Risk Management in Banking

Never before has risk management been so important.Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management.Fully restructured, featuring… (More)

Sections

The 2007–2008 Financial Crisis
Banking Business Lines
Risks and Risk Management
Risk Management
Banking and Financial Products
Essentials on Derivative Products
Interest Rate Risk and Interest Rate Derivatives
Foreign Exchange Risk and Foreign Exchange Derivatives
Credit Derivatives
Distribution Functions
Discrete and Continuous Returns
Stochastic Processes
Valuation and Pricing Risk
Some Applications of Valuation Techniques
Sensitivity
Volatility
The Value-at-Risk Measure
VaR and Capital
Banking Regulations: Basel 1 and Market Risk
Banking Regulations: The Basel 2 Accord
Accounting Standards
Liquidity Management and Liquidity Gaps
Interest Rate Gaps
ALM and Hedging Policies
Implicit Options Risk
Economic Value of the Balance Sheet
Economic Value and Convexity Risk
Funds Transfer Pricing Systems
Economic Transfer Prices
Correlations and Covariances
30.1 CORRELATIONS AND COVARIANCES
Conditional Probabilities
Dependencies and Copula Functions
Simulations with Factor Models or the Copula Approach
Delta-normal VaR
Historical and Hypothetical Simulations
Simulation of Interest Rates
Back Tests, Benchmarks and Stress Tests
Credit Risk Data
Rating Systems
Statistical and Scoring Models
The Option Approach to Defaults and Migrations
Default Probability and Default Intensity
Credit Risk Potential Exposure
Modeling Recoveries
Credit Risk Valuation and Credit Spreads
Credit Event Dependencies
Example of Portfolio Loss Distribution
Analytical Loss Distributions
Simulation of Credit Portfolio Loss Distributions
Credit Portfolio Models
Economic Capital and Credit Risk VaR
Capital Allocation and Risk Contributions
Marginal Risk Contributions
RaRoC and Shareholders’ Value Added
Economic Income Statements
Portfolio Analysis
Securitization and Capital Management
Credit Portfolio Management
The Financial System and Reforms
References
Index

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12/01/2011

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9780470689875

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