| Market Risk | |
| |
| |
| Market Risk Building Blocks | |
| |
| |
| Standalone Market Risk | |
| |
| |
| Modelling Correlations and Multi-factor Models for Market Risk | |
| |
| |
| Portfolio Market Risk | |
| |
| |
| Credit Risk Models | |
| |
| |
| Overview of Credit Risk Models | |
| |
| |
| Credit Risk: 'Standalone Risk' | |
| |
| |
| Credit Risk Drivers | |
| |
| |
| Rating Systems | |
| |
| |
| Credit Risk: Historical Data | |
| |
| |
| Statistical and Econometric Models of Credit Risk | |
| |
| |
| The Option Approach to Defaults and Migrations | |
| |
| |
| Credit Risk Exposure | |
| |
| |
| From Guarantees to Structures | |
| |
| |
| Modelling Recoveries | |
| |
| |
| Credit Risk Valuation and Credit Spreads | |
| |
| |
| Standalone Credit Risk Distributions | |
| |
| |
| Credit Risk: 'Portfolio Risk' | |
| |
| |
| Modelling Credit Risk Correlations | |
| |
| |
| Generating Loss Distributions: Overview | |
| |
| |
| Portfolio Loss Distributions: Example | |
| |
| |
| Analytical Loss Distributions | |
| |
| |
| Loss Distributions: Monte Carlo Simulations | |
| |
| |
| Loss Distribution and Transition Matrices | |
| |
| |
| Capital and Credit Risk VaR | |
| |
| |
| Capital Allocation | |
| |
| |
| Capital Allocation and Risk Contributions | |
| |
| |
| Marginal Risk Contributions | |
| |
| |
| Risk-adjusted Performance | |
| |
| |
| Risk-adjusted Performance | |
| |
| |
| Risk-adjusted Performance Implementation | |
| |
| |
| Portfolio and Capital Management (Credit Risk) | |
| |
| |
| Portfolio Reporting | |
| |
| |
| Portfolio Reporting (2) | |
| |
| |
| Portfolio Applications | |
| |
| |
| Credit Derivatives: Definitions | |
| |
| |
| Applications of Credit Derivatives | |
| |
| |
| Securitization and Capital Management | |
| |
| |
| Bibliography | |
| |
| |
| Index | |