Risk Management in Banking / Edition 3

Risk Management in Banking / Edition 3

by Joel Bessis
     
 

ISBN-10: 0470019123

ISBN-13: 9780470019122

Pub. Date: 02/08/2010

Publisher: Wiley

“Highly recommended to professionals, risk managers and students in risk management who look for a relevant comprehensive view of how risk management expands and evolves towards greater sophistication.”

Alain Canac, former Senior Credit Officer at Banque Paribas and IXIS Corporate & Investment Bank

The recent global

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Overview

“Highly recommended to professionals, risk managers and students in risk management who look for a relevant comprehensive view of how risk management expands and evolves towards greater sophistication.”

Alain Canac, former Senior Credit Officer at Banque Paribas and IXIS Corporate & Investment Bank

The recent global financial crisis has highlighted the need for all participants in the banking system to understand and intelligently utilize risk management. Updated and expanded, the new edition of Bessis’s Risk Management in Banking is the best overall guide to the concepts and tools needed to avoid the next banking crisis. Bessis reveals his roots as both academic and practitioner by his combination of intellectual rigor and pragmatic application. Concisely integrating a wide body of work within a comprehensive analytic framework, the careful exposition as well as practical illustrations will be appreciated by students and bankers alike. Highly recommended!

Stephen Kealhofer, Managing Principal, Research at Diversified Credit Investments

“Risk Management in Banking has been a constant companion in my work. Over my career I have developed three different corporate risk management programs and have found Dr. Bessis’ writing to be highly valuable and especially practical. This updated edition expands greatly on previous volumes and benefits from recent international experiences which have greatly challenged some approaches to the understanding of risk. It is essential reading for those managing risks in today’s complex banking environment.

David R. Koenig, Chief Executive Officer, The Governance Fund, LLC and Past Chair, Board of Directors, Professional Risk Managers’ International Association (PRMIA)

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Product Details

ISBN-13:
9780470019122
Publisher:
Wiley
Publication date:
02/08/2010
Pages:
840
Product dimensions:
6.90(w) x 9.80(h) x 2.00(d)

Table of Contents

Introduction
Sect. 1Banking Risks1
1Banking Business Lines3
2Banking Risks11
Sect. 2Risk Regulations23
3Banking Regulations25
Sect. 3Risk Management Processes51
4Risk Management Processes53
5Risk Management Organization67
Sect. 4Risk Models75
6Risk Measures77
7VaR and Capital87
8Valuation98
9Risk Model Building Blocks113
Sect. 5Asset - Liability Management129
10ALM Overview131
11Liquidity Gaps136
12The Term Structure of Interest Rates151
13Interest Rate Gaps164
14Hedging and Derivatives180
Sect. 6Asset - Liability Management Models191
15Overview of ALM Models193
16Hedging Issues201
17ALM Simulations210
18ALM and Business Risk224
19ALM 'Risk and Return' Reporting and Policy233
Sect. 7Options and Convexity Risk in Banking245
20Implicit Options Risk247
21The Value of Implicit Options254
Sect. 8Mark-to-Market Management in Banking269
22Market Value and NPV of the Balance Sheet271
23NPV and Interest Rate Risk280
24NPV and Convexity Risks289
25NPV Distribution and VaR300
Sect. 9Funds Transfer Pricing309
26FTP Systems311
27Economic Transfer Prices325
Sect. 10Portfolio Analysis: Correlations337
28Correlations and Portfolio Effects339
Sect. 11Market Risk357
29Market Risk Building Blocks359
30Standalone Market Risk363
31Modelling Correlations and Multi-factor Models for Market Risk384
32Portfolio Market Risk396
Sect. 12Credit Risk Models417
33Overview of Credit Risk Models419
Sect. 13Credit Risk: 'Standalone Risk'433
34Credit Risk Drivers435
35Rating Systems443
36Credit Risk: Historical Data451
37Statistical and Econometric Models of Credit Risk459
38The Option Approach to Defaults and Migrations479
39Credit Risk Exposure495
40From Guarantees to Structures508
41Modelling Recoveries521
42Credit Risk Valuation and Credit Spreads538
43Standalone Credit Risk Distributions554
Sect. 14Credit Risk: 'Portfolio Risk'563
44Modelling Credit Risk Correlations565
45Generating Loss Distributions: Overview580
46Portfolio Loss Distributions: Example586
47Analytical Loss Distributions595
48Loss Distributions: Monte Carlo Simulations608
49Loss Distribution and Transition Matrices622
50Capital and Credit Risk VaR627
Sect. 15Capital Allocation637
51Capital Allocation and Risk Contributions639
52Marginal Risk Contributions655
Sect. 16Risk-adjusted Performance667
53Risk-adjusted Performance669
54Risk-adjusted Performance Implementation679
Sect. 17Portfolio and Capital Management (Credit Risk)689
55Portfolio Reporting (1)691
56Portfolio Reporting (2)701
57Portfolio Applications714
58Credit Derivatives: Definitions721
59Applications of Credit Derivatives733
60Securitization and Capital Management744
Bibliography762
Index781

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