Risk Management in Banking 2e
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More About This Title Risk Management in Banking 2e
English
JOEL BESSIS is in charge of risk analytics at the risk department of CDC IXIS, in Paris, France and was previously Director of Research at Fitch. He is Professor of Finance at HEC School of Management, Paris, France, and a frequent speaker at professional conferences. He has been a consultant to risk departments of several banking institutions in Europe, and held a permanent consultancy position for seven years at Banque Paribas in the Risk Department.
English
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
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
