Risk Management in Banking

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 nav igation 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.

Inhaltsverzeichnis:

Foreword viiPreface ixAbout the Author xi1 Risks and Risk Management 12 Banking Regulations Overview 133 Balance Sheet Management and Regulations 214 Liquidity Management and Liquidity Gaps 315 Interest Rate Gaps 436 Hedging and Gap Management 577 Economic Value of the Banking Book 678 Convexity Risk in Banking 819 Convexity Risk: The Case of Mortgages 9110 Funds Transfer Pricing Systems 10911 Returns, Random Shocks and Value-at-Risk 12312 Portfolio Risk and Factor Models 13513 Delta-normal VaR and Historical VaR 14914 Extensions of Traditional VaR 15915 Volatility 16916 Simulation of Interest Rates 17917 Market Risk Regulations 18918 Credit Risk 19919 Credit Risk Data 21120 Scoring Models and Credit Ratings 22121 Default Models 23722 Counterparty Credit Risk 25323 Credit Event Dependencies 26324 Credit Portfolio Risk: Analytics 27125 Credit Portfolio Risk: Simulations 28326 Credit Risk Regulations 29327 Capital Allocation and Risk Contributions 30328 Risk-adjusted Performance Mea sures 31529 Credit Derivatives 32330 Securitizations 331References 345Index 351