Risk Management in Banking / Edition 3

Risk Management in Banking / Edition 3

by Joel Bessis
     
 

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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

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)

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

Banking Risks.
Risks.
Performance.
BANK WIDE RISK MANAGEMENT.
Bank Wide Risk Management.
Risk Management Goals.
Methodologies and Practices.
Organization.
Measuring and Controlling Risks.
Bank Regulations.
Risks Measurements.
VaR and Risk Based Capital.
Interest Rate Risk (IRR).
ALM Overview.
Liquidity Risk and Gaps.
Term Structure of Interest Rates.
Interest Rate Risk and Gaps.
Interest Rate Derivatives.
HEDGING INTEREST RATE RISK.
Hedging Interest Rate Risk.
Hedging and Projections.
Hedging and Multiple Simulations.
ALM Risk Reporting.
The Funds Transfer Pricing System (FTP).
The organization of the FTP.
Economic Transfer Prices.
ALM and Mark to Market Management.
The NPV of the Balance Sheet.
Hedging NPV against IR Risk (Duration Gaps).
ALM and Implicit Options in Banking Products.
Interest Rate Risk and Embedded Options.
Option Adjusted Spreads.
Interest Rate Convexity Risk.
Correlations.
Correlations: Statitical Definitions.
Market Portfolio Risk.
VaR for Market Risk.
Economic Analysis of Credit Risk (Standalone).
Credit Risk Drivers and Economic Measures.
Modelling Credit Risk.
Exposure Risk.
Banking Portfolio.
Trading Portfolio.
Derivatives Portfolio.
Default and Migration Risks.
Default and Migration Data.
Credit Risk Scoring.
The Option Theoretic Approach and 'Edf' (KMV Credit
Monitor and RMG Credit Manager).
The Econometric Modelling of Default Rates (Credit Portfolio
View).
Recovery Risk.
Collateral.
Third Party Guarantees and Support.
Covenants.
Structures.
Recovery Measures.
Credit Spreads and the MarketValuation of Exposures
(Mark-to-Model versus Book Value).
Economic Measures of Standalone Credit Risk (expected
and unexpected losses).
Credit Risk VaR and Loan Portfolio Models.
Portfolio Models Building Blocks.
(Sub Part: Correlations).
Correlations Modelling.
Multi Factor Models of Correlation.
(Sub Part: Modelling Loss Distribution).
Generating Correlated Loss Distributions.
The Example of a Two Obligors Portfolio.
Conditioning Loss Distributions.
Monte Carlo Simulation and the Option Theoretic
Framework (KMV Portfolio Manager and Credit Monitor).
Monte Carlo Simulations and the Econometric Models
(Credit Portfolio View).
Generating Loss Distribution from Migration Matrices
(CrashMetrics and RMG Credit Manager).
CreditRisk+ Analytical Formulation.
Technical Appendix: Analytics of Correlations.
Modelling Capital.
Modelling Capital Allocation and Risk Contributions.
Absolute Risk Contributions for Capital Allocation.
Marginal Risk Contributions and Risk Based Pricing.
Portfolio Models Overview.
Models Input.
IT Challenges.
Risk Adjusted Performance.
Risk Adjustment Framework.
Risk Adjusted Performance Measurement- RAPM (Capital
Allocation Based).
The Price of Risk.
Risk Based Pricing (ex Ante).
Versus Risk Adjusted Performance (ex Post).
Credit Derivatives.
Definitions.
Review of Credit Derivatives.
Implementations of Credit Derivatives.
Pricing Credit Derivatives.
Portfolio Reporting and Management.
Portfolio Reporting.
Capital Management.
The Economics of Securitizations (classical and CDO).
Securitizations and Structured Notes.
Bibliography.

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