Risk Management in Banking
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Risk Management in Banking

Risk Management in Banking


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About the Book

This revised and updated edition covers all aspects of risk management, shedding light on extensive recent developments in the field. There is an emphasis on current practice, and this edition has been expanded to include an in-depth discussion of: credit risk models; asset liability management; credit valuation; risk-based capital; VAR; loan portfolio management; fund transfer pricing; and capital allocation. Credit risk, credit risk valuation and credit risk models are discussed in greater depth than in the first edition, to reflect the increasing importance attributed to them. Quantitative material is presented in more detail and the scope of the book has been expanded to include investment banking and other financial services. Additionally, there is an enhanced emphasis on business risk as well as on budgeting and provisioning policies.

Table of Contents:
1. Banking Risks Banking Business Lines Banking Risks 2. Risk Regulations Banking Regulations 3. Risk Management Processes Risk Management Processes Risk Management Organization 4. Risk Models Risk Measures VaR and Capital Valuation Risk Model Building Blocks 5. Asset--Liability Management ALM Overview Liquidity Gaps The Term Structure of Interest Rates Interest Rate Gaps Hedging and Derivatives 6. Asset--Liability Management Models Overview of ALM Models Hedging Issues ALM Simulations ALM and Business Risk ALM 'Risk and Return' Reporting and Policy 7. Options and Convexity Risk in Banking Implicit Options Risk The Value of Implicit Options 8. Mark--to--Market Management in Banking Market Value and NPV of the Balance Sheet NPV and Interest Rate Risk NPV and Convexity Risks NPV Distribution and VaR 9. Funds Transfer Pricing FTP Systems Economic Transfer Prices 10. Portfolio Analysis: Correlations Correlations and Portfolio Effects 11. Market Risk Market Risk Building Blocks Standalone Market Risk Modelling Correlations and Multi--factor Models for Market Risk Portfolio Market Risk 12. Credit Risk Models Overview of Credit Risk Models 13. Credit Risk: 'Standalone Risk' Credit Risk Drivers Rating Systems Credit Risk: Historical Data Statistical and Econometric Models of Credit Risk The Option Approach to Defaults and Migrations Credit Risk Exposure From Guarantees to Structures Modelling Recoveries Credit Risk Valuaiton and Credit Spreads Standalone Credit Risk Distributions 14. Credit Risk: 'Portfolio Risk' Modelling Credit Risk Correlations Generating Loss Distributions: Overview Portfolio Loss Distriburtions: Example Analytical Loss Distributions Loss Distributions: Monte Carlo Simulations Loss Distribution and Transition Matrices Capital and Credit Risk VaR 16. Capital Allocation Capital Allocation and Risk Contributions Marginal Risk Contributions 16. Risk--adjusted Performance Risk--adjusted Performance Risk--adjusted Performance Implementation 17. Portfolio and Capital Management (Credit Risk) Portfolio Reporting (1) Portfolio Reporting (2) Portfolio Applications Credit Derivatives: Definitions Applications of Credit Derivatives Securitization and Capital Management Bibliography Index

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.


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Product Details
  • ISBN-13: 9780471893363
  • Publisher: John Wiley and Sons Ltd
  • Publisher Imprint: John Wiley & Sons Ltd
  • Edition: Revised edition
  • Language: English
  • Weight: 1340 gr
  • ISBN-10: 0471893366
  • Publisher Date: 08 Apr 2002
  • Binding: Paperback
  • Height: 243 mm
  • Returnable: N
  • Width: 167 mm


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Risk Management in Banking
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