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

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

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A global banking risk management guide geared toward the practitioner 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. Wri...

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Detalles Bibliográficos
Otros Autores: Skoglund, Jimmy, 1971- author (author), Chen, Wei, 1968 November 10- author
Formato: Libro electrónico
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley 2015.
Edición:1st edition
Colección:Wiley finance series.
Materias:
Financial institutions > Risk management.
Banks and banking > Risk management.
Financial risk management.
Entitats financeres
Bancs
Gestió del risc
Llibres electrònics
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629723806719
Tabla de Contenidos:
  • Intro
  • Series page
  • Title Page
  • Copyright
  • Table of Contents
  • Preface
  • About this book
  • Whom is this book for?
  • Outline of the book
  • 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
  • End User License Agreement.

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