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.

  Autorentext

  JOËL BESSIS is Professor of Finance at HEC Paris, the leading French business school, where he conducts training in risk management throughout Europe, the US, and Asia. Over the course of his career Joël has developed a dual expertise ? as an academic and as a practitioner, holding permanent consulting assignments in corporations and later, in banks.

  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.

  Zusammenfassung
  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.

  Inhalt

  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 Securitization 331

  References 345

  Index 351