The seminal guide to risk management, streamlined andupdatedRisk Management in Banking is a comprehensive referencefor the risk management industry, covering all aspects of thefield. Now in its fourth edition, this useful guide has beenupdated with the latest information on ALM, Basel 3, derivatives,liquidity analysis, market risk, structured products, credit risk,securitizations, and more. The new companion website featuresslides, worked examples, a solutions manual, and the newstreamlined, modular approach allows readers to easily find theinformation they need. Coverage includes asset liabilitymanagement, risk-based capital, value at risk, loan portfoliomanagement, capital allocation, and other vital topics, concludingwith an examination of the financial crisis through the utilisationof new views such as behavioural finance and nonlinearity ofrisk.Considered a seminal industry reference since the firstedition's release, Risk Management in Banking has beenstreamlined for easy navigation and updated to reflect the changesin the field, while remaining comprehensive and detailed inapproach and coverage. Students and professionals alike willappreciate the extended scope and expert guidance as they:* Find all "need-to-know" risk management topics in a singletext* Discover the latest research and the new practices* Understand all aspects of risk management and bankingmanagement* See the recent crises - and the lessons learned -from a new perspectiveRisk management is becoming increasingly vital to the bankingindustry even as it grows more complex. New developments andadvancing technology continue to push the field forward, andprofessionals need to stay up-to-date with in-depth information onthe latest practices. Risk Management in Banking provides acomprehensive reference to the most current state of the industry,with complete information and expert guidance.
The seminal guide to risk management, streamlined and updated Risk Management in Banking is a comprehensive reference for the risk management industry, covering all aspects of the field.
The seminal guide to risk management, streamlined andupdated
Risk Management in Banking is a comprehensive referencefor the risk management industry, covering all aspects of thefield. Now in its fourth edition, this useful guide has beenupdated with the latest information on ALM, Basel 3, derivatives,liquidity analysis, market risk, structured products, credit risk,securitizations, and more. The new companion website featuresslides, worked examples, a solutions manual, and the newstreamlined, modular approach allows readers to easily find theinformation they need. Coverage includes asset liabilitymanagement, risk-based capital, value at risk, loan portfoliomanagement, capital allocation, and other vital topics, concludingwith an examination of the financial crisis through the utilisationof new views such as behavioural finance and nonlinearity ofrisk.
Considered a seminal industry reference since the firstedition's release, Risk Management in Banking has beenstreamlined for easy navigation and updated to reflect the changesin the field, while remaining comprehensive and detailed inapproach and coverage. Students and professionals alike willappreciate the extended scope and expert guidance as they:
* Find all "need-to-know" risk management topics in a singletext
* Discover the latest research and the new practices
* Understand all aspects of risk management and bankingmanagement
* See the recent crises - and the lessons learned -from a new perspective
Risk management is becoming increasingly vital to the bankingindustry even as it grows more complex. New developments andadvancing technology continue to push the field forward, andprofessionals need to stay up-to-date with in-depth information onthe latest practices. Risk Management in Banking provides acomprehensive reference to the most current state of the industry,with complete information and expert guidance.
Foreword vii
Preface ix
About the Author xi
1 Risks and Risk Management 1
2 Banking Regulations Overview 13
3 Balance Sheet Management and Regulations 21
4 Liquidity Management and Liquidity Gaps 31
5 Interest Rate Gaps 43
6 Hedging and Gap Management 57
7 Economic Value of the Banking Book 67
8 Convexity Risk in Banking 81
9 Convexity Risk: The Case of Mortgages 91
10 Funds Transfer Pricing Systems 109
11 Returns, Random Shocks and Value-at-Risk 123
12 Portfolio Risk and Factor Models 135
13 Delta-normal VaR and Historical VaR 149
14 Extensions of Traditional VaR 159
15 Volatility 169
16 Simulation of Interest Rates 179
17 Market Risk Regulations 189
18 Credit Risk 199
19 Credit Risk Data 211
20 Scoring Models and Credit Ratings 221
21 Default Models 237
22 Counterparty Credit Risk 253
23 Credit Event Dependencies 263
24 Credit Portfolio Risk: Analytics 271
25 Credit Portfolio Risk: Simulations 283
26 Credit Risk Regulations 293
27 Capital Allocation and Risk Contributions 303
28 Risk-adjusted Performance Measures 315
29 Credit Derivatives 323
30 Securitizations 331
References 345
Index 351
Inhaltsverzeichnis
Foreword vii
Preface ix
About the Author xi
1 Risks and Risk Management 1
2 Banking Regulations Overview 13
3 Balance Sheet Management and Regulations 21
4 Liquidity Management and Liquidity Gaps 31
5 Interest Rate Gaps 43
6 Hedging and Gap Management 57
7 Economic Value of the Banking Book 67
8 Convexity Risk in Banking 81
9 Convexity Risk: The Case of Mortgages 91
10 Funds Transfer Pricing Systems 109
11 Returns, Random Shocks and Value-at-Risk 123
12 Portfolio Risk and Factor Models 135
13 Delta-normal VaR and Historical VaR 149
14 Extensions of Traditional VaR 159
15 Volatility 169
16 Simulation of Interest Rates 179
17 Market Risk Regulations 189
18 Credit Risk 199
19 Credit Risk Data 211
20 Scoring Models and Credit Ratings 221
21 Default Models 237
22 Counterparty Credit Risk 253
23 Credit Event Dependencies 263
24 Credit Portfolio Risk: Analytics 271
25 Credit Portfolio Risk: Simulations 283
26 Credit Risk Regulations 293
27 Capital Allocation and Risk Contributions 303
28 Risk-adjusted Performance Measures 315
29 Credit Derivatives 323
30 Securitizations 331
References 345
Index 351
Klappentext
The seminal guide to risk management, streamlined andupdated
Risk Management in Banking is a comprehensive referencefor the risk management industry, covering all aspects of thefield. Now in its fourth edition, this useful guide has beenupdated with the latest information on ALM, Basel 3, derivatives,liquidity analysis, market risk, structured products, credit risk,securitizations, and more. The new companion website featuresslides, worked examples, a solutions manual, and the newstreamlined, modular approach allows readers to easily find theinformation they need. Coverage includes asset liabilitymanagement, risk-based capital, value at risk, loan portfoliomanagement, capital allocation, and other vital topics, concludingwith an examination of the financial crisis through the utilisationof new views such as behavioural finance and nonlinearity ofrisk.
Considered a seminal industry reference since the firstedition's release, Risk Management in Banking has beenstreamlined for easy navigation and updated to reflect the changesin the field, while remaining comprehensive and detailed inapproach and coverage. Students and professionals alike willappreciate the extended scope and expert guidance as they:
* Find all "need-to-know" risk management topics in a singletext
* Discover the latest research and the new practices
* Understand all aspects of risk management and bankingmanagement
* See the recent crises - and the lessons learned -from a new perspective
Risk management is becoming increasingly vital to the bankingindustry even as it grows more complex. New developments andadvancing technology continue to push the field forward, andprofessionals need to stay up-to-date with in-depth information onthe latest practices. Risk Management in Banking provides acomprehensive reference to the most current state of the industry,with complete information and expert guidance.
