Risk Management in Banking

Risk Management in Banking

by Joel Bessis

Paperback(SPIRAL)

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Product Details

ISBN-13: 9780471974666
Publisher: Wiley
Publication date: 02/11/1998
Edition description: SPIRAL
Pages: 448
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:

RISK MANAGEMENT.

Risks.

Banking Regulations.

MEASURING RISKS.

Risk Measurement.

VAR.

CREDIT RISK.

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.

Market Values.

QUANTITATIVE CAPITAL MANAGEMENT.

Capital Requirements.

RISK-BASED CAPITAL.

Measuring CAR.

Risk-adjusted Performance.

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.

PORTFOLIO MANAGEMENT.

The Management of Banking Portfolios.

IMPLICIT OPTIONS IN BANKING PRODUCTS.

Embedded Options.

Convexity Risks.

Bibliography.

Index.

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