Risk management in banking /

• Bessis, Joël.

• Bank management
• Risk management
• Asset-liability management

• John Wiley,

• 0471499773
• 0471893366 (pbk.) :

• No price

• Previous ed.: c1998.
• Includes bibliographical references and index.
• Banking Risks; Risks; Performance; BANK WIDE RISK MANAGEMENT; Bank Wide Risk Management; Risk Management Goals; Methodologies and Practices; Organization; Measuring and Controlling Risks; Bank Regulations; Risks Measurements; VaR and Risk Based Capital; Interest Rate Risk (IRR); ALM Overview; Liquidity Risk and Gaps; Term Structure of Interest Rates; Interest Rate Risk and Gaps; Interest Rate Derivatives; HEDGING INTEREST RATE RISK; Hedging Interest Rate Risk; Hedging and Projections; Hedging and Multiple Simulations; ALM Risk Reporting; The Funds Transfer Pricing System (FTP); The organization of the FTP; Economic Transfer Prices; ALM and Mark to Market Management; The NPV of the Balance Sheet; Hedging NPV against IR Risk (Duration Gaps); ALM and Implicit Options in Banking Products; Interest Rate Risk and Embedded Options; Option Adjusted Spreads; Interest Rate Convexity Risk; Correlations; Correlations: Statitical Definitions; Market Portfolio Risk; VaR for Market Risk; Economic Analysis of Credit Risk (Standalone); Credit Risk Drivers and Economic Measures; Modelling Credit Risk; Exposure Risk; Banking Portfolio; Trading Portfolio; Derivatives Portfolio; Default and Migration Risks; Default and Migration Data; Credit Risk Scoring; The Option Theoretic Approach and 'Edf' (KMV Credit Monitor and RMG Credit Manager); The Econometric Modelling of Default Rates (Credit Portfolio View); Recovery Risk; Collateral; Third Party Guarantees and Support; Covenants; Structures; Recovery Measures; Credit Spreads and the Market Valuation of Exposures (Mark-to-Model versus Book Value); Economic Measures of Standalone Credit Risk (expected and unexpected losses); Credit Risk VaR and Loan Portfolio Models; Portfolio Models Building Blocks; (Sub Part: Correlations); Correlations Modelling; Multi Factor Models of Correlation; (Sub Part: Modelling Loss Distribution); Generating Correlated Loss Distributions; The Example of a Two Obligors Portfolio; Conditioni.

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