Financial risk management : applications in market, credit, asset and liability management and firmwide risk /

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Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Skoglund, Jimmy, 1971- (Autor), Chen, Wei, 1968 November 10- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc., [2015]
Temas:
Financial institutions > Risk management.
Banks and banking > Risk management.
Financial risk management.
Institutions financières > Gestion du risque.
Finances > Gestion du risque.
BUSINESS & ECONOMICS > Industrial Management.
BUSINESS & ECONOMICS > Management.
BUSINESS & ECONOMICS > Management Science.
BUSINESS & ECONOMICS > Organizational Behavior.
Financial risk management
Entitats financeres.
Bancs.
Gestió del risc.
Llibres electrònics.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Preface
  • Acknowledgments
  • Chapter 1: Introduction. Banks and Risk Management
  • Evolution of Bank Capital Regulation
  • Creating Value from Risk Management
  • Financial Risk Systems
  • Model Risk Management
  • Part One: Market Risk. Chapter 2: Market Risk with the Normal Distribution
  • Linear Portfolios
  • Quadratic Portfolios
  • Simulation-Based Valuation
  • Chapter 3: Advanced Market Risk Analysis
  • Risk Measures, Risk Contributions, and Risk Information
  • Modeling the Stylized Facts of Financial Time Series
  • Time Scaling VaR and VaR with Trading
  • Market Liquidity Risk
  • Scenario Analysis and Stress Testing
  • Portfolio Optimization
  • Developments in the Market Risk Internal Models Capital Regulation.
  • Part Two: Credit Risk. Chapter 4: Portfolio Credit Risk
  • Issuer Credit Risk in Wholesale Exposures and Trading Book
  • Credit Models for the Banking Book
  • Firmwide Portfolio Credit Risk and Credit Risk Dependence
  • Credit Risk Stress Testing
  • Features of New Generation Portfolio Credit Risk Models
  • Hedging Credit Risk
  • Regulatory Capital for Credit Risk
  • Appendix
  • Chapter 5: Counterparty Credit Risk
  • Counterparty Pricing and Exposure
  • CVA Risks
  • Portfolios of Derivatives
  • Recent Counterparty Credit Risk Developments
  • Counterparty Credit Risk Regulation
  • Part Three: Asset and Liability Management. Chapter 6: Liquidity Risk Management with Cash Flow Models
  • Measurement of Liquidity Risk
  • Liquidity Exposure
  • Hedging the Liquidity Exposure
  • Structural Liquidity Planning
  • Components of the Liquidity Hedging Program
  • Cash Liquidity Risk and Liquidity Risk Measures
  • Regulation for Liquidity Risk.
  • Chapter 7: Funds Transfer Pricing and Profitability of Cash Flows
  • Basic Funds Transfer Pricing Concept
  • Risk-Based Funds Transfer Pricing
  • Funds Transfer Rate and Risk Adjusted Returns
  • Profitability Measures and Decompositions
  • Banking Book Fair Value with Funds Transfer Rates
  • A Note on the Scope of Funds Transfer Pricing
  • Regulation and Profitability Analysis.
  • Part Four: Firmwide Risk
  • Chapter 8: Firmwide Risk Aggregation
  • Correlated Aggregation and Firmwide Risk Levels
  • Mixed Copula Aggregation
  • Capital Allocation in Risk Aggregation
  • Risk Aggregation and Regulation
  • Chapter 9: Firmwide Scenario Analysis and Stress Testing
  • Firmwide Scenario Model Approaches
  • Firmwide Risk Capital Measures
  • Regulatory Stress Scenario Approach
  • The Future of Firmwide Stress Testing
  • References
  • Index.

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