A risk professional's survival guide : applied best practices in risk management /

"Balanced, practical risk management for post-financial crisis institutions. A Risk Professional's Survival Guide fills a critical gap left by existing risk management texts. Instead of focusing only on quantitative risk analysis or only on institutional risk management, this book takes a...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Rossi, Clifford (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley, 2014.
Colección:Wiley finance series.
Temas:
Risk management.
Risk Management
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Investments & Securities.
Risk management
Acceso en línea:Texto completo
Tabla de Contenidos:
  • A Risk Professional's Survival Guide
  • Contents
  • Preface
  • Acknowledgments
  • About the Author
  • CHAPTER 1 Navigating Risk at Sifi Bank
  • OVERVIEW
  • FINANCIAL INTERMEDIATION AND PROFIT MAXIMIZATION
  • SIFIBANK STRUCTURE AND HISTORY
  • SIFIBANK ORGANIZATIONAL STRUCTURE AND OVERSIGHT GOVERNANCE
  • Lines of Business
  • Sifi Bank Balance Sheet Composition
  • Industry Structure and Competition
  • BANK REGULATORY LANDSCAPE
  • SUMMARY
  • QUESTIONS
  • CHAPTER 2 Overview of Financial Risk Management
  • RISK MANAGEMENT DEFINED
  • Situational Risk Management
  • ELEMENTS OF RISK MANAGEMENT
  • RISK IDENTIFICATION AND TYPOLOGY
  • RISK MEASUREMENT
  • RISK ANALYSIS
  • RISK MITIGATION
  • SUMMARY
  • QUESTIONS
  • CHAPTER 3 Risk Governance and Structure
  • SIFIBANK'S RISK GOVERNANCE-THE EARLY YEARS
  • Criteria for Effective Risk Management
  • A Theory of Risk Governance
  • PRESCRIPTIONS FOR STRONG RISK GOVERNANCE
  • QUESTIONS
  • CHAPTER 4 Economic Capital, Risk-Adjusted Performance, and Capital Allocation
  • SIFIBANK'S BUSINESS PROBLEM
  • ECONOMIC CAPITAL AND VALUE-AT-RISK
  • STRESS TESTING AND SCENARIO ANALYSIS
  • RISK-ADJUSTED PERFORMANCE MEASUREMENT
  • RISK-ADJUSTED PERFORMANCE OPTIMIZATION
  • SUMMARY
  • QUESTIONS
  • CHAPTER 5 Credit Risk Theory
  • OVERVIEW
  • A Theory of Default
  • PORTFOLIO CREDIT RISK DYNAMICS
  • ANALYTIC METHODS FOR CREDIT PORTFOLIO ASSESSMENT
  • COUNTERPARTY RISK
  • SUMMARY
  • QUESTIONS
  • CHAPTER 6 Consumer Credit Risk Measurement
  • OVERVIEW
  • MEASURING PRODUCT EXPECTED LOSS
  • INCORPORATING BORROWER OPTIONS INTO RISK VIEWS AND COMPETING RISK ASSESSMENT
  • LOSS SEVERITY
  • GENERATING CREDIT LOSS ESTIMATES
  • LOAN LOSS RESERVING AND FORECASTING
  • UNEXPECTED LOSS
  • SUMMARY
  • QUESTIONS
  • CHAPTER 7 Commercial Credit Risk Overview
  • SIFICOMMERCIAL LENDING DIVISION
  • DEVELOPING RISK RATINGS
  • RISK-RATING SCORECARD PROCESS.
  • LOAN REVIEW PROCESS
  • RATING CRE LOANS
  • COMMERCIAL LOAN SYNDICATION
  • SUMMARY
  • QUESTIONS
  • CHAPTER 8 Credit Risk Mitigation
  • OVERVIEW
  • INSURANCE CONTRACTS
  • CREDIT DERIVATIVES AND RISK MITIGATION
  • CREDIT DEFAULT SWAP MECHANICS
  • CREDIT-LINKED NOTE MECHANICS
  • COLLATERALIZED DEBT OBLIGATION MECHANICS
  • CREDIT HEDGING OUTCOMES
  • SUMMARY
  • QUESTIONS
  • CHAPTER 9 Interest Rate Risk
  • OVERVIEW OF SIFIBANK'S INTEREST RATE RISK EXPOSURE
  • Duration Models
  • Extensions of the Duration Model
  • PRINCIPAL COMPONENTS ANALYSIS
  • ANALYTIC VAR MEASUREMENT OF INTEREST RATE RISK
  • MONTE CARLO VAR INTEREST RATE RISK METHODS
  • MODELING INTEREST RATE RISK OF MORE COMPLEX INSTRUMENTS
  • SUMMARY
  • QUESTIONS
  • CHAPTER 10 Market Risk
  • CALCULATING VAR FOR A PORTFOLIO
  • SIMULATION ANALYSIS AND VAR
  • POSITION LIMITS POLICIES
  • VAR LIMITATIONS AND ISSUES
  • SUMMARY
  • QUESTIONS
  • CHAPTER 11 Liquidity Risk Management
  • SIFIBANK'S EXPOSURE TO LIQUIDITY RISK
  • SIFIBANK'S APPROACH TO LIQUIDITY RISK MANAGEMENT
  • Building a Static Maturity Ladder
  • STRESS TESTING THE LIQUIDITY PROFILE
  • Scenario 1: Systemic Risk Event
  • Scenario 2: Sector-Specific Risk Event
  • Scenario 3: Sifi Bank-Specific Risk Event
  • LIQUIDITY CONTINGENCY PLANNING
  • LIQUIDITY MEASUREMENT
  • Advanced Liquidity Analytics: Probability-Based Liquidity Modeling
  • SUMMARY
  • QUESTIONS
  • CHAPTER 12 Market Risk Hedging
  • OVERVIEW
  • HEDGING PRINCIPLES AND BASICS
  • HEDGING USING FUTURES CONTRACTS
  • ROLLING HEDGES AND RISKS
  • HEDGING USING OPTIONS
  • DELTA HEDGING
  • SUMMARY
  • QUESTIONS
  • CHAPTER 13 Hedging Interest Rate Risk
  • OVERVIEW
  • HEDGE INSTRUMENT ALTERNATIVES
  • Futures and Forwards
  • Options
  • Delta Hedging
  • Use of Multiple Hedge Instruments
  • Hedge Optimization Techniques
  • Cost Considerations
  • Addressing Basis Risk.
  • Effects of Option Time Decay (Theta)
  • SUMMARY
  • QUESTIONS
  • CHAPTER 14 Operational Risk Management
  • OVERVIEW
  • INTERNAL CONTROLS ASSESSMENT
  • QUANTITATIVE ASSESSMENT OF OPERATIONAL RISK
  • REGULATORY STANDARDS
  • CYBER-SECURITY RISK
  • SUMMARY
  • QUESTIONS
  • CHAPTER 15 Model, Regulatory, Legal, and Reputational Risk Management
  • OVERVIEW
  • MODEL RISK
  • DATA ERRORS
  • MODEL ASSUMPTIONS
  • RISK LAYERING
  • GUARDING AGAINST MODEL RISK
  • REGULATORY RISK
  • LEGAL RISK
  • REPUTATION RISK
  • SUMMARY
  • QUESTIONS
  • CHAPTER 16 Toward Integrated Risk Management
  • OVERVIEW
  • DEFINING INTEGRATED RISK MANAGEMENT
  • KEY RISK INTEGRATION POINTS
  • ALIGNING RISK INFRASTRUCTURE WITH RISK-TAKING
  • SUMMARY
  • QUESTIONS
  • Answer Key
  • Index
  • EULA.

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