Banking risk management in a globalizing economy:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Westport, Conn. [u.a.]
Quorum Books
2001
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 171 S. graph. Darst. |
| ISBN: | 156720340X |
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MARC
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Record in the Search Index
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| adam_text | Contents
Figures and Tables ix
1 Introduction: From Financial Intermediation
to Risk Management 1
2 Banking Risk Management: An Overview 11
3 Evolution of Banking Risk Management 51
4 Risk Management Methods: Financial Derivatives 73
5 Credit Risk Management 97
6 Interest Rate Risk Management 109
7 Foreign Exchange Risk Management 135
8 Conclusion 155
References 163
Index 169
Figures and Tables
FIGURES
1.1 Financial Derivatives Value (1988 1998) 7
2.1 Risk versus Return: Riskier Assets Command
Higher Return 41
2.2 Portfolio Diversification and Volatility 42
2.3 Five Year Treasury Note Daily Yield Distribution 44
3.1 Gosou Sendan Houshiki 57
3.2 Asset Accumulation and Financial Intermediation
in Japan and the United States (1954 1988) 59
3.3 The Disbanding of Gosou Sendan Houshiki 68
4.1 Classification of Options Contracts 79
4.2 Time Value of an Option s Contract 86
6.1 Buyer and Seller Losses in a Simple FRA 115
6.2 Interest Rate Cap 123
6.3 Interest Rate Floor 125
6 4 Interest Rate Collar 126
6 5 The Olympic Bank and Aegean Credit Interest
Rate Swap 129
x / Figures and Tables
6.6 The Olympic Bank and Aegean Credit Interest Rate
Receipts and Payments in a Dealer Swap 131
7.1 Hedging a Short Position with FX Forward Contracts 139
7.2 Currency Swap between Banks A and B 153
TABLES
2.1 Banking Risks 16
2.2 Single and Aggregate Risk Measures 23
2.3 Maturity Ladder for a Representative Bank 25
2.4 Simple and Modified Duration Calculations 32
2.5 Alternative Simple and Modified Duration Calculations 32
2.6 Zero Coupon Bond, Simple and Modified Duration 33
2.7 Cumulative Gap 36
2.8 Foreign Exchange Price Fluctuations, Net Positions,
and Income Changes 38
2.9 Application of Foreign Exchange Price Fluctuations,
Net FX Positions, and Income Changes 40
3.1 Evolution of Banking Risks in the Twentieth Century 53
4.1 Global Positions in OTC Derivative Markets by Type
of Risk Instrument as of June 1998 74
4.2 Selective Future Contract Margins as of May 13, 1999 77
4.3 S P Market Value and Option Premiums 84
5.1 Scoring and Asset Classification 101
6.1 Interest Rate Gaps, Interest Rate Fluctuations,
and Revenue Changes 111
6.2 Interest Rate Fluctuations and Selective On Balance
Sheet Risk Management 112
6.3 Interest Rate Fluctuations and Selective Off Balance
Sheet Risk Management 113
6.4 Global Positions in OTC Interest Rate Derivatives
as of June 1998 i14
6.5 Selective Interest Rate Futures 117
6.6 Selective U.S. Treasury Futures Options I21
Figures and Tables / xi
6.7 Interest Rate Risk Management through Receiver s
and Payer s Swaption 122
6.8 Interest Rate Cap: An Application 124
7.1 Global Positions in OTC Foreign Exchange Derivative
Contracts as of June 1998 137
7.2 Selective FX Futures 145
7.3 Margin Account and the Marking to Market
(Buyer Long Position) 146
7.4 Margin Account and the Marking to Market
(Seller Short Position) 147
7.5 Profits and Losses for the Straddle Holder 150
7.6 Receipts and Payments in a Foreign Currency Swap 154
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| bvnumber | BV013773908 |
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| discipline | Wirtschaftswissenschaften |
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| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:51:43Z |
| institution | BVB |
| isbn | 156720340X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009415102 |
| oclc_num | 231872403 |
| open_access_boolean | |
| owner | DE-12 DE-19 DE-BY-UBM DE-11 |
| owner_facet | DE-12 DE-19 DE-BY-UBM DE-11 |
| physical | XI, 171 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Quorum Books |
| record_format | marc |
| spelling | Angelopulos, Panos 20./21. Jh. Verfasser (DE-588)122992261 aut Banking risk management in a globalizing economy Panos Angelopoulos and Panos Mourdoukoutas 1. publ. Westport, Conn. [u.a.] Quorum Books 2001 XI, 171 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank (DE-588)4004436-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s DE-604 Mourdoukoutas, Panos Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009415102&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Angelopulos, Panos 20./21. Jh Mourdoukoutas, Panos Banking risk management in a globalizing economy Bank (DE-588)4004436-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4121590-4 |
| title | Banking risk management in a globalizing economy |
| title_auth | Banking risk management in a globalizing economy |
| title_exact_search | Banking risk management in a globalizing economy |
| title_full | Banking risk management in a globalizing economy Panos Angelopoulos and Panos Mourdoukoutas |
| title_fullStr | Banking risk management in a globalizing economy Panos Angelopoulos and Panos Mourdoukoutas |
| title_full_unstemmed | Banking risk management in a globalizing economy Panos Angelopoulos and Panos Mourdoukoutas |
| title_short | Banking risk management in a globalizing economy |
| title_sort | banking risk management in a globalizing economy |
| topic | Bank (DE-588)4004436-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Bank Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009415102&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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