The fundamentals of risk measurement:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2002
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 415 S. graph. Darst. |
| ISBN: | 0071386270 |
Staff View
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Record in the Search Index
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| adam_text | CONTENTS
Preface vii
Acknowledgments xi
1 The Basics of Risk Management 1
2 Risk Measurement at the Corporate Level: Economic Capital and RAROC 11
3 Review of Statistics 26
4 Background on Traded Instruments 50
5 Market Risk Measurement 88
6 The Three Common Approaches for Calculating Value at Risk 102
7 Value at Risk Contribution 136
8 Testing VaR Results to Ensure Proper Risk Measurement 145
9 Calculating Capital for Market Risk 150
10 Overcoming VaR s Limitations 155
11 The Management of Market Risk 164
12 Introduction to Asset Liability Management 175
13 Measurement of Interest Rate Risk for ALM 190
14 Funding Liquidity Risk in ALM 203
15 Funds Transfer Pricing and the Management of ALM Risks 210
16 Introduction to Credit Risk 226
17 Types of Credit Structure 231
18 Risk Measurement for a Single Facility 254
19 Estimating Parameter Values for Single Facilities 269
20 Risk Measurement For A Credit Portfolio: Part One 294
21 Risk Measurement For A Credit Portfolio: Part Two 315
V
vi Contents
22 Risk Adjusted Performance and Pricing for Loans 332
23 Regulatory Capital for Credit Risk 340
24 Operating Risk 359
25 Inter Risk Diversification and Bank Level RAROC 372
Glossary 389
Index 399
|
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| indexdate | 2024-07-09T19:08:33Z |
| institution | BVB |
| isbn | 0071386270 |
| language | English |
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| physical | XI, 415 S. graph. Darst. |
| publishDate | 2002 |
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| publisher | McGraw-Hill |
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| spelling | Marrison, Chris Verfasser aut The fundamentals of risk measurement Chris Marrison New York [u.a.] McGraw-Hill 2002 XI, 415 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Risiko / Messung / Risikomanagement Bank (DE-588)4004436-1 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Bank (DE-588)4004436-1 s Messung (DE-588)4038852-9 s DE-604 Value at Risk (DE-588)4519495-6 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010072110&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Marrison, Chris The fundamentals of risk measurement Risiko / Messung / Risikomanagement Bank (DE-588)4004436-1 gnd Messung (DE-588)4038852-9 gnd Value at Risk (DE-588)4519495-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4038852-9 (DE-588)4519495-6 (DE-588)4114309-7 |
| title | The fundamentals of risk measurement |
| title_auth | The fundamentals of risk measurement |
| title_exact_search | The fundamentals of risk measurement |
| title_full | The fundamentals of risk measurement Chris Marrison |
| title_fullStr | The fundamentals of risk measurement Chris Marrison |
| title_full_unstemmed | The fundamentals of risk measurement Chris Marrison |
| title_short | The fundamentals of risk measurement |
| title_sort | the fundamentals of risk measurement |
| topic | Risiko / Messung / Risikomanagement Bank (DE-588)4004436-1 gnd Messung (DE-588)4038852-9 gnd Value at Risk (DE-588)4519495-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
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