Skip to content

Risk Management in Banking

ISBN-10: 047197465X

ISBN-13: 9780471974659

Edition: 1998

Authors: Jo�l Bessis

List price: $165.00
Blue ribbon 30 day, 100% satisfaction guarantee!
what's this?
Rush Rewards U
Members Receive:
Carrot Coin icon
XP icon
You have reached 400 XP and carrot coins. That is the daily max!

Description:

This book examines all aspects of financial risk management in banking - from global considerations to the fundamental aspects of the management of a particular profit centre. It deals with the very latest techniques including value at risk.
Customers also bought

Book details

List price: $165.00
Copyright year: 1998
Publisher: John Wiley & Sons, Incorporated
Publication date: 2/11/1998
Binding: Hardcover
Pages: 448
Size: 6.25" wide x 9.50" long x 1.25" tall
Weight: 1.628
Language: English

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