Risk Management in Banking

By:

Joel Bessis

Material type: Text

TextPublication details: New Delhi Wiley 2017Edition: 4th edDescription: 364ISBN:

9788126559831

Subject(s):

Risk management

DDC classification:

332.10681 J591 R 103920

Contents:

Foreword Preface About the Author 1 Risks and Risk Management 2 Banking Regulations Overview 3 Balance Sheet Management and Regulations 4 Liquidity Management and Liquidity Gaps 5 Interest Rate Gaps 6 Hedging and Gap Management 7 Economic Value of the Banking Book 8 Convexity Risk in Banking 9 Convexity Risk: The Case of Mortgages 10 Funds Transfer Pricing Systems 11 Returns, Random Shocks and Value-at-Risk 12 Portfolio Risk and Factor Models 13 Delta-normal VaR and Historical VaR 14 Extensions of Traditional VaR 15 Volatility 16 Simulation of Interest Rates 17 Market Risk Regulations 18 Credit Risk 19 Credit Risk Data 20 Scoring Models and Credit Ratings 21 Default Models 22 Counterparty Credit Risk 23 Credit Event Dependencies 24 Credit Portfolio Risk: Analytics 25 Credit Portfolio Risk: Simulations 26 Credit Risk Regulations 27 Capital Allocation and Risk Contributions 28 Risk-adjusted Performance Measures 29 Credit Derivatives 30 Securitizations References Index

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Holdings
Item type	Current library	Call number	Status	Barcode
Books	Prajna Pratishthanam Library Management	332.10681 J591 R 103920 (Browse shelf(Opens below))	Available	103920

Risk Management in Banking is a comprehensive reference for the risk management industry, covering all aspects of the field. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3, derivatives, liquidity analysis, market risk, structured products, credit risk, securitizations and more. The new companion website features slides, worked examples, a solutions manual and the new streamlined, modular approach allows readers to easily find the information they need.

Foreword

Preface

About the Author

1 Risks and Risk Management

2 Banking Regulations Overview

3 Balance Sheet Management and Regulations

4 Liquidity Management and Liquidity Gaps

5 Interest Rate Gaps

6 Hedging and Gap Management

7 Economic Value of the Banking Book

8 Convexity Risk in Banking

9 Convexity Risk: The Case of Mortgages

10 Funds Transfer Pricing Systems

11 Returns, Random Shocks and Value-at-Risk

12 Portfolio Risk and Factor Models

13 Delta-normal VaR and Historical VaR

14 Extensions of Traditional VaR

15 Volatility

16 Simulation of Interest Rates

17 Market Risk Regulations

18 Credit Risk

19 Credit Risk Data

20 Scoring Models and Credit Ratings

21 Default Models

22 Counterparty Credit Risk

23 Credit Event Dependencies

24 Credit Portfolio Risk: Analytics

25 Credit Portfolio Risk: Simulations

26 Credit Risk Regulations

27 Capital Allocation and Risk Contributions

28 Risk-adjusted Performance Measures

29 Credit Derivatives

30 Securitizations

References

Index

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