Risk management in banking:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2010
|
| Ausgabe: | 3. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 821 S. graph. Darst. |
| ISBN: | 9780470019122 9780470019139 |
Internformat
MARC
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| 100 | 1 | |a Bessis, Joël |e Verfasser |4 aut | |
| 240 | 1 | 0 | |a Gestion des risques et gestion actif-passif des banques |
| 245 | 1 | 0 | |a Risk management in banking |c Joël Bessis |
| 250 | |a 3. ed. | ||
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2010 | |
| 300 | |a XVII, 821 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Bank management | |
| 650 | 4 | |a Banks and banking | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
| _version_ | 1804136638784208896 |
|---|---|
| adam_text | Contents
About the Author
ix
Introduction
xi
SECTION I The Financial Crisis
1
1
The
2007-2008
Financial Crisis
3
SECTION
2
Business Lines, Risks, and Risk Management
19
2
Banking Business Lines
21
3
Risks and Risk Management
25
4
Risk Management
37
SECTIONS Financial Products
53
5
Banking and Financial Products
55
6
Essentials on Derivative Products fig
7
Interest Rate Risk and Interest Rate Derivatives
81
8
Foreign Exchange Risk and Foreign Exchange Derivatives
101
9
Credit Derivatives
107
SECTION
4
Valuation
117
10
Distribution Functions
ţţş
11
Discrete
and
Continuous Returns g
12
Stochastic Processes 14f
13
Valuation
aed
Pricing Risk
161
14
Some
Applications
of Valuation Techniques
і
70
vj
CONTENTS
SECTIONS Risk Modeling
179
15
Sensitivity
181
16
Volatility
189
17
The Value-at-Risk Measure
200
lg VaR and Capital
211
SECTION
6
Regulations
219
19
Banking Regulations: Basel
1
and Market Risk
221
20
Banking Regulations: The Basel
2
Accord
232
21
Accounting Standards
255
SECTION? Asset Liability Management
(ALM) 267
22
liquidity Management and Liquidity Gaps
271
23
Interest Rate Gaps
289
24 ALM
and Hedging Policies
303
25
Implicit Options Risk
319
26
Economic Value of the Balance Sheet
334
27
Economic Value and Convexity Risk
343
SECTIONS
Fonds
Transfer Pricing Systems
357
28
Fanđs
Transfer Pricing Systems
360
29
Economic Transfer Prices
367
SECTION
9
Dependencies and Portfolio Risk
379
Ж
Corrélations
and Covariances
384
Зі
Conditional Probabilities
396
32
Facter
Medels
405
33
Dependencies and Copula Functions
427
34
Simulations-wits Factor Models or the Copula Approach
450
SECTION
10
Market Risk
473
35
Delta-normal VaR
476
36
Histérica!
and Hypothetic»! Simulations
492
31
Sieraistbrn
of Interest Rates
503
38
Back Tests» Benchmarks and Stress Tests
515
SECTION H Créait
Risk:
Standateae
521
39
Credit Risk Data
523
40
Ratieg Systems S29
41
Statistical and Scoring Models
540
CONTENTS
vu
42
The Option Approach to Defaults and Migrations
554
43
Default Probability and Default Intensity
570
44
Credit Risk Potential Exposure
584
45
Modeling Recoveries
596
46
Credit Risk Valuation and Credit Spreads
605
SECTION
12
Credit Portfolio Risk
617
47
Credit Event Dependencies
619
48
Example of Portfolio Loss Distribution
627
49
Analytical Loss Distributions
635
50
Simulation of Credit Portfolio Loss Distributions
652
51
Credit Portfolio Models
662
SECTION
13
Capital Allocation
677
52
Economic Capital and Credit Risk VaR
679
53
Capital Allocation and Risk Contributions
687
54
Marginal Risk Contributions
704
SECTION
14
Risk-adjusted Performance
711
55
RaRoC and Shareholders Value Added
713
56
Economic Income Statements
725
SECTION
15
Credit Portfolio Management
733
57
Portfolio Analysis
735
58
Securitization and Capital Management
75?
59
Credit Portfolio Management
776
SECTION
16
Conetasion and Financial Reforms 7S7
60
The
Financiai
System and Reforms 78t
References
799
Index
803
|
| adam_txt |
Contents
About the Author
ix
Introduction
xi
SECTION I The Financial Crisis
1
1
The
2007-2008
Financial Crisis
3
SECTION
2
Business Lines, Risks, and Risk Management
19
2
Banking Business Lines
21
3
Risks and Risk Management
25
4
Risk Management
37
SECTIONS Financial Products
53
5
Banking and Financial Products
55
6
Essentials on Derivative Products fig
7
Interest Rate Risk and Interest Rate Derivatives
81
8
Foreign Exchange Risk and Foreign Exchange Derivatives
101
9
Credit Derivatives
107
SECTION
4
Valuation
117
10
Distribution Functions
ţţş
11
Discrete
and
Continuous Returns \\g
12
Stochastic Processes 14f
13
Valuation
aed
Pricing Risk
161
14
Some
Applications
of Valuation Techniques
і
70
vj
CONTENTS
SECTIONS Risk Modeling
179
15
Sensitivity
181
16
Volatility
189
17
The Value-at-Risk Measure
200
lg VaR and Capital
211
SECTION
6
Regulations
219
19
Banking Regulations: Basel
1
and Market Risk
221
20
Banking Regulations: The Basel
2
Accord
232
21
Accounting Standards
255
SECTION? Asset Liability Management
(ALM) 267
22
liquidity Management and Liquidity Gaps
271
23
Interest Rate Gaps
289
24 ALM
and Hedging Policies
303
25
Implicit Options Risk
319
26
Economic Value of the Balance Sheet
334
27
Economic Value and Convexity Risk
343
SECTIONS
Fonds
Transfer Pricing Systems
357
28
Fanđs
Transfer Pricing Systems
360
29
Economic Transfer Prices
367
SECTION
9
Dependencies and Portfolio Risk
379
Ж
Corrélations
and Covariances
384
Зі
Conditional Probabilities
396
32
Facter
Medels
405
33
Dependencies and Copula Functions
427
34
Simulations-wits Factor Models or the Copula Approach
450
SECTION
10
Market Risk
473
35
Delta-normal VaR
476
36
Histérica!
and Hypothetic»! Simulations
492
31
Sieraistbrn
of Interest Rates
503
38
Back Tests» Benchmarks and Stress Tests
515
SECTION H Créait
Risk:
Standateae
521
39
Credit Risk Data
523
40
Ratieg Systems S29
41
Statistical and Scoring Models
540
CONTENTS
vu
42
The Option Approach to Defaults and Migrations
554
43
Default Probability and Default Intensity
570
44
Credit Risk Potential Exposure
584
45
Modeling Recoveries
596
46
Credit Risk Valuation and Credit Spreads
605
SECTION
12
Credit Portfolio Risk
617
47
Credit Event Dependencies
619
48
Example of Portfolio Loss Distribution
627
49
Analytical Loss Distributions
635
50
Simulation of Credit Portfolio Loss Distributions
652
51
Credit Portfolio Models
662
SECTION
13
Capital Allocation
677
52
Economic Capital and Credit Risk VaR
679
53
Capital Allocation and Risk Contributions
687
54
Marginal Risk Contributions
704
SECTION
14
Risk-adjusted Performance
711
55
RaRoC and Shareholders'Value Added
713
56
Economic Income Statements
725
SECTION
15
Credit Portfolio Management
733
57
Portfolio Analysis
735
58
Securitization and Capital Management
75?
59
Credit Portfolio Management
776
SECTION
16
Conetasion and Financial Reforms 7S7
60
The
Financiai
System and Reforms 78t
References
799
Index
803 |
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| id | DE-604.BV022529558 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:06:07Z |
| indexdate | 2024-07-09T20:59:35Z |
| institution | BVB |
| isbn | 9780470019122 9780470019139 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015736188 |
| oclc_num | 601415875 |
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| physical | XVII, 821 S. graph. Darst. |
| publishDate | 2010 |
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| publisher | Wiley |
| record_format | marc |
| spelling | Bessis, Joël Verfasser aut Gestion des risques et gestion actif-passif des banques Risk management in banking Joël Bessis 3. ed. Chichester [u.a.] Wiley 2010 XVII, 821 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank Bank management Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015736188&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bessis, Joël Risk management in banking Bank Bank management Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4004436-1 |
| title | Risk management in banking |
| title_alt | Gestion des risques et gestion actif-passif des banques |
| title_auth | Risk management in banking |
| title_exact_search | Risk management in banking |
| title_exact_search_txtP | Risk management in banking |
| title_full | Risk management in banking Joël Bessis |
| title_fullStr | Risk management in banking Joël Bessis |
| title_full_unstemmed | Risk management in banking Joël Bessis |
| title_short | Risk management in banking |
| title_sort | risk management in banking |
| topic | Bank Bank management Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Bank Bank management Banks and banking Risk management Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015736188&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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