Risk Management in Banking Joel Bessis Risk management and efficient asset allocation are the watchwords of modern banking - not only for profitability and security, but also to comply with the increasingly stringent international regulations laid down by the Bank for International Settlements. Risk Management in Banking examines all aspects of financial risk management in banking, from global considerations right down to the fundamental aspects of the management of a particular profit centre. The author emphasises the need to understand conceptual and implementation issues of risk management, and examines the latest techniques and practical issues, including
• Value at risk (VAR)
• Risk-based capital (Capital At Risk)
• Asset liability management (ALM)
• Loan portfolio management
• Credit risk
• Market risk
• Interest rate risk
• Liquidity risk
• Funds transfer pricing
• Capital allocation
Questions such as: "How do we implement a risk management system?" and "What is the practical potential of banking risk management techniques?" are answered, making Risk Management in Banking an essential text for MBA students, practitioners in banking and financial services, bank regulators and auditors.
|Product dimensions:||6.14(w) x 9.09(h) x 0.96(d)|
About the Author
JOEL BESSIS is in charge of risk analytics at the risk department of CDC IXIS, in Paris, France and was previously Director of Research at Fitch. He is Professor of Finance at HEC School of Management, Paris, France, and a frequent speaker at professional conferences. He has been a consultant to risk departments of several banking institutions in Europe, and held a permanent consultancy position for seven years at Banque Paribas in the Risk Department.
Table of Contents
Partial table of contents:
Credit Risk for Banking Transactions.
Credit Risk for Market.Instruments.
LIQUIDITY AND INTEREST RATE RISKS.
The Liquidity Gap.
The Term Structure of Interest Rates.
MARK-TO-MARKET VALUE MANAGEMENT.
QUANTITATIVE CAPITAL MANAGEMENT.
PORTFOLIO CREDIT AND MARKET RISKS.
The Risk of Portfolios.
Correlations and Portfolio Risk.
FUNDS TRANSFER PRICING AND CAPITAL ALLOCATION.
Funds Transfer Pricing Systems.
Economic Transfer Prices.
The Management of Banking Portfolios.
IMPLICIT OPTIONS IN BANKING PRODUCTS.