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Risk management in banking /
"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. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3,...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, UK :
Wiley,
2015.
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| Edición: | Fourth edition. |
| Colección: | Finance professional collection
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Risk Management in Banking; Contents; Foreword; Preface; About the Author; 1: Risks and Risk Management; 1.1 UNCERTAINTY, RISK AND EXPOSURE TO RISK; 1.2 BROAD CLASSES OF FINANCIAL RISK; 1.2.1 Credit Risk; 1.2.2 Market Risk; 1.2.3 Liquidity Risk; 1.2.4 Interest Rate Risk; 1.2.5 Foreign Exchange Risk; 1.2.6 Solvency Risk; 1.2.7 Operational Risk; 1.3 BUSINESS LINES IN BANKING; 1.4 BANKING REGULATIONS AND ACCOUNTING STANDARDS; 1.5 RISK MANAGEMENT; 1.5.1 Motivations; 1.5.2 The Risk Processes; 1.5.2.1 Credit Risk Limits and Delegations; 1.5.2.2 Market Risk and Trading Activities.
- 1.5.3 Risk Management Organization and Roles1.5.3.1 The Risk Department and the ``Three Lines of Defense ́́Model; 1.5.3.2 The Asset and Liability Management Department; 1.5.3.3 Enterprise-wide Risk Management (ERM); 2: Banking Regulations Overview; 2.1 REGULATION PRINCIPLES; 2.2 CAPITAL ADEQUACY; 2.3 SOME LESSONS OF THE FINANCIAL CRISIS; 2.3.1 Liquidity; 2.3.2 Fair Value; 2.3.3 Solvency; 2.3.4 Pro-cyclicality; 2.3.5 Securitizations and Contagion of Credit Risk; 2.3.6 Rating Agencies and Credit Enhancers; 2.4 THE RESPONSES OF REGULATORS TO THE FINANCIAL CRISIS.
- 3: Balance Sheet Management and Regulations3.1 THE NEW REGULATORY RATIOS; 3.1.1 Capital Adequacy; 3.1.2 The Liquidity Coverage Ratio (LCR); 3.1.3 The Net Stable Funding Ratio (NSFR); 3.1.4 The Leverage Ratio; 3.2 COMPLIANCE OF A COMMERCIAL BALANCE SHEET: EXAMPLE; 3.2.1 Capital Base; 3.2.2 Risk Weights, Asset Mix and Capital; 3.2.3 Compliance with NSFR; 3.2.4 LCR Compliance; 3.3 CREATION OF VALUE; 4: Liquidity Management and Liquidity Gaps; 4.1 LIQUIDITY AND LIQUIDITY RISK; 4.1.1 Liquidity and Financing; 4.1.2 Liquidity Risk in the Banking Book; 4.2 LIQUIDITY GAP TIME PROFILES.
- 4.3 TYPES OF LIQUIDITY GAPS4.4 MANAGING INCREMENTAL GAPS; 4.5 DYNAMIC LIQUIDITY GAPS; 4.6 FUNDING LIQUIDITY MANAGEMENT; 4.7 LIQUIDITY CRISES AND STRESS SCENARIOS; 5: Interest Rate Gaps; 5.1 INTEREST RATE RISK; 5.1.1 Interest Rate Risk, the Term Structure and Mismatch Risk; 5.2 INTEREST RATE GAPS; 5.3 CALCULATIONS OF INTEREST RATE GAP; 5.3.1 Calculation of Interest Rate Gaps; 5.3.2 Mapping Interest Rates to Selected Risk Factors; 5.3.3 Sample Gap Reports; 5.4 THE GAP MODEL; 5.5 NET INTEREST INCOME AND INTEREST RATE GAPS; 5.6 GAP MANAGEMENT AND HEDGING; 5.7 LIMITATIONS OF INTEREST RATE GAPS.
- 5.7.1 Customers' Rates5.7.2 Regulated Rates; 5.7.3 Embedded Options; 5.8 APPENDIX: GAPS AND INTEREST RATE SENSITIVITY; 6: Hedging and Gap Management; 6.1 THE TRADE-OFFS OF GAP MANAGEMENT; 6.2 MANAGING INTEREST RATE GAPS WITH INTEREST RATE DERIVATIVES; 6.3 MANAGING INTEREST RATE GAPS; 6.4 SETTING LIMITS TO GAPS; 6.5 HEDGING THE VARIATIONS OF THE TERM STRUCTURE OF INTEREST RATES (CASE STUDY); 6.6 HEDGING BUSINESS RISK AND INTEREST RATE RISK; 7: Economic Value of the Banking Book; 7.1 ECONOMIC VALUE AND ITS SENSITIVITY; 7.2 ECONOMIC VALUE AND NET INTEREST INCOME; 7.2.1 Sample Bank Balance Sheet.