Risk management in banking

著者

• Bessis, Joël

書誌事項

Risk management in banking

Joël Bessis

J. Wiley, c2002

2nd ed

• : hbk
• : pbk

タイトル別名

Gestion des risques et gestion actif-passif des banques

注記

Edition statement from cover

Bibliography: p. [762]-780

Includes index

内容説明・目次

巻冊次

: hbk ISBN 9780471499770

内容説明

Fully revised and updated from the highly successful previous edition, Risk Managment in Banking 2nd Edition covers all aspects of risk management, shedding light on the extensive new developments in the field. There is a new emphasis on current practice, as well as in-depth analysis of the latest in research and techniques. This edition has been expanded to include an in-depth discussion of credit risk models, asset and liability management, credit valuation, risk-based capital, VAR, loan portfolio management, fund transer pricing and capital allocation. Quantitative material is presented in more detail and the scope of the book has been expanded to include investment banking and other financial services.

目次

Introduction SECTION 1. Banking Risks Banking Business Lines Banking Risks SECTION 2. Risk Regulations Banking Regulations SECTION 3. Risk Management Processes Risk Management Processes Risk Management Organization SECTION 4. Risk Models Risk Measures VaR and Capital Valuation Risk Model Building Blocks SECTION 5. Asset--Liability Management ALM Overview Liquidity Gaps The Term Structure of Interest Rates Interest Rate Gaps Hedging and Derivatives SECTION 6. Asset--Liability Management Models Overview of ALM Models Hedging Issues ALM Simulations ALM and Business Risk ALM 'Risk and Return' Reporting and Policy SECTION 7. Options and Convexity Risk in Banking Implicit Options Risk The Value of Implicit Options SECTION 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 SECTION 9. Funds Transfer Pricing FTP Systems Economic Transfer Prices SECTION 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 SECTION 12. Credit Risk Models Overview of Credit Risk Models SECTION 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 SECTION 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 SECTION 15. Capital Allocation Capital Allocation and Risk Contributions Marginal Risk Contributions SECTION 16. Risk--adjusted Performance Risk--adjusted Performance Risk--adjusted Performance Implementation SECTION 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

巻冊次

: pbk ISBN 9780471893363

内容説明

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.

目次

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

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA56936084
• ISBN:
  • 0471499773
  • 0471893366
• LCCN: 01045562
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 原本言語コード: fre
• 出版地: Chichester
• ページ数/冊数: xx, 792 p.
• 大きさ: 25 cm
• 分類:
  • NDC9 : 338.5
  • LCC : HG1615
  • DC21 : 332.1/068/1
• 件名:
  • LCSH : Bank management
  • LCSH : Risk management
  • LCSH : Asset-liability management